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 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>As filed with the Securities and Exchange Commission on February 14, 2022 </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="right"><B>Registration No.&nbsp;333-&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </B></P>
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<P STYLE="line-height:3.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1px solid #000000">&nbsp;</P> <P STYLE="margin-top:4pt; margin-bottom:0pt; font-size:18pt; font-family:Times New Roman" ALIGN="center"><B>UNITED STATES </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:18pt; font-family:Times New Roman" ALIGN="center"><B>SECURITIES AND EXCHANGE COMMISSION </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Washington, D.C. 20549 </B></P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center>
<P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:18pt; font-family:Times New Roman" ALIGN="center"><B>FORM <FONT
STYLE="white-space:nowrap">S-1</FONT> </B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:18pt; font-family:Times New Roman" ALIGN="center"><B>REGISTRATION STATEMENT </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B><I>UNDER </I></B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:12pt; font-family:Times New Roman" ALIGN="center"><B><I>THE
SECURITIES ACT OF 1933 </I></B></P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center> <P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:24pt; font-family:Times New Roman" ALIGN="center"><B>PROSHARES TRUST II </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>(Exact name of registrant as specified in its charter) </B></P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center>
<P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD VALIGN="top" ALIGN="center"><B>Delaware</B></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top" ALIGN="center"><B>6221</B></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top" ALIGN="center"><B><FONT STYLE="white-space:nowrap">87-6284802</FONT></B></TD></TR>
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<TD VALIGN="top" ALIGN="center"><B>(State of Organization)</B></TD>
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<TD VALIGN="top" ALIGN="center"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:8pt; font-family:Times New Roman" ALIGN="center"><B>(Primary Standard Industrial</B></P>
<P STYLE="margin-top:0pt; margin-bottom:1pt; font-size:8pt; font-family:Times New Roman" ALIGN="center"><B>Classification Code Number)</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top" ALIGN="center"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:8pt; font-family:Times New Roman" ALIGN="center"><B>(I.R.S. Employer</B></P>
<P STYLE="margin-top:0pt; margin-bottom:1pt; font-size:8pt; font-family:Times New Roman" ALIGN="center"><B>Identification Number)</B></P></TD></TR>
</TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center> <P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>7272 Wisconsin Avenue </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>21st Floor </B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Bethesda,
Maryland 20814 </B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>(240) <FONT STYLE="white-space:nowrap">497-6400</FONT> </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:8pt; font-family:Times New Roman" ALIGN="center"><B>(Address, including zip code, and telephone number, including area code, of registrant&#146;s principal executive offices) </B></P>
<P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center> <P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Michael L. Sapir </B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>c/o
ProShare Capital Management LLC </B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>7272 Wisconsin Avenue </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>21st Floor </B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Bethesda,
Maryland 20814 </B></P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>(240) <FONT STYLE="white-space:nowrap">497-6400</FONT> </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:8pt; font-family:Times New Roman" ALIGN="center"><B>(Name, address, including zip code, and telephone number, including area code, of agent for service) </B></P>
<P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center> <P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B><I>Copies to: </I></B></P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD VALIGN="top" ALIGN="center"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Michael M. Philipp</B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>c/o Morgan, Lewis &amp; Bockius LLP</B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>77 West Wacker Drive</B></P>
<P STYLE="margin-top:0pt; margin-bottom:1pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Chicago, Illinois 60601</B></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top" ALIGN="center"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Richard F. Morris</B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>c/o ProShare Capital Management LLC</B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>7272 Wisconsin Avenue</B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>21st Floor</B></P> <P STYLE="margin-top:0pt; margin-bottom:1pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Bethesda, MD
20814</B></P></TD></TR>
</TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center> <P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Approximate date of commencement of proposed sale to the public: </B></P>
<P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center">As promptly as practicable after the effective date of this Registration Statement. </P>
<P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center> <P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:6pt; margin-bottom:0pt; text-indent:4%; font-size:10pt; font-family:Times New Roman">If any of the securities being registered on this Form are to be offered on a delayed or continuous basis pursuant to Rule 415 under the
Securities Act of 1933 check the following box:&nbsp;&nbsp;&#9746; </P> <P STYLE="margin-top:6pt; margin-bottom:0pt; text-indent:4%; font-size:10pt; font-family:Times New Roman">If this Form is filed to register additional securities for an offering
pursuant to Rule 462(b) under the Securities Act, please check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering.&nbsp;&nbsp;&#9744; </P>
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 <P STYLE="margin-top:0pt; margin-bottom:0pt; text-indent:4%; font-size:10pt; font-family:Times New Roman">If this Form is a post-effective amendment filed pursuant to Rule 462(c) under the
Securities Act, check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering.&nbsp;&nbsp;&#9744; </P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; text-indent:4%; font-size:10pt; font-family:Times New Roman">If this Form is a post-effective amendment filed pursuant to Rule 462(d) under the Securities Act, check the following box and list the
Securities Act registration statement number of the earlier effective registration statement for the same offering.&nbsp;&nbsp;&#9744; </P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; text-indent:4%; font-size:10pt; font-family:Times New Roman">Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a
<FONT STYLE="white-space:nowrap">non-accelerated</FONT> filer, smaller reporting company, or an emerging growth company. See the definitions of &#147;large accelerated filer,&#148; &#147;accelerated filer,&#148; &#147;smaller reporting
company,&#148; and &#147;emerging growth company&#148; in Rule <FONT STYLE="white-space:nowrap">12b-2</FONT> of the Exchange Act. </P> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>ProShares VIX <FONT
STYLE="white-space:nowrap">Mid-Term</FONT> Futures ETF </B></P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD VALIGN="bottom">Large&nbsp;accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD></TR>
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<TD HEIGHT="2" COLSPAN="2"></TD>
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<TD VALIGN="bottom"><FONT STYLE="white-space:nowrap">Non-accelerated</FONT> filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Smaller&nbsp;reporting&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9746;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Emerging&nbsp;growth&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section&nbsp;7(a)(2)(B) of the Securities Act.&nbsp;&nbsp;&#9744; </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center>
<P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>ProShares Ultra Bloomberg
Natural Gas </B></P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD VALIGN="bottom">Large&nbsp;accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD></TR>
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<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
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<TD VALIGN="bottom"><FONT STYLE="white-space:nowrap">Non-accelerated</FONT> filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Smaller&nbsp;reporting&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9746;</TD></TR>
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<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Emerging&nbsp;growth&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section&nbsp;7(a)(2)(B) of the Securities Act.&nbsp;&nbsp;&#9744; </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center>
<P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>ProShares UltraShort
Bloomberg Natural Gas </B></P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD VALIGN="bottom">Large&nbsp;accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
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<TD VALIGN="bottom"><FONT STYLE="white-space:nowrap">Non-accelerated</FONT> filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Smaller&nbsp;reporting&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9746;</TD></TR>
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<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
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<TD VALIGN="bottom">Emerging&nbsp;growth&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section&nbsp;7(a)(2)(B) of the Securities Act.&nbsp;&nbsp;&#9744; </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center>
<P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>ProShares UltraShort Silver
</B></P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
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<TD VALIGN="bottom">Large&nbsp;accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
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<TD VALIGN="bottom"><FONT STYLE="white-space:nowrap">Non-accelerated</FONT> filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Smaller&nbsp;reporting&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9746;</TD></TR>
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<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Emerging&nbsp;growth&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section&nbsp;7(a)(2)(B) of the Securities Act.&nbsp;&nbsp;&#9744; </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center>
<P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>ProShares UltraShort Gold
</B></P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" ALIGN="center">


<TR>

<TD WIDTH="20%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="55%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="20%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="2%"></TD></TR>

<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Large&nbsp;accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom"><FONT STYLE="white-space:nowrap">Non-accelerated</FONT> filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Smaller&nbsp;reporting&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9746;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Emerging&nbsp;growth&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section&nbsp;7(a)(2)(B) of the Securities Act.&nbsp;&nbsp;&#9744; </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center>
<P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>ProShares UltraShort
Australian Dollar </B></P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" ALIGN="center">


<TR>

<TD WIDTH="20%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="55%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="20%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="2%"></TD></TR>

<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Large&nbsp;accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom"><FONT STYLE="white-space:nowrap">Non-accelerated</FONT> filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Smaller&nbsp;reporting&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9746;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Emerging&nbsp;growth&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE>
</DIV></Center>


<p style="margin-top:1em; margin-bottom:0em; page-break-before:always">
<HR SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">


<Center><DIV STYLE="width:8.5in" align="left">
 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended
transition period for complying with any new or revised financial accounting standards provided pursuant to Section&nbsp;7(a)(2)(B) of the Securities Act.&nbsp;&nbsp;&#9744; </P>
<P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center> <P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>ProShares Ultra Euro </B></P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" ALIGN="center">


<TR>

<TD WIDTH="20%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="55%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="20%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="2%"></TD></TR>

<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Large&nbsp;accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom"><FONT STYLE="white-space:nowrap">Non-accelerated</FONT> filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Smaller&nbsp;reporting&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9746;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Emerging&nbsp;growth&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section&nbsp;7(a)(2)(B) of the Securities Act.&nbsp;&nbsp;&#9744; </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center>
<P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>ProShares Short Euro </B></P>
<P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" ALIGN="center">


<TR>

<TD WIDTH="20%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="55%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="20%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="2%"></TD></TR>

<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Large&nbsp;accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom"><FONT STYLE="white-space:nowrap">Non-accelerated</FONT> filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Smaller&nbsp;reporting&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9746;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Emerging&nbsp;growth&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section&nbsp;7(a)(2)(B) of the Securities Act.&nbsp;&nbsp;&#9744; </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center>
<P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>ProShares UltraShort Euro</B>
</P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" ALIGN="center">


<TR>

<TD WIDTH="20%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="55%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="20%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="2%"></TD></TR>

<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Large&nbsp;accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom"><FONT STYLE="white-space:nowrap">Non-accelerated</FONT> filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744; (Do not check if a smaller reporting company)</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Smaller&nbsp;reporting&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9746;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Emerging&nbsp;growth&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities Act.&nbsp;&nbsp;&#9744; </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center>
<P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>ProShares Ultra Yen </B></P>
<P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" ALIGN="center">


<TR>

<TD WIDTH="20%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="55%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="20%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="2%"></TD></TR>

<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Large&nbsp;accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom"><FONT STYLE="white-space:nowrap">Non-accelerated</FONT> filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Smaller&nbsp;reporting&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9746;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Emerging&nbsp;growth&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section&nbsp;7(a)(2)(B) of the Securities Act.&nbsp;&nbsp;&#9744; </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><center>
<P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>ProShares UltraShort Yen
</B></P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" ALIGN="center">


<TR>

<TD WIDTH="20%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="55%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="20%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="2%"></TD></TR>

<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Large&nbsp;accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Accelerated&nbsp;filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom"><FONT STYLE="white-space:nowrap">Non-accelerated</FONT> filer</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">Smaller&nbsp;reporting&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9746;</TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD>
<TD HEIGHT="2" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="bottom">Emerging&nbsp;growth&nbsp;company</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&#9744;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section&nbsp;7(a)(2)(B) of the Securities Act.&nbsp;&nbsp;&#9744; </P>
</DIV></Center>


<p style="margin-top:1em; margin-bottom:0em; page-break-before:always">
<HR SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">


<Center><DIV STYLE="width:8.5in" align="left">
 <center> <P STYLE="line-height:6.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1.00pt solid #000000;width:21%">&nbsp;</P></center>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><B>The registrant hereby amends this Registration Statement on such date or dates as may be necessary to delay its effective date until the registrant shall
file a further amendment which specifically states that this Registration Statement shall thereafter become effective in accordance with Section&nbsp;8(a) of the Securities Act of 1933 or until this Registration Statement shall become effective on
such date as the Commission, acting pursuant to said Section&nbsp;8(a), may determine. </B></P> <P STYLE="font-size:10pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<P STYLE="line-height:1.0pt;margin-top:0pt;margin-bottom:0pt;border-bottom:1px solid #000000">&nbsp;</P> <P STYLE="line-height:3.0pt;margin-top:0pt;margin-bottom:2pt;border-bottom:1px solid #000000">&nbsp;</P>
</DIV></Center>




<p style="margin-top:1em; margin-bottom:0em; page-break-before:always">
<HR SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">
  <div> <div> <a name="xx_afd9352d-d1f8-42b5-89a8-a0fced00fe52_1"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:13.0pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;margin-left:0%;">The information in
this Prospectus is not complete and may be changed. We may not sell these securities until the </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">registration statement filed with the Securities and
Exchange Commission is effective. This Prospectus is not an offer to </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">sell these securities and is not soliciting an offer to buy these securities in any
jurisdiction where the offer or sale is not
</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">permitted.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Subject to completion, February 14,
2022</font></div> <div style="line-height:11.0pt;margin-top:12.5pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PROSHARES TRUST II</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:14.5pt;margin-top:14.0pt;text-align:center;">
<hr style="background-color:#000000;height:0.5pt;margin-bottom:2pt;margin-top:14.0pt;width:120pt;"> </div> <div style="line-height:11.0pt;margin-top:3.5pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">Common Units of Beneficial Interest</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:14.5pt;margin-top:14.0pt;text-align:center;"> <hr style="background-color:#000000;height:0.5pt;margin-bottom:2pt;margin-top:14.0pt;width:120pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:20.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:53.50%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:29.09%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Fund</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:46.50%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:33.46%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark</font></div> </div> </div> </td> </tr>
<tr style="height:13.5pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:1.5pt;vertical-align:Bottom;width:53.50%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:29.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares VIX Mid-Term Futures ETF (VIXM)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:1.5pt;vertical-align:Bottom;width:46.50%;"> <div style="line-height:11pt;"> <div style="margin-left:33.46%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">S&amp;P 500</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">&#174;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> VIX Mid-Term Futures Index</font></div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:53.50%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:29.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra Bloomberg Natural Gas (BOIL)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:46.50%;"> <div style="line-height:11pt;"> <div style="margin-left:33.46%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Natural Gas Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:53.50%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:29.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Bloomberg Natural Gas (KOLD)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:46.50%;"> <div style="line-height:11pt;"> <div style="margin-left:33.46%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Natural Gas Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:53.50%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:29.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Silver (ZSL)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:46.50%;"> <div style="line-height:11pt;"> <div style="margin-left:33.46%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Silver Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:53.50%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:29.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Gold (GLL)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:46.50%;"> <div style="line-height:11pt;"> <div style="margin-left:33.46%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Gold Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:53.50%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:29.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Australian Dollar (CROC)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:46.50%;"> <div style="line-height:11pt;"> <div style="margin-left:33.46%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The U.S. dollar price of the Australian dollar</font></div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:53.50%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:29.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra Euro (ULE)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:46.50%;"> <div style="line-height:11pt;"> <div style="margin-left:33.46%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The U.S. dollar price of the euro</font></div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:53.50%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:29.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Short Euro (EUFX)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:46.50%;"> <div style="line-height:11pt;"> <div style="margin-left:33.46%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The U.S. dollar price of the euro</font></div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:53.50%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:29.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Euro (EUO)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:46.50%;"> <div style="line-height:11pt;"> <div style="margin-left:33.46%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The U.S. dollar price of the euro</font></div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:53.50%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:29.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra Yen (YCL)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:46.50%;"> <div style="line-height:11pt;"> <div style="margin-left:33.46%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The U.S. dollar price of the Japanese yen</font></div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:53.50%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:29.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Yen (YCS)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:46.50%;"> <div style="line-height:11pt;"> <div style="margin-left:33.46%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The U.S. dollar price of the Japanese yen</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;vertical-align:Bottom;width:53.50%;"> <div style="line-height:0.5pt;"> <div style="margin-left:0%;margin-right:29.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;vertical-align:Bottom;width:46.50%;"> <div style="line-height:0.5pt;"> <div style="margin-left:33.46%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">&nbsp;</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">ProShares Trust II (the &#8220;Trust&#8221;) is a Delaware statutory trust organized into separate series. The Trust may from time to time offer to sell </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">common units of beneficial interest (&#8220;Shares&#8221;) of any or all of the series of the Trust listed above (each, a &#8220;Fund&#8221; and collectively, the &#8220;Funds&#8221;)
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or other series of the Trust. Shares represent units of fractional undivided beneficial interest in and ownership of a series of the Trust. Each </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s Shares are offered on a continuous basis. With the exception of the Shares of the ProShares VIX Mid-Term Futures ETF, the Shares of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">each Fund are listed for trading on NYSE Arca, Inc. under the ticker symbol shown above next to each Fund&#8217;s name. The Shares of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ProShares VIX Mid-Term Futures ETF are listed for trading on Cboe BZX Exchange, Inc. (collectively with the NYSE Arca, Inc., the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Exchange&#8221;). Please note that the Trust has series other than the Funds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The ProShares VIX Mid-Term Futures ETF seeks investment results, before fees and expenses, that match the performance of the S&amp;P </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">500</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> VIX Mid-Term Futures Index (the &#8220;Index&#8221;).</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each of the other Funds is &#8220;geared&#8221; (each, a &#8220;Geared Fund&#8221; and
collectively, the &#8220;Geared Funds&#8221;) which means that each has an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment objective to seek daily investment results, before fees and expenses, that correspond
either to a multiple (2x), the inverse (-1x) or an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">inverse multiple (-2x) of the performance of a benchmark for a single day, not for any other period. The Geared Funds do
not seek to achieve </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">their stated investment objective over a period greater than a single day. A &#8220;single day&#8221; is measured from the time a Fund calculates its
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">respective net asset value (&#8220;NAV&#8221;) to the time of the Fund&#8217;s next NAV calculation. The NAV calculation times for the Funds typically range </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">from 7:00 a.m. to 4:15 p.m. (Eastern Time). Please see the section entitled &#8220;Summary-Creation and Redemption Transactions&#8221; for additional </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">details on the NAV calculation times for the Funds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds seek to achieve their respective investment objectives through the appropriate amount of exposure to its benchmark. Each </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund also has the ability to engage in swap transactions, forward contracts, options contacts, and other instruments in order to achieve its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment objective, in the manner and to the extent described herein. The Funds will not invest directly in any commodities or currencies.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-1</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_afd9352d-d1f8-42b5-89a8-a0fced00fe52_2"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The ProShares VIX Mid-Term Futures ETF
may be referred to herein as the &#8220;VIX Futures Fund&#8221; or the &#8220;Matching Fund.&#8221; The ProShares </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Ultra Bloomberg Natural Gas (the &#8220;Ultra Natural Gas
Fund&#8221;) and the ProShares UltraShort Bloomberg Natural Gas (the &#8220;UltraShort Natural </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Gas Fund&#8221;) may be collectively referred to as the &#8220;Natural Gas
Funds.&#8221; The ProShares UltraShort Silver (the &#8220;UltraShort Silver Fund&#8221;) and the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">ProShares UltraShort Gold (the &#8220;UltraShort Gold Fund&#8221;) may be
collectively referred to as the &#8220;Precious Metals Funds.&#8221; The ProShares </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">UltraShort Australian Dollar (the &#8220;UltraShort Australian Dollar Fund&#8221;), the
ProShares Ultra Euro (the &#8220;Ultra Euro Fund&#8221;), the ProShares Short </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Euro (the &#8220;Short Euro Fund&#8221; or the &#8220;Short Fund&#8221;), ProShares
UltraShort Euro (the &#8220;UltraShort Euro Fund&#8221;), the ProShares Ultra Yen (the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Ultra Yen Fund&#8221;) and the ProShares UltraShort Yen (the
&#8220;UltraShort Yen Fund&#8221;) may be collectively referred to as the &#8220;Currency Funds.&#8221; The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Ultra Natural Gas Fund, the Ultra Euro Fund and the Ultra Yen
Fund may be collectively referred to as the &#8220;Ultra Funds.&#8221; The UltraShort </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Natural Gas Fund, the UltraShort Australian Dollar Fund, the UltraShort Euro Fund,
the UltraShort Yen Fund and the Precious Metals Funds </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">may be collectively referred to as the &#8220;UltraShort Funds.&#8221;</font></div>
<div style="line-height:14.5pt;margin-top:14.0pt;text-align:center;"> <hr style="background-color:#000000;height:0.5pt;margin-bottom:2pt;margin-top:14.0pt;width:120pt;"> </div> <div style="line-height:11.0pt;margin-top:3.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">INVESTING IN THE SHARES INVOLVES SIGNIFICANT RISKS. PLEASE REFER TO &#8220;RISK FACTORS&#8221; BEGINNING </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">ON PAGE </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">13</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">THE FUNDS PRESENT SIGNIFICANT RISKS NOT APPLICABLE TO OTHER TYPES OF FUNDS. THE FUNDS ARE NOT </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">APPROPRIATE FOR ALL INVESTORS. THE VIX FUTURES FUND INCLUDES RISKS RELATING TO INVESTING IN AND </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SEEKING EXPOSURE TO VIX FUTURES CONTRACTS. THE GEARED FUNDS THAT USE LEVERAGE ARE RISKIER THAN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SIMILARLY BENCHMARKED EXCHANGE-TRADED FUNDS THAT DO NOT USE LEVERAGE. AN INVESTOR SHOULD </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">ONLY CONSIDER AN INVESTMENT IN A GEARED FUND IF HE OR SHE UNDERSTANDS THE CONSEQUENCES OF </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SEEKING DAILY LEVERAGED, DAILY INVERSE OR DAILY INVERSE LEVERAGED INVESTMENT RESULTS, INCLUDING </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">THE IMPACT OF COMPOUNDING ON GEARED FUND PERFORMANCE.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">THE RETURN OF A GEARED FUND FOR A PERIOD LONGER THAN A SINGLE DAY
IS THE RESULT OF ITS RETURN </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">FOR EACH DAY COMPOUNDED OVER THE PERIOD AND USUALLY WILL DIFFER IN AMOUNT AND POSSIBLY EVEN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">DIRECTION FROM THE GEARED FUND&#8217;S STATED MULTIPLE TIMES THE RETURN OF THE BENCHMARK FOR THE </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SAME PERIOD. THESE DIFFERENCES CAN BE SIGNIFICANT.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">THE FUNDS&#8217; INVESTMENTS MAY BE ILLIQUID AND/OR HIGHLY
VOLATILE AND THE FUNDS MAY EXPERIENCE </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">LARGE LOSSES FROM BUYING, SELLING OR HOLDING SUCH INVESTMENTS. AN INVESTOR IN ANY OF THE FUNDS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">COULD POTENTIALLY LOSE THE FULL PRINCIPAL VALUE OF HIS/HER INVESTMENT WITHIN A SINGLE DAY.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">SHAREHOLDERS WHO INVEST IN THE FUNDS SHOULD ACTIVELY MANAGE AND MONITOR THEIR INVESTMENTS,</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;"> AS FREQUENTLY AS DAILY.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">The Short Euro Fund seeks daily investment results, before fees and expenses,
that correspond to the inverse (-1x) of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">performance of its benchmark for a single day, not for any other period. Each Ultra Fund seeks daily
investment results, before fees and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">expenses, that correspond to two times (2x) the performance of its benchmark for a single day, not for any other
period. Each </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">UltraShort Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">performance of its benchmark for a single day, not for any other period.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">period and usually will differ in amount and possibly even direction from the Geared Fund&#8217;s stated multiple times the return of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Geared Fund&#8217;s benchmark for the same period. Daily compounding of a Geared Fund&#8217;s investment returns can dramatically and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">adversely affect its longer-term performance especially during periods of high volatility. Volatility has a negative impact on Geared </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Fund performance and the volatility of a Geared Fund&#8217;s benchmark may be at least as important to a Geared Fund&#8217;s return as the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">return of the Fund&#8217;s benchmark.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">The Geared Funds that use leverage should produce returns for a single day that
are more volatile than those of its respective </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">benchmark. For example, the return for a single day of each of the Ultra Natural Gas Fund, the Ultra Euro
Fund and the Ultra Yen </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Fund with its (2x) multiple should be approximately two times as volatile for a single day as the return of a fund with an
objective of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">matching the same benchmark. The return for a single day of each of the UltraShort Natural Gas Fund, the UltraShort Silver Fund, the
</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-2</font></div>
</div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_afd9352d-d1f8-42b5-89a8-a0fced00fe52_3"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">UltraShort Gold Fund, the UltraShort
Australian Dollar Fund, the UltraShort Euro Fund, and the UltraShort Yen Fund with a -2x </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">multiple should be approximately two times as volatile for a
single day as the inverse of the return of a fund with an objective of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">matching the same benchmark.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">THE VIX FUTURES FUND PRESENTS DIFFERENT RISKS THAN OTHER TYPES OF FUNDS, INCLUDING RISKS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">RELATING TO INVESTING AND SEEKING EXPOSURE TO VIX FUTURES CONTRACTS. AN INVESTOR SHOULD ONLY </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">CONSIDER AN INVESTMENT IN THE VIX FUTURES FUND IF HE OR SHE UNDERSTANDS THE CONSEQUENCES OF </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SEEKING EXPOSURE TO VIX FUTURES CONTRACTS. THE VIX FUTURES FUND GENERALLY IS INTENDED TO BE USED </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">ONLY FOR SHORT-TERM HORIZONS.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">The VIX Futures Fund is benchmarked to the S&amp;P 500 VIX Mid-Term Futures
Index. The VIX Futures Fund is not </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">benchmarked to the VIX Index (which is commonly referred to as the &#8220;VIX&#8221;). The S&amp;P 500 VIX Mid-Term
Futures Index and the VIX </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">are two separate indices and can be expected to perform very differently.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">The VIX is a non-investable index that measures the implied volatility of the S&amp;P 500. For these purposes, &#8220;implied volatility&#8221; is
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">a measure of the expected volatility
(</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">i.e</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">., the rate and magnitude of
variations in performance) of the S&amp;P 500 over the next 30 days. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">The VIX does not represent the actual volatility of the S&amp;P 500. The VIX is
calculated based on the prices of a constantly changing </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">portfolio of S&amp;P 500 put and call options. The S&amp;P 500 VIX Mid-Term Futures Index, the
index used by the VIX Futures Fund, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">consists of mid-term VIX futures contracts. As such, the performance of the Index can be expected to be very different
from the actual </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">volatility of the S&amp;P 500 or the performance of the VIX. As a result, the performance of the Funds also can be expected to be very
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">different from the actual volatility of the S&amp;P 500 or the performance of the VIX.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Unlike certain other asset classes that, in general, have historically increased in price over long periods of time, the volatility of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">the S&amp;P 500 as measured by the VIX has historically reverted to a long-term average level over time. This means that the potential </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">upside of an investment in the VIX Futures Fund may be limited. In addition, gains of the VIX Futures Fund, if any, may be subject to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">significant and unexpected reversals. Investors holding Shares of the VIX Futures Fund beyond short-term periods have an increased </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">risk of losing all or a substantial portion of their investment.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Each Fund will distribute to shareholders a Schedule K-1 that will contain information regarding the income and expenses of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Fund.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">NEITHER THE TRUST NOR ANY FUND IS A MUTUAL FUND OR ANY OTHER TYPE OF INVESTMENT
COMPANY AS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">DEFINED IN THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE &#8220;1940 ACT&#8221;), AND NEITHER IS SUBJECT TO </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">REGULATION THEREUNDER. SHAREHOLDERS DO NOT HAVE THE PROTECTIONS ASSOCIATED WITH OWNERSHIP </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">OF SHARES IN AN INVESTMENT COMPANY REGISTERED UNDER THE 1940 ACT. SEE RISK FACTOR ENTITLED </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">&#8220;SHAREHOLDERS DO NOT HAVE THE PROTECTIONS ASSOCIATED WITH OWNERSHIP OF SHARES IN AN INVESTMENT</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;"> COMPANY REGISTERED UNDER THE 1940 ACT IN PART ONE OF THIS PROSPECTUS FOR MORE INFORMATION.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund continuously offers and redeems Shares only in large blocks of Shares known as &#8220;Creation Units&#8221;, each of which consists of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">50,000 Shares (25,000 Shares with respect to the VIX Futures Fund). Only Authorized Participants (as defined herein) may purchase and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Participant Agreement with the Trust and ProShare Capital Management LLC (the &#8220;Sponsor&#8221;). Shares are offered to Authorized Participants in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Creation Units at each Fund&#8217;s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Creation Unit they create at a per-Share market price. The form of Authorized Participant Agreement and the related Authorized Participant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Procedures Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authorized Participants will not receive from any Fund, the Sponsor, or any of their affiliates, any fee or other compensation in connection with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">their sale of Shares to the public. An Authorized Participant may receive commissions or fees from investors who purchase Shares through their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">commission or fee-based brokerage accounts.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">These securities have not been approved or disapproved by the United States Securities and Exchange Commission (the &#8220;SEC&#8221;) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">or any state securities commission nor has the SEC or any state securities commission passed upon the accuracy or adequacy of this </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Prospectus. Any representation to the contrary is a criminal offense.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-3</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_afd9352d-d1f8-42b5-89a8-a0fced00fe52_4">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF PARTICIPATING </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">IN THIS POOL NOR HAS THE COMMISSION PASSED ON THE ADEQUACY OR ACCURACY OF THIS DISCLOSURE </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">DOCUMENT.</font></div> <div style="line-height:14.5pt;margin-top:14.0pt;text-align:center;">
<hr style="background-color:#000000;height:0.5pt;margin-bottom:2pt;margin-top:14.0pt;width:120pt;"> </div> <div style="line-height:14.0pt;margin-top:5.5pt;text-align:center;">
<hr style="background-color:#000000;height:0.5pt;margin-bottom:2pt;margin-top:14.0pt;width:120pt;"><font style="color:#000000;font-family:Times New Roman;font-size:12pt;font-weight:bold;">February ___, 2022</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">The Shares are neither interests in nor obligations of the Sponsor, Wilmington
Trust Company, or any of their respective </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">affiliates. The Shares are not insured by the Federal Deposit Insurance Corporation or any other governmental
agency.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">This Prospectus has two parts: the offered series disclosure and the general pool disclosure. These parts are bound together and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">are incomplete if not distributed together to prospective participants.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">COMMODITY FUTURES TRADING COMMISSION</font> <br><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">RISK DISCLOSURE
STATEMENT</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">YOU SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL
CONDITION PERMITS YOU TO PARTICIPATE</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;"> IN A COMMODITY POOL. IN SO DOING, YOU SHOULD BE AWARE THAT COMMODITY INTEREST TRADING CAN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">QUICKLY LEAD TO LARGE LOSSES AS WELL AS GAINS. SUCH TRADING LOSSES CAN SHARPLY REDUCE THE NET </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">ASSET VALUE OF THE POOL AND CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN ADDITION, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">RESTRICTIONS ON REDEMPTIONS MAY AFFECT YOUR ABILITY TO WITHDRAW YOUR PARTICIPATION IN THE </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">POOL.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">FURTHER, COMMODITY POOLS MAY BE SUBJECT TO SUBSTANTIAL CHARGES FOR MANAGEMENT, AND </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS THAT ARE SUBJECT TO THESE </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">THIS DISCLOSURE DOCUMENT CONTAINS A COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED TO THIS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">POOL, AT PAGES </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">80</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;"> THROUGH </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">84</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">, AND A STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK EVEN, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">THAT
IS, TO RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT, AT PAGES </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">80</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;"> THROUGH </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">84</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER FACTORS NECESSARY TO EVALUATE </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">YOUR PARTICIPATION IN THIS COMMODITY POOL. THEREFORE, BEFORE YOU DECIDE TO PARTICIPATE IN THIS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">COMMODITY POOL, YOU SHOULD CAREFULLY STUDY THIS DISCLOSURE DOCUMENT, INCLUDING A DESCRIPTION </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">OF THE PRINCIPAL RISK FACTORS OF THIS INVESTMENT, AT PAGES </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">13</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;"> THROUGH </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">51</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL MAY TRADE FOREIGN FUTURES OR OPTIONS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE UNITED STATES, INCLUDING MARKETS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">FORMALLY LINKED TO A UNITED STATES MARKET, MAY BE SUBJECT TO REGULATIONS WHICH OFFER DIFFERENT </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">OR DIMINISHED PROTECTION TO THE POOL AND ITS PARTICIPANTS. FURTHER, UNITED STATES REGULATORY </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">AUTHORITIES MAY BE UNABLE TO COMPEL THE ENFORCEMENT OF THE RULES OF REGULATORY AUTHORITIES </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">OR MARKETS IN NON-UNITED STATES JURISDICTIONS WHERE TRANSACTIONS FOR THE POOL MAY BE EFFECTED.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">SWAPS TRANSACTIONS, LIKE OTHER FINANCIAL TRANSACTIONS, INVOLVE A VARIETY OF SIGNIFICANT </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">RISKS. THE SPECIFIC RISKS PRESENTED BY A PARTICULAR SWAP TRANSACTION NECESSARILY DEPEND UPON THE </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">TERMS OF THE TRANSACTION AND YOUR CIRCUMSTANCES. IN GENERAL, HOWEVER, ALL SWAPS TRANSACTIONS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">INVOLVE SOME COMBINATION OF MARKET RISK, CREDIT RISK, COUNTERPARTY CREDIT RISK, FUNDING RISK, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">LIQUIDITY RISK, AND OPERATIONAL RISK.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
</div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-4</font></div> </div> </div>
</div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_afd9352d-d1f8-42b5-89a8-a0fced00fe52_5"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">HIGHLY CUSTOMIZED
SWAPS TRANSACTIONS IN PARTICULAR MAY INCREASE LIQUIDITY RISK, WHICH MAY </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">RESULT IN A SUSPENSION OF REDEMPTIONS. HIGHLY LEVERAGED TRANSACTIONS MAY
EXPERIENCE SUBSTANTIAL</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;"> GAINS OR LOSSES IN VALUE AS A RESULT OF RELATIVELY SMALL CHANGES IN THE VALUE OR LEVEL OF AN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">UNDERLYING OR RELATED MARKET FACTOR. IN EVALUATING THE RISKS AND CONTRACTUAL OBLIGATIONS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">ASSOCIATED WITH A PARTICULAR SWAP TRANSACTION, IT IS IMPORTANT TO CONSIDER THAT A SWAP TRANSACTION</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;"> MAY, IN CERTAIN INSTANCES, BE MODIFIED OR TERMINATED ONLY BY MUTUAL CONSENT OF THE ORIGINAL </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">PARTIES AND SUBJECT TO AGREEMENT ON INDIVIDUALLY NEGOTIATED TERMS. THEREFORE, IT MAY NOT BE </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">POSSIBLE FOR THE COMMODITY POOL OPERATOR TO MODIFY, TERMINATE, OR OFFSET THE POOL&#8217;S OBLIGATIONS</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;"> OR THE POOL&#8217;S EXPOSURE TO THE RISKS ASSOCIATED WITH A TRANSACTION PRIOR TO ITS SCHEDULED </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">TERMINATION DATE.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:14.5pt;margin-top:14.0pt;text-align:center;"> <hr style="background-color:#000000;height:0.5pt;margin-bottom:2pt;margin-top:14.0pt;width:120pt;"> </div> <div style="line-height:11.0pt;margin-top:3.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">THIS PROSPECTUS DOES NOT INCLUDE ALL OF THE INFORMATION OR EXHIBITS IN THE REGISTRATION </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">STATEMENT OF THE TRUST. INVESTORS CAN READ AND COPY THE ENTIRE REGISTRATION STATEMENT AT THE </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">PUBLIC REFERENCE FACILITIES MAINTAINED BY THE SEC IN WASHINGTON, D.C.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:14.5pt;margin-top:14.0pt;text-align:center;">
<hr style="background-color:#000000;height:0.5pt;margin-bottom:2pt;margin-top:14.0pt;width:120pt;"> </div> <div style="line-height:11.0pt;margin-top:3.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">THE TRUST WILL FILE QUARTERLY AND ANNUAL REPORTS WITH THE SEC. INVESTORS CAN READ AND COPY </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">THESE REPORTS AT THE SEC PUBLIC REFERENCE FACILITIES IN WASHINGTON, D.C. PLEASE CALL THE SEC AT </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">1-800-SEC-0330 FOR FURTHER INFORMATION.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">THE FILINGS OF THE TRUST ARE POSTED AT THE SEC WEBSITE AT WWW.SEC.GOV.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">REGULATORY NOTICES</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">NO DEALER, SALESMAN OR ANY OTHER PERSON HAS BEEN AUTHORIZED TO GIVE ANY INFORMATION OR TO </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">MAKE ANY REPRESENTATION NOT CONTAINED IN THIS PROSPECTUS, AND, IF GIVEN OR MADE, SUCH OTHER </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">INFORMATION OR REPRESENTATION MUST NOT BE RELIED UPON AS HAVING BEEN AUTHORIZED BY THE TRUST, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">ANY OF THE FUNDS, THE SPONSOR, THE AUTHORIZED PARTICIPANTS OR ANY OTHER PERSON.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">THIS PROSPECTUS DOES NOT CONSTITUTE AN OFFER OR SOLICITATION TO SELL OR A SOLICITATION OF AN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">OFFER TO BUY, NOR SHALL THERE BE ANY OFFER, SOLICITATION, OR SALE OF THE SHARES IN ANY JURISDICTION </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">IN WHICH SUCH OFFER, SOLICITATION, OR SALE IS NOT AUTHORIZED OR TO ANY PERSON TO WHOM IT IS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">UNLAWFUL TO MAKE ANY SUCH OFFER, SOLICITATION, OR
SALE.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:14.5pt;margin-top:14.0pt;text-align:center;">
<hr style="background-color:#000000;height:0.5pt;margin-bottom:2pt;margin-top:14.0pt;width:120pt;"> </div> <div style="line-height:11.0pt;margin-top:3.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">AUTHORIZED PARTICIPANTS MAY BE REQUIRED TO DELIVER A PROSPECTUS WHEN TRANSACTING IN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SHARES. SEE &#8220;PLAN OF DISTRIBUTION&#8221; IN PART TWO OF THIS PROSPECTUS.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-5</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_13dbda19-3a2f-4bf2-83ef-1135efd7b14c_onecol_toc_1"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:4.54%;margin-top:53pt;width:541pt;"> <div style="line-height:9.0pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PROSHARES TRUST
II</font></div> <div style="line-height:9.0pt;margin-top:12pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">Table of Contents</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:34pt;">
<td style="padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:95.19%;"> <div style="line-height:0.5pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">&nbsp;</font></div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:30.77%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_1">Page</A></font></div> </div> </div> </td> </tr>
<tr style="height:24.5pt;">
<td style="padding-bottom:2.5pt;padding-top:4pt;vertical-align:Top;width:100%;" colspan="2"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_1">PART ONE</A></font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;line-height:11pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_1"> </A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:100%;" colspan="2"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_1">OFFERED SERIES DISCLOSURE</A></font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;line-height:11pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_1"> </A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">SUMMARY</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_1">4</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_1">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Important Information About the Funds</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_2">4</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_2">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Overview</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_2">5</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_2">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">The VIX Futures Fund</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_2">5</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_2">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">The Natural Gas Funds</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_3">5</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_3">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">The Precious Metals Funds</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_3">6</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_3">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">The Currency Funds</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_4">6</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_4">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Purchases and Sales in the Secondary Market</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_4">7</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_4">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Creation and Redemption Transactions</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_5">7</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_5">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Breakeven Amounts</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_6">8</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_6">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Important Tax Information</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_04aa24c4-4c1a-47e9-8880-7e3e972cf2cb_1">9</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_04aa24c4-4c1a-47e9-8880-7e3e972cf2cb_1">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">RISK FACTOR SUMMARY</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_04aa24c4-4c1a-47e9-8880-7e3e972cf2cb_1">10</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_04aa24c4-4c1a-47e9-8880-7e3e972cf2cb_1">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Risks Related to All Funds</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_04aa24c4-4c1a-47e9-8880-7e3e972cf2cb_2">10</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_04aa24c4-4c1a-47e9-8880-7e3e972cf2cb_2">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Risks Specific to the Geared Funds, VIX Futures Fund, Natural Gas Funds, Precious Metals Funds, and Currency Funds</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_5d692423-b794-41f3-ac4d-1467a656ab9c_1">11</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_5d692423-b794-41f3-ac4d-1467a656ab9c_1">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">RISK FACTORS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_b81940d9-355a-4810-92fb-a0dcae18b89e_1">13</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_b81940d9-355a-4810-92fb-a0dcae18b89e_1">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">CAUTIONARY NOTE REGARDING FORWARD-LOOKING STATEMENTS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_1">52</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_1">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">DESCRIPTION OF EACH FUND&#8217;S BENCHMARK</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_1">53</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_1">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:1.75%;">DESCRIPTION OF THE MID-TERM VIX FUTURES FUND&#8217;S INDEX</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_1">53</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_1">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">The S&amp;P 500 VIX Mid-Term Futures Index</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_2">53</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_2">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Information about the Index Licensor</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_3">54</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_3">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:1.75%;">DESCRIPTION OF THE NATURAL GAS FUNDS&#8217; BENCHMARK</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_3">55</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_3">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Bloomberg Natural Gas Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_3">55</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_3">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Information About the Index Licensor</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_4">55</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_4">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:1.75%;">DESCRIPTION OF THE PRECIOUS METALS FUNDS&#8217; BENCHMARKS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_4">56</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_4">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Bloomberg Silver Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_5">56</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_5">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Information About the Index Licensor</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_6">57</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_6">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Bloomberg Gold Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_6">58</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_6">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Information About the Index Licensor</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_7">58</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_7">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:1.75%;">DESCRIPTION OF THE CURRENCY FUNDS&#8217; BENCHMARKS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_7">59</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_7">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Australian dollar</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_7">59</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_7">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Euro</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_8">59</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_8">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Japanese Yen</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_8">60</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_8">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:1.75%;">INVESTMENT OBJECTIVES AND PRINCIPAL INVESTMENT STRATEGIES</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_8">60</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_8">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Investment Objectives</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_9">60</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_9">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Principal Investment Strategies</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_18">61</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_de0eddbb-3981-45bc-8150-ed2445bf0702_18">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:1.75%;">PERFORMANCE OF THE OFFERED COMMODITY POOLS OPERATED BY THE COMMODITY POOL OPERATOR</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_5e455e80-bef3-41f7-a296-98b379e95734_1">70</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_5e455e80-bef3-41f7-a296-98b379e95734_1">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:1.75%;">MANAGEMENT&#8217;S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_5e455e80-bef3-41f7-a296-98b379e95734_2">79</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_5e455e80-bef3-41f7-a296-98b379e95734_2">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:1.75%;">CHARGES</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_5e455e80-bef3-41f7-a296-98b379e95734_2">80</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_5e455e80-bef3-41f7-a296-98b379e95734_2">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Breakeven Table</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_5e455e80-bef3-41f7-a296-98b379e95734_7">80</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_5e455e80-bef3-41f7-a296-98b379e95734_7">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:1.75%;">MATERIAL U.S. FEDERAL INCOME TAX CONSIDERATIONS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_5e455e80-bef3-41f7-a296-98b379e95734_8">85</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_5e455e80-bef3-41f7-a296-98b379e95734_8">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Status of the Funds</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_5e455e80-bef3-41f7-a296-98b379e95734_9">86</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_5e455e80-bef3-41f7-a296-98b379e95734_9">
</A></font></div> </div> </td> </tr>
<tr style="height:8.5pt;">
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Top;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">U.S. Shareholders</font></div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Top;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_e3536362-ecd5-4014-89e5-f4dec0067f29_1">87</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_e3536362-ecd5-4014-89e5-f4dec0067f29_1">
</A></font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:4.54%;margin-top:19pt;width:541pt;"> <div style="line-height:9.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:9pt;margin-left:0%;">-i-</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div>
<div> <a name="xx_13dbda19-3a2f-4bf2-83ef-1135efd7b14c_onecol_toc_2"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:4.54%;margin-top:56pt;width:541pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:34pt;">
<td style="padding-bottom:4pt;padding-top:4pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:0.5pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">&nbsp;</font></div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:30.77%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Page</font></div> </div> </div> </td> </tr>
<tr style="height:13.5pt;">
<td style="padding-bottom:2.5pt;padding-top:4pt;vertical-align:Bottom;width:100%;" colspan="2"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;"> <a href="#xx_e3536362-ecd5-4014-89e5-f4dec0067f29_1">PART TWO</A></font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> <a href="#xx_e3536362-ecd5-4014-89e5-f4dec0067f29_1"> </A></font></div> </div> </td> </tr>
<tr style="height:22pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:100%;" colspan="2"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">GENERAL POOL DISCLOSURE</font></div> <div style="margin-left:0%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_1">&#8202;</A></font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_1"> </A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">PERFORMANCE OF THE OTHER COMMODITY POOLS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">OPERATED BY THE COMMODITY POOL
OPERATOR</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_9">99</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_9">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">USE OF PROCEEDS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_9">107</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_9">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">WHO MAY SUBSCRIBE</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_9">107</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_9">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">CREATION AND REDEMPTION OF SHARES</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_10">107</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_10">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Creation Procedures</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_12">108</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_12">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Redemption Procedures</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_13">110</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_13">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Creation and Redemption Transaction Fee</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_13">111</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_13">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Special Settlement</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_13">111</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_13">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">LITIGATION</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_14">111</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_14">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">DESCRIPTION OF THE SHARES; THE FUNDS; CERTAIN MATERIAL </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">TERMS OF THE
TRUST AGREEMENT</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_14">112</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_14">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Description of the Shares</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_14">112</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_14">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Principal Office; Location of Records; Fiscal Year</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_15">112</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_15">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">The Funds</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_15">113</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_15">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">The Trustee</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_16">113</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_16">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">The Sponsor</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_19">114</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_19">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Duties of the Sponsor</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_19">117</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_19">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Ownership or Beneficial Interest in the Funds</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_20">117</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_20">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Management; Voting by Shareholders</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_20">118</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_20">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Recognition of the Trust and the Funds in Certain States</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_20">118</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_20">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Possible Repayment of Distributions Received by Shareholders</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_20">118</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_20">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Shares Freely Transferable</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_20">118</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_20">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Book-Entry Form</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_20">118</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_20">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Reports to Shareholders</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_21">118</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_21">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Net Asset Value (&#8220;NAV&#8221;)</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_21">119</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_21">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Indicative Optimized Portfolio Value (&#8220;IOPV&#8221;)</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_22">119</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_22">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Termination Events</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_22">120</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_22">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">DISTRIBUTIONS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_22">120</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_22">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">THE ADMINISTRATOR</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_22">120</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_22">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">THE CUSTODIAN</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_22">120</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_22">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">THE TRANSFER AGENT</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_23">120</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_23">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">THE DISTRIBUTOR</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_23">121</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_23">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Description of SEI</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_23">121</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_23">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">THE SECURITIES DEPOSITORY; BOOK-ENTRY ONLY SYSTEM; GLOBAL SECURITY</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_24">121</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_24">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">SHARE SPLITS OR REVERSE SPLITS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_24">122</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_24">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">CONFLICTS OF INTEREST</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_25">122</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_25">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">MATERIAL CONTRACTS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_25">123</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_25">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Administration and Accounting Agreement</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_26">123</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_26">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Transfer Agency and Service Agreement</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_26">124</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_26">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Custody Agreement</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_26">124</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_26">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Distribution Agreement</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_27">124</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_27">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">PURCHASES BY EMPLOYEE BENEFIT PLANS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_27">125</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_27">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">General</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_27">125</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_27">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">&#8220;Plan Assets&#8221;</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_27">125</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_27">
</A></font></div> </div> </td> </tr>
<tr style="height:8.5pt;">
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Ineligible Purchasers</font></div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_28">125</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_28">
</A></font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:4.54%;margin-top:46pt;width:541pt;"> <div style="line-height:9.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:9pt;margin-left:0%;">-ii-</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div>
<div> <div> <a name="xx_13dbda19-3a2f-4bf2-83ef-1135efd7b14c_onecol_toc_3"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:4.54%;margin-top:56pt;width:541pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:34pt;">
<td style="padding-bottom:4pt;padding-top:4pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:0.5pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">&nbsp;</font></div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:30.77%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Page</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="padding-bottom:2.5pt;padding-top:4pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">PLAN OF DISTRIBUTION</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:4pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_28">126</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_28">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Buying and Selling Shares</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_28">126</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_28">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Authorized Participants</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_29">126</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_29">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Likelihood of Becoming a Statutory Underwriter</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_29">127</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_29">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">General</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_29">127</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_29">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">LEGAL MATTERS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_30">127</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_30">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">EXPERTS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_30">128</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_30">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">WHERE INVESTORS CAN FIND MORE INFORMATION</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_30">128</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_30">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">RECENT FINANCIAL INFORMATION AND ANNUAL REPORTS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_31">128</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_31">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">PRIVACY POLICY</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_31">129</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_31">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">The Trust&#8217;s Commitment to Investors</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_31">129</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_31">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">The Information the Trust Collects About Investors</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_31">129</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_31">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">How the Trust Handles Investors&#8217; Personal Information</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_31">129</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_31">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">How the Trust Safeguards Investors&#8217; Personal Information</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_31">129</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_31">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">INCORPORATION BY REFERENCE OF CERTAIN DOCUMENTS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_1">129</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_1">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">FUTURES COMMISSION MERCHANTS</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_1">131</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_1">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Litigation and Regulatory Disclosure Relating to FCMs</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_74">131</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_74">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Margin Levels Expected to be Held at the FCMs</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_74">204</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_74">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">SWAP COUNTERPARTIES</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_75">204</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_75">
</A></font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:9pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:5.24%;">Litigation and Regulatory Disclosure Relating to Swap Counterparties</font></div> </div> </td>
<td style="padding-bottom:2.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> <a href="#xx_1177034f-0ab0-4bc7-8632-c4f57c8cc945_1">205</A></font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> <a href="#xx_1177034f-0ab0-4bc7-8632-c4f57c8cc945_1">
</A></font></div> </div> </td> </tr>
<tr style="height:8.5pt;">
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;width:95.19%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:1.55%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:6.99%;">APPENDIX A&#8212;GLOSSARY OF DEFINED TERMS</font></div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:2.5pt;vertical-align:Bottom;width:4.81%;"> <div style="line-height:11pt;"> <div style="margin-left:30.77%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">A</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">-</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">1</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:11pt;"> </font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:3.0pt;text-align:left;"> </div> </div>
<div style="float:left;margin-left:4.54%;margin-top:46pt;width:541pt;"> <div style="line-height:9.0pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:9pt;margin-left:0%;">-iii-</font></div> </div>
</div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_1"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PART ONE</font></div>
<div style="line-height:10.0pt;margin-top:3.0pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;margin-left:0%;">OFFERED SERIES DISCLOSURE</font></div>
<div style="line-height:13.0pt;margin-top:11pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">SUMMARY</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Investors should read the following summary together with the more detailed
information in this Prospectus before investing in Shares of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">any of the Funds, including the information under the caption &#8220;Risk Factors,&#8221;
and all exhibits to this Prospectus and the information </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">incorporated by reference in this Prospectus, including the financial statements and the notes to
those financial statements in the Trust&#8217;s Annual </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Report on Form 10-K, and the Quarterly Reports on Form 10-Q, and Current Reports, if any, on Form
8-K. Please see the section entitled </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">&#8220;Incorporation by Reference of Certain Documents&#8221; in Part Two of this Prospectus. Investors should also
read any updated Prospectus, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">supplements to this Prospectus, notices and press releases, and other important information about the Funds which are posted
on the Sponsor&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">website at www.ProShares.com.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">For ease of reference, any references throughout this Prospectus to various actions taken by any or all of the Funds are actually actions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">taken by the Trust on behalf of such Funds.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">The definitions of capitalized terms used in this Prospectus can
be found in the Glossary of Defined Terms in Appendix A and throughout </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">this Prospectus.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Important Information About the Funds</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:1.0pt;margin-top:-1pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;margin-left:1pt;">&#8202;</font></div> <div style="line-height:11.0pt;margin-left:6pt;margin-top:5pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:18pt;">THE FUNDS PRESENT SIGNIFICANT RISKS NOT APPLICABLE TO OTHER TYPES OF FUNDS. THE FUNDS ARE NOT </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">APPROPRIATE FOR ALL INVESTORS. THE VIX FUTURES FUND INCLUDES RISKS RELATING TO INVESTING IN AND </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">SEEKING
EXPOSURE TO VIX FUTURES CONTRACTS. THE GEARED FUNDS THAT USE LEVERAGE ARE RISKIER THAN </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">SIMILARLY BENCHMARKED EXCHANGE-TRADED FUNDS THAT DO NOT USE LEVERAGE. AN INVESTOR
SHOULD ONLY </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">CONSIDER AN INVESTMENT IN A GEARED FUND IF HE OR SHE UNDERSTANDS THE CONSEQUENCES OF SEEKING </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">DAILY LEVERAGED, DAILY INVERSE OR DAILY INVERSE LEVERAGED INVESTMENT RESULTS, INCLUDING THE IMPACT </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">OF
COMPOUNDING ON GEARED FUND PERFORMANCE.</font></div> <div style="line-height:11.0pt;margin-left:6pt;margin-top:6pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:18pt;">THE RETURN OF A GEARED FUND
FOR A PERIOD LONGER THAN A SINGLE DAY IS THE RESULT OF ITS RETURN FOR </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">EACH DAY COMPOUNDED OVER THE PERIOD AND USUALLY WILL DIFFER IN AMOUNT AND POSSIBLY EVEN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">DIRECTION FROM THE GEARED FUND&#8217;S STATED MULTIPLE TIMES THE RETURN OF THE FUND&#8217;S BENCHMARK FOR THE </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SAME PERIOD. THESE DIFFERENCES CAN BE SIGNIFICANT.</font></div> <div style="line-height:11.0pt;margin-left:6pt;margin-top:6pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:18pt;">THE FUNDS&#8217; INVESTMENTS MAY BE ILLIQUID (I.E., DIFFICULT OR IMPOSSIBLE TO SELL AT THE DESIRED PRICE) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">AND/OR HIGHLY VOLATILE AND THE FUNDS MAY EXPERIENCE LARGE LOSSES FROM BUYING, SELLING OR HOLDING </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">SUCH
INVESTMENTS. AN INVESTOR IN ANY OF THE FUNDS COULD POTENTIALLY LOSE THE FULL PRINCIPAL VALUE </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">OF HIS/HER INVESTMENT WITHIN A SINGLE DAY.</font></div>
<div style="line-height:11.0pt;margin-top:6pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">SHAREHOLDERS WHO INVEST IN THE FUNDS SHOULD ACTIVELY MANAGE AND MONITOR THEIR INVESTMENTS,
</font></div> <div style="background-color:#FCFCFC;line-height:11.0pt;margin-left:0.19%;margin-top:3.0pt;text-align:left;"> <div style="margin-left:0%;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:6pt;">AS
FREQUENTLY AS DAILY.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">&#8194;</font></div> </div> <div style="line-height:11.0pt;margin-top:19pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Short Euro Fund seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the performance of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its benchmark for a single day, not for any other period. Each UltraShort Fund seeks daily investment results, before fees and expenses, that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">correspond to two times the inverse (-2x) of the performance of its benchmark for a single day, not for any other period. Each Ultra Fund seeks </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">daily investment results, before fees and expenses, that correspond to two times (2x) the performance of its benchmark for a single day, not for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">any other period. The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">period and usually will differ in amount and possibly even direction from the Geared Fund&#8217;s stated multiple times the return of the Geared </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s benchmark for the same period. These differences can be significant. Daily compounding of a Geared Fund&#8217;s investment returns can </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dramatically and adversely affect its longer-term performance, especially during periods of high volatility.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-4</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_2"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Volatility has a negative impact on
Geared Fund performance and the volatility of a Geared Fund&#8217;s benchmark may be at least as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">important to a Geared Fund&#8217;s return as the return of the Geared
Fund&#8217;s benchmark. Each Geared Fund (except for the Short Euro Fund) uses </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">leverage and should produce returns for a single day that are more volatile than that of its
benchmark. For example, the return for a single day of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">an Ultra Fund with a 2x multiple should be approximately two times as volatile for a single day as the return of a
fund with an objective of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">matching the same benchmark. The return for a single day of an UltraShort Fund with a -2x multiple should be approximately two times as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">volatile for a single day as the return of a fund with an objective of matching the same benchmark. The Short Euro Fund is designed to return for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a single day the inverse (-1x) of the return that would be expected of a fund with an objective of matching the same benchmark for such day.</font></div>
<div style="line-height:1.0pt;margin-top:-1pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;margin-left:1pt;">&#8202;</font></div>
<div style="line-height:11.0pt;margin-left:6pt;margin-top:5pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:18pt;">THE VIX FUTURES FUND PRESENTS DIFFERENT RISKS THAN OTHER TYPES OF FUNDS,
INCLUDING RISKS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">RELATING TO INVESTING AND SEEKING EXPOSURE TO VIX FUTURES CONTRACTS. AN INVESTOR SHOULD ONLY </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CONSIDER AN INVESTMENT IN THE VIX FUTURES FUND IF HE OR SHE UNDERSTANDS THE CONSEQUENCES OF </font></div>
<div style="background-color:#FCFCFC;line-height:11.0pt;margin-left:0.19%;margin-top:3.0pt;text-align:left;"> <div style="margin-left:0%;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:6pt;">SEEKING EXPOSURE TO VIX
FUTURES CONTRACTS.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">&#8194;</font></div> </div> <div style="line-height:11.0pt;margin-top:19pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The VIX Futures Fund is benchmarked to the S&amp;P 500 VIX Mid-Term Futures Index (the &#8220;Index&#8221;), an investable index of VIX futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts. The VIX Futures Fund is a matching fund (the &#8220;Matching Fund&#8221;) which seeks results, before fees and expenses, that over time match </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the performance of the Index. The VIX Futures Fund is not benchmarked to the VIX Index (which is commonly referred to as the &#8220;VIX&#8221;). The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">VIX is a non-investable index that measures the implied volatility of the S&amp;P 500. For these purposes, &#8220;implied volatility&#8221; is a measure of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">expected volatility (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., the rate and magnitude of variations in performance) of the S&amp;P 500 over the next 30 days. The VIX does not represent </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the actual volatility of the S&amp;P 500. The VIX is calculated based on the prices of a constantly changing portfolio of S&amp;P 500 put and call </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">options. The index underlying the VIX Futures Fund consists of mid-term VIX futures contracts.</font></div> <div style="line-height:1.0pt;margin-top:-1pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;margin-left:1pt;">&#8202;</font></div> <div style="line-height:11.0pt;margin-top:5pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">THE PERFORMANCE OF THE INDEX AND THE VIX FUTURES FUND CAN BE EXPECTED TO BE VERY DIFFERENT </font></div>
<div style="background-color:#FCFCFC;line-height:11.0pt;margin-left:0.19%;margin-top:3.0pt;text-align:left;"> <div style="margin-left:0%;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:6pt;">FROM THE ACTUAL
VOLATILITY OF THE S&amp;P 500 OR THE PERFORMANCE OF THE VIX INDEX.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">&#8194;</font></div> </div>
<div style="line-height:11.0pt;margin-top:19pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Unlike certain other asset classes that, in general, have historically increased in price over
long periods of time, the volatility of the S&amp;P </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">500 as measured by the VIX has historically reverted to a long-term average level over time. This means that the
potential upside of an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment in the VIX Futures Fund may be limited. In addition, gains of the VIX Futures Fund, if any, may be subject to significant and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unexpected reversals. Investors holding Shares of the VIX Futures Fund beyond short-term periods have an increased risk of losing a substantial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">portion of their investment. Historically, the longer an investor&#8217;s holding period in the VIX Futures Fund, the greater the potential of loss. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">VIX Futures Fund generally is intended to be used only for short-term investment horizons.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Overview</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Each Fund is listed below along with its respective benchmark.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">The VIX Futures Fund</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font><font style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div>
<div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Fund Name</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:10pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares VIX Mid-Term Futures ETF</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">S&amp;P 500</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">&#174;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> VIX Mid-Term Futures Index</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">The Natural Gas Funds</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
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<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Fund Name</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra Bloomberg Natural Gas</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Natural Gas Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Bloomberg Natural Gas</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Natural Gas Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-5</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_3">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">The Precious Metals Funds</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Fund Name</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Silver</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Silver Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Gold</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Gold Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">The
Currency Funds</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font><font style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Fund Name</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Australian Dollar</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The U.S. dollar price of the Australian dollar</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra Euro</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The U.S. dollar price of the euro</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Short Euro</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The U.S. dollar price of the euro</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Euro</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The U.S. dollar price of the euro</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra Yen</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The U.S. dollar price of the Japanese yen</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Yen</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The U.S. dollar price of the Japanese yen</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:6pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">The VIX Futures Fund</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:7pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The VIX Futures Fund is sometimes referred to herein as the &#8220;Matching Fund.&#8221; This
Fund offers investors the opportunity to obtain </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;matching&#8221;
(</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e.,</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> not leveraged, inverse or inverse leveraged) exposure to its
underlying benchmark, as described herein.</font></div> <div style="line-height:11.0pt;margin-top:7pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">The Geared Funds</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:7pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Geared Funds currently include the following Funds: the Natural Gas Funds, the Precious Metals Funds and the Currency Funds.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The &#8220;Short Fund&#8221; seeks daily investment results, before fees and expenses, that
correspond to the inverse (-1x) of the performance of its </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark for a single day. Each &#8220;UltraShort Fund&#8221; seeks daily investment results, before fees and
expenses, that correspond to two times the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">inverse (-2x) of the performance of its benchmark. Each &#8220;Ultra Fund&#8221; seeks daily investment results, before fees and
expenses, that correspond </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to two times (2x) of the performance of its benchmark. The Geared Funds do not seek to achieve their stated objective over a period greater than
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">a single day. A &#8220;single day&#8221; is measured from the time the Fund calculates its net asset value (&#8220;NAV&#8221;) to the time of the Fund&#8217;s next </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">NAV calculation.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Geared Fund seeks to engage in daily rebalancing to position its portfolio so that its
exposure to its benchmark is consistent with its </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">daily investment objective. The impact of changes to the value of a Fund&#8217;s benchmark each day will affect whether
such Fund&#8217;s portfolio needs </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to be rebalanced. For example, if the Short Fund&#8217;s or an UltraShort Fund&#8217;s benchmark has risen on a given day, net assets of
such Fund should </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">fall (assuming there were no Creation Units issued). As a result, inverse exposure will need to be decreased. Conversely, if the Short Fund&#8217;s or
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">an UltraShort Fund&#8217;s benchmark has fallen on a given day, net assets of such Fund should rise (assuming there were no Creation Unit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">redemptions). As a result, inverse exposure will need to be increased. For an Ultra Fund, the Fund&#8217;s long exposure will need to be increased on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">days when such Fund&#8217;s benchmark rises (assuming there were no Creation Unit redemptions) and decreased on days when such Fund&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark falls (assuming there were no Creation Units issued). The time and manner in which a Geared Fund rebalances its portfolio may vary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">from day to day at the discretion of the Sponsor depending upon market conditions and other circumstances.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-6</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_4"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:1.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;margin-left:1pt;">&#8202;</font></div>
<div style="line-height:11.0pt;margin-left:6pt;margin-top:5pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:18pt;">DAILY REBALANCING AND THE COMPOUNDING OF EACH DAY&#8217;S RETURN OVER TIME MEANS
THAT THE RETURN </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">OF EACH GEARED FUND FOR A PERIOD LONGER THAN A SINGLE DAY WILL BE THE RESULT OF EACH DAY&#8217;S RETURNS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">COMPOUNDED OVER THE PERIOD, WHICH WILL VERY LIKELY DIFFER FROM A MULTIPLE (2X), THE INVERSE (-1X) OR </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">AN
INVERSE MULTIPLE (-2X) OF THE RETURN OF THE GEARED FUND&#8217;S BENCHMARK FOR THE SAME PERIOD. A </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">GEARED FUND WILL LOSE MONEY IF ITS BENCHMARK&#8217;S PERFORMANCE IS FLAT
OVER TIME, AND A GEARED FUND </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">CAN LOSE MONEY REGARDLESS OF THE PERFORMANCE OF ITS BENCHMARK, AS A RESULT OF DAILY REBALANCING, </font></div>
<div style="background-color:#FCFCFC;line-height:11.0pt;margin-left:0.19%;margin-top:3.0pt;text-align:left;"> <div style="margin-left:0%;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:6pt;">THE BENCHMARK&#8217;S
VOLATILITY, COMPOUNDING AND OTHER FACTORS.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">&#8194;</font></div> </div> <div style="line-height:11.0pt;margin-top:18pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">All Funds</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:7pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each of the Funds intends to invest in Financial Instruments to gain the appropriate amount of
exposure to its benchmark in the manner </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and to the extent described herein. &#8220;Financial Instruments&#8221; are instruments whose value is derived from the value of an
underlying asset, rate or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark (such asset, rate or benchmark, a &#8220;Reference Asset&#8221;) and include futures contracts, swap agreements, forward contracts,
option </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts, and other instruments. The Funds will not invest directly in any commodities or currencies.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In seeking to achieve the Funds&#8217; investment objectives, the Sponsor uses a mathematical
approach to investing. Using this approach, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor determines the type, quantity and mix of Financial Instruments that the Sponsor believes, in combination, should
produce daily returns </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">consistent with the Funds&#8217; objectives.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds are not actively managed by traditional methods (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">e.g</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., by effecting changes in the composition of a portfolio on the basis of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgments relating to economic,
financial and market conditions with a view toward obtaining positive results under all market conditions). </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Each Fund seeks to remain fully invested at all times in
Financial Instruments and money market instruments that, in combination, provide </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exposure to its underlying benchmark consistent with its investment objective, even during
periods in which the benchmark is flat or moving in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">a manner which causes the value of a Fund to decline.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor has the authority to change a Fund&#8217;s investment objective, benchmark or
investment strategy at any time, or to terminate the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trust or a Fund, in each case, without shareholder approval or advance notice, subject to applicable regulatory
requirements.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">ProShare Capital Management LLC, a Maryland limited liability company,
serves as the Trust&#8217;s Sponsor and commodity pool operator. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">The principal office of the Sponsor and the Funds is located at 7272 Wisconsin Avenue, 21</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">st</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Floor, Bethesda, Maryland 20814. The telephone </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">number of the Sponsor and each of the Funds is (240) 497-6400.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Purchases and Sales in the Secondary Market</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Shares of each Fund are listed on NYSE Arca, Inc. with the exception of Shares
of the VIX Mid-Term Futures ETF which are listed </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for trading on the Cboe BZX Exchange, Inc. (the &#8220;Exchange&#8221;) under the ticker symbols shown on the front cover
of this Prospectus. Secondary </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">market purchases and sales of Shares are subject to ordinary brokerage commissions and charges.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Creation and Redemption Transactions</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Only an Authorized Participant may purchase (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., create) or redeem Shares with the Funds. Authorized Participants may create and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">redeem Shares only in
large blocks of Shares known as &#8220;Creation Units&#8221;, each of which consists of 50,000 Shares (25,000 Shares with respect to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the VIX Futures Fund). An
&#8220;Authorized Participant&#8221; is an entity that has entered into an Authorized Participant Agreement with the Trust and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Sponsor. Creation Units are offered to
Authorized Participants at each Fund&#8217;s NAV. Creation Units in a Fund are expected to be created </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">when there is sufficient demand for Shares in such Fund that the
market price per Share is at a premium to the NAV per Share. Authorized </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Participants will likely sell such Shares to the public at prices that are expected to reflect,
among other factors, the trading price of the Shares of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">such Fund and the supply of and demand for the Shares at the time of sale. Similarly, it is expected that Creation
Units in a Fund will be </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">redeemed when the market price per Share of such Fund is at a discount to the NAV per Share. The Sponsor expects that the exploitation of such
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">arbitrage opportunities by Authorized Participants and their clients will tend to cause the public trading price of the Shares to track the NAV per </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-7</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_5"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Share of a Fund over time, though there can be no
guarantees this will be the case. Retail investors seeking to purchase or sell Shares on any day </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">effect such transactions in the secondary market at the market price per
Share, rather than in connection with the creation or redemption of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Creation Units.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A creation transaction, which is subject to acceptance by SEI Investments Distribution Co. (&#8220;SEI&#8221; or the &#8220;Distributor&#8221;), generally takes
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">place when an Authorized Participant deposits a specified amount of cash (unless as provided otherwise in this Prospectus) in exchange for a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">specified number of Creation Units. Similarly, Shares can be redeemed only in Creation Units, generally for cash (unless as provided otherwise </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in this Prospectus). Except when aggregated in Creation Units, Shares are not redeemable. The prices at which creations and redemptions occur </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">are based on the next calculation of the NAV after an order is received in proper form, as described in the Authorized Participant Agreement and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the related Authorized Participant Procedures Handbook. From time to time the Sponsor, in its sole discretion, may impose limits on the number </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Creation Units that may be created each day by each Authorized Participant, or on the total number of Creation Units that may be created by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">all Authorized Participants on such day, or may suspend the purchase and/or redemption of Creation Units altogether. For example, the Sponsor </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may impose such limits or suspension if it believes doing so would help a Fund manage its portfolio, such as by allowing a Fund to comply with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">counterparty or position limits, or to manage or otherwise comply with Share registration requirements, or in response to significant and/or rapid </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">increases in the size of a Fund as a result of an increase in creation activity. The manner by which Creation Units are purchased and redeemed is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">governed by the terms of this Prospectus, the Authorized Participant Agreement and Authorized Participant Procedures Handbook. Creation and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">redemption orders are not effective until accepted by the Distributor and may be rejected or revoked. By placing a purchase order, an Authorized </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Participant agrees to deposit cash (unless as provided otherwise in this Prospectus) with The Bank of New York Mellon (&#8220;BNYM&#8221;, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Custodian&#8221;, the &#8220;Transfer Agent&#8221; and the &#8220;Administrator&#8221;), acting in its capacity as custodian of the Funds.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Creation and redemption transactions must be placed each day with SEI by the create/redeem
cut-off time (stated below) to receive that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">day&#8217;s NAV. The Sponsor may require orders to be placed earlier if, for example, the Exchange or other exchange material
to the valuation or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">operation of such Fund closes before such cut-off time. Because the primary trading session for the commodities and/or futures contracts </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">underlying certain of the Funds have different closing (or fixing) times than U.S. Equity markets, the create/redeem cut-off time and NAV </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">calculation time for each Fund may differ. See the section entitled &#8220;Net Asset Value&#8221; for additional information about the NAV calculations.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:14.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.40%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:7.06%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Underlying Benchmark</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:36.34%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:5.71%;margin-right:5.71%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Create/Redeem Cut-off</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:34.26%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.06%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">NAV Calculation Time</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:29.40%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:7.06%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">S&amp;P 500 VIX Mid-Term Futures Index</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:36.34%;"> <div style="line-height:11pt;"> <div style="margin-left:5.71%;margin-right:5.71%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">2:00 p.m. (Eastern Time)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:34.26%;"> <div style="line-height:11pt;"> <div style="margin-left:6.06%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">4:00 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:29.40%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:7.06%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Natural Gas Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:36.34%;"> <div style="line-height:11pt;"> <div style="margin-left:5.71%;margin-right:5.71%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">2:00 p.m. (Eastern Time)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:34.26%;"> <div style="line-height:11pt;"> <div style="margin-left:6.06%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">2:30 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:29.40%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:7.06%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Silver Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:36.34%;"> <div style="line-height:11pt;"> <div style="margin-left:5.71%;margin-right:5.71%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">1:00 p.m. (Eastern Time)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:34.26%;"> <div style="line-height:11pt;"> <div style="margin-left:6.06%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">1:25 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:29.40%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:7.06%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Gold Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:36.34%;"> <div style="line-height:11pt;"> <div style="margin-left:5.71%;margin-right:5.71%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">1:00 p.m. (Eastern Time)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:34.26%;"> <div style="line-height:11pt;"> <div style="margin-left:6.06%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">1:30 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:29.40%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:7.06%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Australian dollar</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:36.34%;"> <div style="line-height:11pt;"> <div style="margin-left:5.71%;margin-right:5.71%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">3:00 p.m. (Eastern Time)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:34.26%;"> <div style="line-height:11pt;"> <div style="margin-left:6.06%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">4:00 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:29.40%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:7.06%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Euro</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:36.34%;"> <div style="line-height:11pt;"> <div style="margin-left:5.71%;margin-right:5.71%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">3:00 p.m. (Eastern Time)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:34.26%;"> <div style="line-height:11pt;"> <div style="margin-left:6.06%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">4:00 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:29.40%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:7.06%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Yen</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:36.34%;"> <div style="line-height:11pt;"> <div style="margin-left:5.71%;margin-right:5.71%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">3:00 p.m. (Eastern Time)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:34.26%;"> <div style="line-height:11pt;"> <div style="margin-left:6.06%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">4:00 p.m. (Eastern Time)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Breakeven Amounts</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A Fund will be profitable only if returns from the Fund&#8217;s investments exceed its
&#8220;breakeven amount.&#8221; Estimated breakeven amounts are </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">set forth in the table below. The estimated breakeven amounts represent the estimated amount of trading
income that each Fund would need to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">achieve during one year to offset the Fund&#8217;s estimated fees, costs and expenses, net of any interest income earned by the Fund on
its </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investments. Estimated amounts do not represent actual results, which may be different. It is not possible to predict whether a Fund will break </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">even at the end of the first twelve months of an investment or any other period. See &#8220;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Charges&#8212;Breakeven Table</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">,&#8221; beginning on page </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">80</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">, for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">more detailed tables
showing Breakeven Amounts.</font><font style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:35.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:57.09%;"> <div style="line-height:10.0pt;"> <div style="margin-left:8.05%;margin-right:1.34%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Fund Name</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:2.94%;margin-right:2.94%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Breakeven Amount</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">(% Per Annum of</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Average</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Daily NAV)*</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:2.94%;margin-right:2.94%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Assumed</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Selling</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Price</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Per Share*</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:2.27%;margin-right:25.00%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Breakeven Amount</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">($ for the</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Assumed Selling</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Price Per Share)*</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
</tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:57.09%;"> <div style="line-height:11pt;"> <div style="margin-left:8.05%;margin-right:1.34%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares VIX Mid-Term Futures ETF</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:32.91%;margin-right:32.91%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">35.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.45%;margin-right:20.45%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">0.34</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:57.09%;"> <div style="line-height:11pt;"> <div style="margin-left:8.05%;margin-right:1.34%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra Bloomberg Natural Gas</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:32.91%;margin-right:32.91%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.61%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">40.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.45%;margin-right:20.45%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">0.64</font></div> </div> </td> </tr> </table> </div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-8</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_d36a7f8d-3f28-415c-b5c9-299b97a5a2a4_6"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:35.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:57.09%;"> <div style="line-height:10.0pt;"> <div style="margin-left:8.05%;margin-right:1.34%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Fund Name </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:2.94%;margin-right:2.94%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Breakeven Amount</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">(% Per Annum of</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Average</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Daily NAV)* </font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:2.94%;margin-right:2.94%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Assumed</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Selling</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Price</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Per Share* </font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:2.27%;margin-right:25.00%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Breakeven Amount</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">($ for the</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Assumed Selling</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Price Per Share)* </font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:57.09%;"> <div style="line-height:11pt;"> <div style="margin-left:8.05%;margin-right:1.34%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Bloomberg Natural Gas</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:32.91%;margin-right:32.91%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.88%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">10.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.45%;margin-right:20.45%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">0.19</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:57.09%;"> <div style="line-height:11pt;"> <div style="margin-left:8.05%;margin-right:1.34%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Silver</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:32.91%;margin-right:32.91%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.49%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">30.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.45%;margin-right:20.45%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">0.45</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:57.09%;"> <div style="line-height:11pt;"> <div style="margin-left:8.05%;margin-right:1.34%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Gold</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:32.91%;margin-right:32.91%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.37%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">35.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.45%;margin-right:20.45%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">0.48</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:57.09%;"> <div style="line-height:11pt;"> <div style="margin-left:8.05%;margin-right:1.34%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra Euro</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:32.91%;margin-right:32.91%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">15.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.45%;margin-right:20.45%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">0.15</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:57.09%;"> <div style="line-height:11pt;"> <div style="margin-left:8.05%;margin-right:1.34%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Short Euro</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:32.91%;margin-right:32.91%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.97%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">45.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.45%;margin-right:20.45%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">0.44</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:57.09%;"> <div style="line-height:11pt;"> <div style="margin-left:8.05%;margin-right:1.34%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Euro</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:32.91%;margin-right:32.91%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">25.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.45%;margin-right:20.45%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">0.25</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:57.09%;"> <div style="line-height:11pt;"> <div style="margin-left:8.05%;margin-right:1.34%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Australian Dollar</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:32.91%;margin-right:32.91%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.03%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">50.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.45%;margin-right:20.45%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">0.52</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:57.09%;"> <div style="line-height:11pt;"> <div style="margin-left:8.05%;margin-right:1.34%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra Yen</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:32.91%;margin-right:32.91%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">50.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.45%;margin-right:20.45%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">0.49</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:57.09%;"> <div style="line-height:11pt;"> <div style="margin-left:8.05%;margin-right:1.34%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Yen</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:32.91%;margin-right:32.91%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">80.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.45%;margin-right:20.45%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">0.78</font></div> </div> </td> </tr> </table> </div> <div>
<div style="clear:both;margin-top:7pt;position:relative;"> <div style="float:left;line-height:11pt;text-align:left;width:48pt;"> <hr style="background-color:#000000;height:0.5pt;margin-left:0%;text-align:left;width:48pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">*</font></div> <div style="float:left;line-height:11pt;text-align:left;width:469.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">The breakeven analysis
set forth in this table assumes that the Shares have a constant NAV equal to the amount shown. The amount </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximates the NAV of such shares based on recent NAV history
as of November 30, 2021, rounded to the nearest $5. The actual NAV </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of each Fund differs and is likely to change on a daily basis. The numbers in this chart have been
rounded to the nearest 0.01.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Important Tax Information</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Please note that each Fund will distribute to each shareholder a Schedule K-1 that will contain
information regarding the shareholder&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">share of income and expense items of the Fund. Schedule K-1 is a complex form and shareholders may find that preparing tax
returns may </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">require additional time or may require the assistance of an accountant or other tax preparer, at an additional expense to the shareholder.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-9</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_04aa24c4-4c1a-47e9-8880-7e3e972cf2cb_1"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:13.0pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">RISK FACTOR
SUMMARY</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Risks Related to All Funds</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Each Fund seeks to achieve its investment objective even during periods when the performance of the Fund&#8217;s benchmark is flat or when the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark is moving in a manner that may cause the value of the Fund to decline.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">There is no guarantee that any Fund will achieve its investment
objective.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Potential negative impact from rolling futures positions; there have been extended periods in the past where the investment strategies utilized </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by the Funds have caused significant and sustained losses.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The number of underlying components included in a Fund&#8217;s
benchmark may impact the volatility of such benchmark, which could adversely </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">affect an investment in the Shares.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Possible
illiquid markets may cause or exacerbate losses; the large size of the positions the Funds may acquire increases these risks.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Changes implemented by the benchmark provider that affect the
composition and valuation of the benchmark could negatively impact the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">performance of the benchmark and therefore the performance of the Funds.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">For the Funds linked to a benchmark, changes implemented by the benchmark provider that affect the composition and valuation of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark could negatively impact the performance of the Funds.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The particular benchmark used by a Fund may underperform other
asset classes and may underperform other indices or benchmarks based </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">upon the same underlying Reference Asset.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">A Fund may change its investment objective, benchmark and investment strategies, and/or may terminate, at any time without shareholder</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> approval.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">There may be circumstances that could prevent or make it
impractical for a Fund to operate in a manner consistent with its investment objective</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> and investment strategies.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Historical correlation trends between Fund benchmarks and other asset classes may not continue or may reverse, limiting or eliminating any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">potential diversification or other benefit from owning a Fund.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The lack of active trading markets for the Shares may result in losses upon the
sale of such Shares.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Investors may be adversely affected by redemption or creation orders that are subject to postponement, suspension or rejection under certain</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> circumstances.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The NAV per Share may not correspond to the market price per Share.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Investors may be adversely affected by an overstatement or understatement of a Fund&#8217;s NAV due to the valuation method employed or errors </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the NAV calculation.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The liquidity of the Shares may also be affected by the
withdrawal from participation of Authorized Participants, which could adversely </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">affect the market price of the Shares.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Shareholders that are not Authorized Participants may only purchase or sell their Shares in secondary trading markets, and the conditions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">associated with trading in secondary markets may adversely affect investors&#8217; investment in the Shares.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">A Fund&#8217;s listing exchange may halt trading in Shares of the Fund which would adversely impact investors&#8217; ability to sell Shares and could </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">lead to investor losses.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Shareholders
do not have the protections associated with ownership of shares in an investment company registered under the 1940 Act.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-10</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_04aa24c4-4c1a-47e9-8880-7e3e972cf2cb_2"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Regulatory changes or
actions may alter the operations and profitability of the Funds.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Regulatory and exchange daily price limits, position limits and
accountability levels may cause the Sponsor to restrict the creation of Creation</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Units which could have a negative impact on the operation of each Fund, prevent a Fund
from achieving its investment objective, and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">disrupt secondary market trading of Fund Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The use of futures contracts may expose the Funds to liquidity and other risks,
which could result in significant loss to the Funds.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Margin requirements and position limits applicable to futures contracts and the ability of and market required by swap counterparties may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">limit a Fund&#8217;s ability to achieve sufficient exposure and prevent a Fund from achieving its investment objective.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The insolvency of a futures commission merchant (&#8220;FCM&#8221;) or clearinghouse or the failure of an FCM or clearinghouse to properly segregate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund assets held as margin on futures transactions may result in losses to the Funds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">A Fund&#8217;s performance could be adversely affected if an FCM reduces its
internal risk limits for the Fund.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The use of swap agreements may expose the Funds to liquidity risk, counterparty credit risk and other risks, which could result in significant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">loss to the Funds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The use of derivatives, such as swap agreements and forward contracts, exposes the Funds to counterparty credit risks.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The use of
options strategies may expose the Funds to significant loss and liquidity, counterparty and other risks.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Use of an options strategy is costly and may not protect a Fund.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Shareholders&#8217;
 tax liability may exceed cash distributions on the Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Investors in our Funds may be exposed to various tax risks, as described in further detail below.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Natural disasters and public health disruptions, such as the COVID-19 virus, may have a significant negative impact on the performance of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">each Fund; the risks and other information described herein could become outdated as a result of such events.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Financial markets, including the benchmark and Financial Instruments used by a Fund and Fund Shares may be subject to unusual trading </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">activity, volatility, and potential fraud and/or manipulation by third parties, which could have a negative impact on the performance of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark and the Fund or the liquidity and price of Fund Shares.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Benchmark changes and market transactions, including the daily
rebalancing of futures contracts by the Funds may have a significant impact </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">on the trading, liquidity and price of the futures contracts underlying the benchmark and, in
turn, a significant impact on the performance of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the benchmark and the Funds and the trading, liquidity, and price of Fund Shares.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Purchases of Creation Units by Authorized Participants may be limited or suspending by the Sponsor in its sole discretion. For example, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor may limit or suspend the purchase of Creation Units if it believes doing so would help a Fund manage its portfolio, such as by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">allowing a Fund to comply with counterparty or position limits, or to manage or otherwise comply with Share registration requirements, or in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">response to significant and/or rapid increases in the size of a Fund as a result of an increase in creation activity. This may, among other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">things, cause Fund Shares to trade at a premium to NAV or otherwise have a negative impact on the liquidity and trading of Fund Shares.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Risks Specific to the Geared Funds, VIX Futures Fund, Natural Gas Funds, Precious Metals Funds,
and Currency Funds</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The use of leveraged or inverse leveraged positions increases risk and could result in the total loss of an investor&#8217;s investment within a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">single day.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Due to the compounding of daily returns, a Geared Fund&#8217;s
returns over periods longer than a single day will likely differ in amount and possibly</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> even direction from the Fund&#8217;s stated multiple times the return of its
benchmark for such period. Intraday price performance of Geared </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund shares will likely differ from the Fund&#8217;s stated daily multiple times the performance of its
benchmark for such day.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-11</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_04aa24c4-4c1a-47e9-8880-7e3e972cf2cb_3">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;margin-left:15.15pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Intraday price performance of Geared Fund shares will likely
differ from the Fund&#8217;s stated daily multiple times the performance of its benchmark</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> for such day.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">To achieve a high degree of correlation with their applicable underlying benchmarks, the Geared Funds seek to rebalance their portfolios </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">daily to keep exposure consistent with their respective investment objectives. Various market factors may adversely affect such Geared </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Funds&#8217; ability to adjust exposure to requisite levels.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The Natural Gas Funds are linked to an index of natural gas
futures contracts, and are not directly linked to the &#8220;spot&#8221; price of natural gas. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Natural Gas futures contracts may perform very differently from the spot
price of natural gas.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The Precious Metals Funds do not hold gold or silver bullion. Rather, the Precious Metals Funds use Financial Instruments to gain exposure </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to gold or silver bullion. Using Financial Instruments to obtain exposure to gold or silver bullion may cause tracking error and subject the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Precious Metals Funds to the effects of contango and backwardation as described herein.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Currency exchange rates may be susceptible to distortion, manipulation and their
values may fluctuate drastically.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">VIX futures contracts can be highly volatile and the Fund may experience sudden and large losses when buying, selling or holding </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">such instruments.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-12</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_1">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:13.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">RISK FACTORS</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;margin-left:24pt;">Investing in the Funds involves significant risks not applicable to other types of investments. The Funds may be highly volatile and
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">you could potentially lose the full principal value of your investment within a single day. Before you decide to purchase any Shares,
you </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">should consider carefully the risks described below together with all of the other information included in this Prospectus, as well
as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">information found in documents incorporated by reference in this Prospectus. These risk factors may be amended, supplemented or
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">superseded from time to time by risk factors contained in any periodic report, prospectus supplement, post-effective amendment or in
other </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">reports filed with the SEC in the future.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">The assets that the Funds invest in can be highly volatile and the Funds may experience sudden and large losses when buying, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">selling or holding such instruments; you can lose all of your investment within a single day.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Investments linked to commodity or currency markets can be highly volatile compared to investments in traditional securities and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Funds may experience sudden and large losses. These markets may fluctuate widely based on a variety of factors including changes in overall </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">market movements, political and economic events, wars, acts of terrorism, natural disasters (including disease, epidemics and pandemics) and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">changes in interest rates or inflation rates. High volatility may have an adverse impact on the performance of the Funds. An investor in any of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Funds could potentially lose the full principal value of his or her investment within a single day.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Risks Specific to the Geared Funds</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The use of leveraged or inverse leveraged positions increases risk and could
result in the total loss of an investor&#8217;s investment within a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">single day.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each of the Geared Funds (except for the Short Euro Fund) utilizes leverage in seeking to achieve
its investment objective and will lose </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">more money in market environments adverse to its daily investment objective than funds that do not employ leverage. The use of
leveraged </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and/or inverse leveraged positions increases risk and could result in the total loss of an investor&#8217;s investment within a single day. The more a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund invests in leveraged positions, the more this leverage will magnify any losses on those investments. A Fund&#8217;s investments in leveraged </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">positions generally requires a small investment relative to the amount of investment exposure assumed. As a result, such investments may give </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rise to losses that far exceed the amount invested in those instruments.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">For example, because the Ultra Funds and the UltraShort Funds offered hereby include a two times (2x) or a two times inverse (-2x) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">multiplier, a single-day movement in the benchmark for one of these Funds approaching 50% at any point in the day could result in the total loss </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or almost total loss of an investment in such Fund if that movement is contrary to the investment objective of the Fund. This would be the case </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with downward single-day or intraday movements in the underlying benchmark of an Ultra Fund or upward single day or intraday movements in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times and even if the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark subsequently moves in an opposite direction, eliminating all or a portion of the prior adverse movement. It is not possible to predict </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">when sudden large changes in the daily movement of a benchmark may occur.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Due to the compounding of daily returns, a Geared Fund&#8217;s returns over periods longer than a single day will likely differ in amount and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">possibly even direction from the Fund&#8217;s stated multiple times the return of its benchmark for such period.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each of the Geared Funds is &#8220;geared&#8221; which means that each has an investment
objective to seek daily investment results, before fees and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">expenses, that correspond either to two times (2x), the inverse (-1x) or two times the inverse (-2x) of the
performance of a benchmark for a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">single day, not for any other period. A single day is measured from the time a Fund calculates its respective net asset value
(&#8220;NAV&#8221;) to the time </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Fund&#8217;s next NAV calculation. The NAV calculation times for the Funds typically range from 7:00 a.m. to 4:15 p.m. (Eastern
Time); </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">please see the section entitled &#8220;Summary&#8211;Creation and Redemption Transactions&#8221; above for additional details on the NAV calculation times for
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Funds. The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and usually will differ from two times (2x), the inverse (-1x) or two times the inverse (-2x) of the return of the Geared Fund&#8217;s benchmark for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">same period. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund&#8217;s stated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-13</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_2"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and holding period increase. The impact of compounding
will impact each shareholder differently depending on the period of time an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment in a Geared Fund is held and the volatility of the benchmark during the holding
period of an investment in the Geared Fund.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A Geared Fund will lose money if its
benchmark&#8217;s performance is flat over time, and a Geared Fund can lose money regardless of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">performance of an underlying benchmark, as a result of daily
rebalancing, the benchmark&#8217;s volatility, compounding and other factors. Longer </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">holding periods, higher benchmark volatility, inverse exposure and greater leverage
each affect the impact of compounding on a Geared Fund&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">returns. Daily compounding of a Geared Fund&#8217;s investment returns can dramatically and adversely affect
performance, especially during periods </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of high volatility. Volatility has a negative impact on Geared Fund performance and the volatility of a Geared Fund&#8217;s
benchmark may be at least </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">as important to a Geared Fund&#8217;s return for a period as the return of the Fund&#8217;s benchmark.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each of the Ultra Fund and UltraShort Fund uses leverage and should produce returns for a single
day that are more volatile than that of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">its benchmark. For example, the return for a single day of an Ultra Fund with a 2x multiple should be approximately two times as
volatile for a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">single day as the return of a fund with an objective of matching the performance of the same benchmark. The return for a single day of an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UltraShort Fund with a -2x multiple should be approximately two times as volatile for a single day as the inverse of the return of a fund with an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">objective of matching the performance of the same benchmark.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Geared Funds are not appropriate for all investors and present different risks than other funds. The Geared Funds (other than the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Short Euro Fund) use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inverse leveraged investment results for a single day. Shareholders who invest in the Geared Funds should actively manage and monitor their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investments, as frequently as daily.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The hypothetical examples below illustrate how daily geared fund returns can behave for periods longer than a single day. Each involves </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a hypothetical fund XYZ that seeks returns that are two times (2x) the daily performance of benchmark XYZ, before fees and expenses. On each </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">day, fund XYZ performs in line with its objective (two times (2x) the benchmark&#8217;s daily performance before fees and expenses). Notice that, in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the first example (showing an overall benchmark loss for the period), over the entire seven-day period, the fund&#8217;s total return is more than two </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">times (2x) the loss of the period return of the benchmark. For the seven-day period, benchmark XYZ lost 3.26% while fund XYZ lost 7.01% </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(versus -6.52% (or 2 x -3.26%)).</font><font style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div>
<div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:44.11%;" rowspan="2"> <div style="line-height:0.5pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:23.13%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:5.80%;margin-right:5.80%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark XYZ</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:32.76%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.09%;margin-right:12.87%;padding-bottom:1pt;"> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Fund
XYZ</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:21pt;">
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:16.37%;margin-right:16.37%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Level</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:8.97%;margin-right:8.97%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Daily</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Performance</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:8.97%;margin-right:8.97%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Daily</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Performance</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:7.53%;margin-right:23.66%;padding-bottom:1pt;"> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Net
Asset</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Value</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Start</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">100.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:0.5pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:0.5pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">100.00</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Day 1</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">97.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">94.00</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Day 2</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">99.91</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">99.64</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Day 3</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">96.91</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">93.66</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Day 4</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">99.82</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">99.28</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Day 5</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">96.83</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">93.32</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Day 6</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">99.73</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">98.92</font></div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:2pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Day 7</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:2pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">96.74</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:33.18%;margin-right:33.18%;padding-bottom:1pt;">
<div style="text-align:right;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.00%</font></div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:33.18%;margin-right:33.18%;padding-bottom:1pt;">
<div style="text-align:right;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.00%</font></div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:2pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">92.99</font></div> </div> </td> </tr>
<tr style="height:16.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3.5pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Total Return</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3.5pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:0.5pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11.0pt;">
<div style="border-bottom:3pt double #000000;margin-left:33.18%;margin-right:33.18%;padding-bottom:1pt;"> <div style="text-align:right;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.26%</font></div>
</div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11.0pt;">
<div style="border-bottom:3pt double #000000;margin-left:33.18%;margin-right:33.18%;padding-bottom:1pt;"> <div style="text-align:right;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.01%</font></div>
</div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3.5pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:0.5pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Similarly, in another example (showing an overall benchmark gain for the period), over the entire seven-day period, the fund&#8217;s total return </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is considerably less than two times (2x) that of the period return of the benchmark. For the seven-day period, benchmark XYZ gained 2.72% </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">while fund XYZ gained 4.86% (versus 5.44% (or 2 &#215;
2.72%)).</font><font style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:44.11%;" rowspan="2"> <div style="line-height:0.5pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:23.13%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:5.80%;margin-right:5.80%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark XYZ</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:32.76%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.09%;margin-right:12.87%;padding-bottom:1pt;"> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Fund
XYZ</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:21pt;">
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:16.37%;margin-right:16.37%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Level</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:8.97%;margin-right:8.97%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Daily</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Performance</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:8.97%;margin-right:8.97%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Daily</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Performance</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:7.53%;margin-right:23.66%;padding-bottom:1pt;"> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Net
Asset</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Value</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Start</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">100.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:0.5pt;"> <div style="margin-left:35.10%;margin-right:35.10%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:0.5pt;"> <div style="margin-left:35.10%;margin-right:35.10%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:22.04%;margin-right:22.04%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">100.00</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Day 1</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">103.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:35.10%;margin-right:35.10%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:35.10%;margin-right:35.10%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:22.04%;margin-right:22.04%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">106.00</font></div> </div> </td> </tr> </table> </div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-14</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_3"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:44.11%;" rowspan="2"> <div style="line-height:0.5pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:23.13%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:5.80%;margin-right:5.80%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark XYZ </font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:32.76%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.09%;margin-right:12.87%;padding-bottom:1pt;"> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Fund
XYZ </font></div> </div> </div> </td> </tr>
<tr style="height:21pt;">
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:16.37%;margin-right:16.37%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Level </font></div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:8.97%;margin-right:8.97%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Daily</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Performance </font></div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:8.97%;margin-right:8.97%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Daily</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Performance </font></div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:7.53%;margin-right:23.66%;padding-bottom:1pt;"> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Net
Asset</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Value </font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Day 2</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">99.91</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">99.64</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Day 3</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">102.91</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">105.62</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Day 4</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">99.82</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">99.28</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Day 5</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">102.81</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">105.24</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Day 6</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">99.73</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:33.18%;margin-right:33.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">98.92</font></div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:2pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Day 7</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:2pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:11pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">102.72</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:33.18%;margin-right:33.18%;padding-bottom:1pt;">
<div style="text-align:right;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.00%</font></div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:33.18%;margin-right:33.18%;padding-bottom:1pt;">
<div style="text-align:right;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.00%</font></div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:2pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">104.86</font></div> </div> </td> </tr>
<tr style="height:16.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3.5pt;vertical-align:Bottom;width:44.11%;"> <div style="line-height:11pt;"> <div style="margin-left:10.42%;margin-right:3.91%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Total Return</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3.5pt;vertical-align:Bottom;width:8.19%;"> <div style="line-height:0.5pt;"> <div style="margin-left:21.05%;margin-right:21.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11.0pt;">
<div style="border-bottom:3pt double #000000;margin-left:33.18%;margin-right:33.18%;padding-bottom:1pt;"> <div style="text-align:right;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.72%</font></div>
</div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:3.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11.0pt;">
<div style="border-bottom:3pt double #000000;margin-left:33.18%;margin-right:33.18%;padding-bottom:1pt;"> <div style="text-align:right;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.86%</font></div>
</div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3.5pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:0.5pt;"> <div style="margin-left:17.74%;margin-right:17.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">These effects are caused by compounding, which exists in all investments, but has a more significant impact in geared funds. In general, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">during periods of higher benchmark volatility, compounding will cause an Ultra Fund&#8217;s returns for periods longer than a single day to be less </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">than two times (2x) the return of its benchmark (or less than the inverse (-1x) or two times the inverse (-2x) of the return of its benchmark for a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Short Fund or an UltraShort Fund, respectively). This effect becomes more pronounced as volatility increases. Conversely, in periods of lower </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark volatility (particularly when combined with higher benchmark returns), an Ultra Fund&#8217;s returns over longer periods can be greater </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">than two times (2x) the return of its benchmark (or greater than two times the inverse (-2x) of the return of its benchmark for an UltraShort </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund). Actual results for a particular period are also dependent on the magnitude of the benchmark return in addition to the benchmark volatility. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Similar effects exist for a Short Fund and an UltraShort Fund, and the significance of these effects may be even greater with such inverse, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inverse leveraged or leveraged funds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The graphs that follow illustrate this point. Each of the graphs shows a simulated hypothetical one-year performance of a benchmark </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">compared with the performance of a geared fund that perfectly achieves its geared daily investment objective. The graphs demonstrate that, for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">periods greater than a single day, a geared fund is likely to underperform or overperform (but not match) the benchmark performance (or the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inverse of the benchmark performance) times the multiple stated as the daily fund objective. Investors should understand the consequences of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">holding daily rebalanced funds for periods longer than a single day and should actively manage and monitor their investments, as frequently as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">daily. A one-year period is used solely for illustrative purposes. Deviations from the benchmark return (or the inverse of the benchmark return) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">times the fund multiple can occur over periods as short as two days (each day as measured from NAV to NAV) and may also occur in periods of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a single day, or even intra-day. To isolate the impact of daily leveraged, inverse or inverse leveraged exposure, these graphs assume: a) no fund </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">expenses or transaction costs; b) borrowing/lending rates of zero percent (to obtain required leveraged, inverse or inverse leveraged exposure) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and cash reinvestment rates of zero percent; and c) the fund consistently maintaining perfect exposure (-1x, -2x or 2x) as of the fund&#8217;s NAV </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">time each day. If these assumptions were different, the fund&#8217;s performance would be different than that shown. If fund expenses, transaction </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">costs and financing expenses greater than zero percent were included, the fund&#8217;s performance would also be different than shown. Each of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">graphs also assumes a volatility rate of 45% which is an approximate average of the five-year historical volatility rate of the most volatile </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark referenced herein (the daily performance of Bloomberg Natural Gas Subindex) as of November 30, 2021. A benchmark&#8217;s volatility </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rate is a statistical measure of the magnitude of fluctuations in its returns.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FOR
ILLUSTRATIVE PURPOSES ONLY.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-15</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_4">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:center;"><font
style="color:#000000;font-family:Arial;font-size:9pt;font-weight:bold;margin-left:0%;">One-Year Simulation; Benchmark Flat (0%)</font> <br><font style="color:#000000;font-family:Arial;font-size:9pt;font-weight:bold;">(Annualized Benchmark Volatility
45%)</font></div> <div style="margin-top:5pt;text-align:left;">
<img src="g313748pts11xvol43flat.jpg" alt=" " style="height:202pt;width:400pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:11pt;margin-left:0%;">&#8201;</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The graph above shows a scenario where the benchmark, which exhibits day-to-day volatility, is
flat or trendless over the year (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">provides a return of 0% over the course of the year), but the Short Fund (-1x) is down.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FOR
ILLUSTRATIVE PURPOSES ONLY.</font></div> <div style="line-height:11.0pt;margin-top:5pt;text-align:center;"><font style="color:#000000;font-family:Arial;font-size:9pt;font-weight:bold;margin-left:0%;">One-Year Simulation; Benchmark Down 36%</font>
<br><font style="color:#000000;font-family:Arial;font-size:9pt;font-weight:bold;">(Annualized Benchmark Volatility 45%)</font></div> <div style="margin-top:5pt;text-align:left;">
<img src="g313748pts11xvol43down.jpg" alt=" " style="height:202pt;width:400pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:11pt;margin-left:0%;">&#8201;</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-16</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_5"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The graph above shows a scenario where
the benchmark, which exhibits day-to-day volatility, is down over the year, but the Short Fund </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(-1x) is up less than the inverse of the benchmark.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FOR
ILLUSTRATIVE PURPOSES ONLY.</font></div> <div style="line-height:11.0pt;margin-top:5pt;text-align:center;"><font style="color:#000000;font-family:Arial;font-size:9pt;font-weight:bold;margin-left:0%;">One-Year Simulation; Benchmark Up 36%</font> <br><font
style="color:#000000;font-family:Arial;font-size:9pt;font-weight:bold;">(Annualized Benchmark Volatility 45%)</font></div> <div style="margin-top:5pt;text-align:left;">
<img src="g313748pts11xvol43up.jpg" alt=" " style="height:202pt;width:400pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:11pt;margin-left:0%;">&#8201;</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The graph above shows a scenario where the benchmark, which exhibits day-to-day volatility, is up
over the year, but the Short Fund </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(-1x) is down more than the inverse of the benchmark.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FOR
ILLUSTRATIVE PURPOSES ONLY.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-17</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_6">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:center;"><font
style="color:#000000;font-family:Arial;font-size:9pt;font-weight:bold;margin-left:0%;">One-Year Simulation; Benchmark Flat (0%)</font> <br><font style="color:#000000;font-family:Arial;font-size:9pt;font-weight:bold;">(Annualized Benchmark Volatility
45%)</font></div> <div style="margin-top:5pt;text-align:left;">
<img src="g313748pts12xvol43flat.jpg" alt=" " style="height:202pt;width:400pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:11pt;margin-left:0%;">&#8201;</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The graph above shows a scenario where the benchmark, which exhibits day-to-day volatility, is
flat or trendless over the year (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">provides a return of 0% over the course of the year), but the Ultra Fund (2x) and the UltraShort Fund (-2x) are both down.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FOR
ILLUSTRATIVE PURPOSES ONLY.</font></div> <div style="line-height:11.0pt;margin-top:5pt;text-align:center;"><font style="color:#000000;font-family:Arial;font-size:9pt;font-weight:bold;margin-left:0%;">One-Year Simulation; Benchmark Down 36%</font>
<br><font style="color:#000000;font-family:Arial;font-size:9pt;font-weight:bold;">(Annualized Benchmark Volatility 45%)</font></div> <div style="margin-top:5pt;text-align:left;">
<img src="g313748pts12xvol43down.jpg" alt=" " style="height:202pt;width:400pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:11pt;margin-left:0%;">&#8201;</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-18</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_7"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The graph above shows a scenario where
the benchmark, which exhibits day-to-day volatility, is down over the year, but the Ultra Fund </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(2x) is down less than two times the benchmark and the UltraShort Fund (-2x)
is up less than two times the inverse of the benchmark.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">HYPOTHETICAL PERFORMANCE
RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">FOR ILLUSTRATIVE PURPOSES ONLY.</font></div> <div style="line-height:11.0pt;margin-top:5pt;text-align:center;"><font
style="color:#000000;font-family:Arial;font-size:9pt;font-weight:bold;margin-left:0%;">One-Year Simulation; Benchmark Up 36%</font> <br><font style="color:#000000;font-family:Arial;font-size:9pt;font-weight:bold;">(Annualized Benchmark Volatility
45%)</font></div> <div style="margin-top:5pt;text-align:left;">
<img src="g313748pts12xvol43up.jpg" alt=" " style="height:202pt;width:400pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:11pt;margin-left:0%;">&#8201;</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The graph above shows a scenario where the benchmark, which exhibits day-to-day volatility, is up
over the year, but the Ultra Fund (2x) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">is up less than two times the benchmark and the UltraShort Fund (-2x) is down less than two times the inverse of the
benchmark.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The historical five-year average volatility of the benchmarks utilized by
the Funds ranges from 6.62% to 44.71% as of November 30, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2021, as set forth in the table below.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:26.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:83.14%;"> <div style="line-height:10.0pt;"> <div style="margin-left:5.53%;margin-right:0.92%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Benchmark</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:2.27%;margin-right:25.00%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Historical</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Five-Year Average</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">November 30, 2021</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:83.14%;"> <div style="line-height:11pt;"> <div style="margin-left:5.53%;margin-right:0.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">S&amp;P 500 VIX Mid-Term Futures Index</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:34.24%;margin-right:34.24%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">35.50%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:83.14%;"> <div style="line-height:11pt;"> <div style="margin-left:5.53%;margin-right:0.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Natural Gas Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:34.24%;margin-right:34.24%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">44.71%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:83.14%;"> <div style="line-height:11pt;"> <div style="margin-left:5.53%;margin-right:0.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Silver Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:34.24%;margin-right:34.24%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">28.91%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:83.14%;"> <div style="line-height:11pt;"> <div style="margin-left:5.53%;margin-right:0.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Gold Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">SM</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:34.24%;margin-right:34.24%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.44%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:83.14%;"> <div style="line-height:11pt;"> <div style="margin-left:5.53%;margin-right:0.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The U.S. dollar price of the Australian dollar</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:34.24%;margin-right:34.24%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.93%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:83.14%;"> <div style="line-height:11pt;"> <div style="margin-left:5.53%;margin-right:0.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The U.S. dollar price of the euro</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:34.24%;margin-right:34.24%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.62%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:83.14%;"> <div style="line-height:11pt;"> <div style="margin-left:5.53%;margin-right:0.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The U.S. dollar price of the Japanese yen</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:34.24%;margin-right:34.24%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.16%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Historical average volatility does not predict future volatility, which may be significantly higher or lower than historical averages.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Fund performance for periods greater than a single day can be estimated given any set of
assumptions for the following factors: a) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark volatility; b) benchmark performance; c) period of time; d) financing rates associated with leveraged exposure; and e)
other Fund </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">expenses. The tables below illustrate the impact of two factors that affect a geared fund&#8217;s performance: benchmark volatility and benchmark </font></div>
</div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-19</font></div> </div> </div>
</div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_8"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">return. Benchmark volatility is a statistical measure of
the magnitude of fluctuations in the returns of a benchmark and is calculated as the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">standard deviation of the natural logarithms of one plus the benchmark return
(calculated daily), multiplied by the square root of the number of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading days per year (assumed to be 252). The tables show estimated fund returns for a number of
combinations of benchmark volatility and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark return over a one-year period. To isolate the impact of daily leveraged, inverse or inverse leveraged exposure, these
tables assume: a) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">no fund expenses or transaction costs; b) borrowing/lending rates of zero percent (to obtain required leveraged, inverse or inverse leveraged </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exposure) and cash reinvestment rates of zero percent; and c) the fund consistently maintaining perfect exposure (2x, -1x, -2x) as of the fund&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">NAV time each day. If these assumptions were different, the fund&#8217;s performance would be different than that shown. If fund expenses, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transaction costs and financing expenses were included, the fund&#8217;s performance would be different than that shown.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The first table below shows an example in which a geared fund has an investment objective to
correspond (before fees and expenses) to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">two times (2x) the daily performance of a benchmark. The geared fund could incorrectly be expected to achieve a 20% return on a
yearly basis if </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the benchmark return was 10%, absent the effects of compounding. However, as the table shows, with a benchmark volatility of 40%, such a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">fund would return 3.1%. In the charts below, shaded areas represent those scenarios where a geared fund with the investment objective described </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">will outperform (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., return more than) the benchmark performance times the stated multiple in the fund&#8217;s investment objective; conversely </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">areas not shaded represent those scenarios where the fund will underperform (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., return less than) the benchmark performance times the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">multiple stated as the daily fund
objective.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO
REPRESENTATION IS BEING </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FOR
ILLUSTRATIVE PURPOSES ONLY.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Estimated Fund Return Over One Year
When the Fund&#8217;s Objective is to Seek Daily Investment Results, Before Fees and Expenses, that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Correspond to Two Times (2x) the
Performance of a Benchmark for a Single Day.</font><font style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:23.5pt;">
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.15%;" rowspan="2"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:-4.70%;margin-right:4.02%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">One Year</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Performance</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:10.35%;" rowspan="2"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:3.16%;margin-right:2.70%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Two Times (2x)</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">One Year</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Performance</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:81.50%;" colspan="15"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:0.34%;margin-right:-0.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark Volatility</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:11.5pt;">
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.03%;margin-right:5.90%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">0%</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;">
</font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.90%;margin-right:5.90%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">5%</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;">
</font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.90%;margin-right:5.90%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">10%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.90%;margin-right:5.90%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">15%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.90%;margin-right:5.90%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">20%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.90%;margin-right:5.90%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">25%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.90%;margin-right:5.90%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">30%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.90%;margin-right:5.90%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">35%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.90%;margin-right:5.90%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">40%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.90%;margin-right:5.90%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">45%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.14%;margin-right:6.14%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">50%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.14%;margin-right:6.14%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">55%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.14%;margin-right:6.14%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">60%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.14%;margin-right:6.14%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">65%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:7.09%;margin-right:-8.29%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">70%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:10pt;">
<td style="padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-60%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-120%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-84.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-84.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-84.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-84.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-84.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-85.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-85.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-85.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-86.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-86.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-87.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-88.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-88.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-89.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:4.62%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:7.69%;margin-right:7.69%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-90.2%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-55%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-110%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-79.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-79.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-80.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-80.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-80.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-81.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-81.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-82.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-82.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-83.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-84.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-85.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-85.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-86.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:7.69%;margin-right:7.69%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-87.6%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-50%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-100%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-75.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-75.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-75.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-75.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-76.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-76.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-77.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-77.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-78.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-79.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-80.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-81.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-82.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-83.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:7.69%;margin-right:7.69%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-84.7%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-45%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-90%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-69.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-69.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-70.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-70.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-70.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-71.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-72.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-73.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-74.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-75.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-76.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-77.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-78.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-80.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:7.69%;margin-right:7.69%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-81.5%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-40%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-80%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-64.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-64.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-64.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-64.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-65.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-66.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-67.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-68.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-69.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-70.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-72.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-73.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-74.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-76.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:7.69%;margin-right:7.69%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-77.9%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-35%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-70%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-57.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-57.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-58.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-58.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-59.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-60.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-61.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-62.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-64.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-65.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-67.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.33%;margin-right:13.33%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-68.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-70.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-72.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-74.1%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-30%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-60%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-51.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-51.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-51.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-52.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-52.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-54.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-55.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-56.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-58.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-60.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-61.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-63.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-65.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-67.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-70.0%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-25%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-50%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-43.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-43.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-44.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-45.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-46.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-47.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-48.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-50.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-52.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-54.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-56.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-58.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-60.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-63.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-65.5%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-20%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-40%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-36.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-36.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-36.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-37.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-38.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-39.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-41.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-43.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-45.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-47.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-50.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-52.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-55.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-58.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-60.8%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-15%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-30%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-27.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-27.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-28.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-29.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-30.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-32.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-34.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-36.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-38.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-41.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-43.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-46.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-49.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-52.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-55.7%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-10%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-20%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-19.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-19.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-19.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-20.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-22.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-23.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-26.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-28.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-31.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-33.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-36.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-40.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-43.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-46.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-50.4%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-10%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-9.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-10.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-10.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-11.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-13.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-15.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-17.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-20.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-23.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-26.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-29.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-33.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-37.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-40.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-44.7%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">0.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-0.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-1.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-2.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-3.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-6.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-8.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-11.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-14.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-18.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-22.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-26.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-30.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-34.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-38.7%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">10%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">10.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">10.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">9.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">7.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">5.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">3.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">0.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-2.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-6.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-10.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-14.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-18.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-23.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-27.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-32.5%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">10%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">20%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">21.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">20.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">19.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">18.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">16.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">13.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">10.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">7.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">3.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-1.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-5.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-10.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-15.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-20.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-25.9%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">15%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">30%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">32.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">31.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">30.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">29.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">27.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">24.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">20.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">17.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">12.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">8.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">3.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-2.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-7.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-13.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-19.0%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">20%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">40%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">44.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">43.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">42.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">40.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">38.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">35.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">31.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">27.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">22.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">17.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">12.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">6.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">0.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-5.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-11.8%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">25%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">50%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">56.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">55.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">54.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">52.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">50.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">46.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">42.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">38.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">33.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">27.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">21.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">15.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">9.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">2.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-4.3%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">30%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">60%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">69.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">68.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">67.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">65.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">62.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">58.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">54.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">49.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">44.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">38.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">31.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">24.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">17.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">10.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">3.5%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">35%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">70%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">82.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">81.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">80.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">78.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">75.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">71.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">66.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">61.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">55.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">48.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">41.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">34.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">27.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">19.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">11.7%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">40%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">80%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">96.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">95.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">94.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">91.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">88.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">84.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">79.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">73.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">67.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">60.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">52.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">44.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">36.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">28.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">20.1%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">45%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">90%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">110.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">109.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">108.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">105.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">102.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">97.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">92.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">86.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">79.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">71.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">63.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">55.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">46.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">37.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">28.8%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">50%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">100%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">125.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">124.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">122.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">120.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">116.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">111.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">105.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">99.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">91.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">83.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">75.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">66.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">57.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">47.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">37.8%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">55%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">110%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">140.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">139.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">137.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">134.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">130.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">125.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">119.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">112.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">104.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">96.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">87.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">77.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">67.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">57.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">47.2%</font></div> </div> </td> </tr>
<tr style="height:7pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.18%;margin-right:32.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">60%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.35%;"> <div style="line-height:9pt;"> <div style="margin-left:32.74%;margin-right:32.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">120%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">156.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">155.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">153.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">150.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">146.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">140.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">134.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.79%;margin-right:12.79%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">126.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">118.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.56%;"> <div style="line-height:9pt;"> <div style="margin-left:12.79%;margin-right:12.79%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">109.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">99.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">89.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">78.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.33%;"> <div style="line-height:9pt;"> <div style="margin-left:13.33%;margin-right:13.33%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">67.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.62%;"> <div style="line-height:9pt;"> <div style="margin-left:7.69%;margin-right:7.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">56.8%</font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-20</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_9">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FOR
ILLUSTRATIVE PURPOSES ONLY.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Estimated Fund Return Over One Year
When the Fund&#8217;s Objective is to Seek Daily Investment Results, Before Fees and Expenses, that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Correspond to the Inverse (-1x) of
the Performance of a Benchmark for a Single Day.</font><font style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:23.5pt;">
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.15%;" rowspan="2"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:-4.70%;margin-right:4.11%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">One Year</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Performance</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:10.14%;" rowspan="2"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:3.31%;margin-right:2.83%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Inverse (-1x) of</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">One Year</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Performance</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:81.70%;" colspan="15"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:0.35%;margin-right:-0.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark Volatility</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:11.5pt;">
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.16%;margin-right:6.02%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">0%</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;">
</font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.02%;margin-right:6.02%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">5%</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;">
</font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.02%;margin-right:6.02%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">10%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.02%;margin-right:6.02%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">15%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.02%;margin-right:6.02%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">20%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.02%;margin-right:6.02%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">25%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.02%;margin-right:6.02%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">30%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.02%;margin-right:6.02%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">35%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.02%;margin-right:6.02%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">40%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.02%;margin-right:5.99%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">45%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.24%;margin-right:6.24%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">50%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.24%;margin-right:6.24%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">55%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.24%;margin-right:6.24%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">60%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.24%;margin-right:6.24%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">65%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:7.20%;margin-right:-8.28%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">70%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:10pt;">
<td style="padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-60%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">60%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">150.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">149.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">147.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">144.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">140.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">134.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">128.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">121.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">113.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">104.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.34%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">94.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.34%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">84.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.34%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">74.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.34%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">63.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">53.2%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-55%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">55%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">122.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">121.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">120.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">117.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">113.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">108.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">103.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">96.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">89.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">81.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">73.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">64.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">55.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">45.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">36.1%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-50%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">50%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">100.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">99.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">98.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">95.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">92.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">87.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">82.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">76.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">70.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">63.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">55.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">47.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">39.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">31.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">22.5%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-45%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">45%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">81.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">81.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">80.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">77.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">74.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">70.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">66.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">60.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">54.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">48.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">41.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">34.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">26.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">19.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">11.4%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-40%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">40%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">66.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">66.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">65.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">63.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">60.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">56.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">52.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">47.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">42.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">36.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">29.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">23.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">16.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">9.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">2.1%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-35%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">35%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">53.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">53.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">52.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">50.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">47.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">44.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">40.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">36.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">31.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">25.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">19.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">13.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">7.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">0.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-5.7%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-30%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">30%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">42.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">42.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">41.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">39.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">37.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">34.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">30.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">26.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">21.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">16.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">11.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">5.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-0.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-6.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-12.5%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-25%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">25%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">33.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">33.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">32.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">30.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">28.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">25.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">21.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">18.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">13.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">8.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">3.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-1.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-7.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-12.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-18.3%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-20%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">20%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">25.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">24.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">23.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">22.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">20.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">17.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">14.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">10.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">6.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">2.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-2.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-7.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-12.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-18.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-23.4%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-15%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">15%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">17.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">17.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">16.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">15.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">13.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">10.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">7.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">4.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">0.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-3.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-8.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-13.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-17.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-22.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-27.9%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-10%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">10%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">11.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">10.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">10.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">8.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">6.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">4.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">1.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-1.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-5.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-9.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-13.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-17.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-22.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-27.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-31.9%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">5.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">5.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">4.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">2.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">1.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-1.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-3.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-6.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-10.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-14.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-18.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-22.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-26.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-31.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-35.5%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">0.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-0.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-1.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-2.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-3.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-6.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-8.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-11.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-14.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-18.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-22.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-26.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-30.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-34.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-38.7%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-4.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-5.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-5.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-6.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-8.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-10.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-13.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-15.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-18.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-22.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-25.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-29.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-33.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-37.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-41.7%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">10%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-10%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-9.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-9.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-10.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-11.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-12.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-14.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-16.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-19.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-22.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-25.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-29.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-32.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-36.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-40.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-44.3%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">15%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-15%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-13.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-13.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-13.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-15.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-16.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-18.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-20.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-23.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-25.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-29.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-32.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-35.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-39.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-43.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-46.7%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">20%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-20%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-16.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-16.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-17.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-18.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-19.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-21.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-23.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-26.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-29.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-31.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-35.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-38.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-41.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-45.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-48.9%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">25%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-25%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-20.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-20.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-20.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-21.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-23.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-24.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-26.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-29.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-31.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-34.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-37.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-40.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-44.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-47.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-51.0%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">30%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-30%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-23.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-23.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-23.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-24.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-26.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-27.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-29.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-31.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-34.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-37.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-40.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-43.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-46.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-49.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-52.9%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">35%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-35%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-25.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-26.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-26.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-27.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-28.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-30.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-32.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-34.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-36.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-39.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-42.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-45.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-48.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-51.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-54.6%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">40%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-40%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-28.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-28.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-29.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-30.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-31.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-32.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-34.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-36.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-39.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="line-height:9pt;"> <div style="margin-left:12.88%;margin-right:12.88%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-41.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-44.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-47.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-50.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-53.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-56.2%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">45%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-45%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-31.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-31.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-31.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-32.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-33.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-35.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-37.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-39.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-41.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-43.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-46.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-49.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-51.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-54.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-57.7%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">50%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-50%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-33.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-33.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-34.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-34.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-35.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-37.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-39.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-41.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-43.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-45.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-48.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-50.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-53.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-56.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-59.2%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">55%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-55%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-35.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-35.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-36.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-36.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-38.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-39.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-41.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-42.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-45.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-47.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-49.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-52.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-55.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="line-height:9pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-57.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-60.5%</font></div> </div> </td> </tr>
<tr style="height:7pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.15%;"> <div style="line-height:9pt;"> <div style="margin-left:32.19%;margin-right:32.19%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">60%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.14%;"> <div style="line-height:9pt;"> <div style="margin-left:35.68%;margin-right:35.68%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-60%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-37.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-37.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-38.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-38.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-40.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-41.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-42.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-44.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-46.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.57%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.88%;margin-right:12.88%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-49.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-51.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-53.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-56.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.34%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-59.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.63%;"> <div style="line-height:9pt;"> <div style="margin-left:7.74%;margin-right:7.74%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-61.7%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FOR
ILLUSTRATIVE PURPOSES ONLY.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-21</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_10">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Estimated Fund Return Over One Year When the Fund&#8217;s Objective is to Seek Daily Investment Results, Before Fees and Expenses, that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Correspond to Two Times the Inverse (-2x) of the Performance of a Benchmark for a Single Day.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:32.5pt;">
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.13%;" rowspan="2"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:-4.71%;margin-right:3.86%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">One Year</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Performance</font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:10.10%;" rowspan="2"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:3.11%;margin-right:2.64%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Two Times</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Inverse (-2x) of</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">One Year</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Performance</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:81.77%;" colspan="15"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:0.33%;margin-right:-0.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Benchmark Volatility</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:11.5pt;">
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:4.82%;margin-right:5.68%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">0%</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;">
</font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.68%;margin-right:5.68%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">5%</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;">
</font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.68%;margin-right:5.68%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">10%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.68%;margin-right:5.68%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">15%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.68%;margin-right:5.68%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">20%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.68%;margin-right:5.68%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">25%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.68%;margin-right:5.68%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">30%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.68%;margin-right:5.68%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">35%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.68%;margin-right:5.68%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">40%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.68%;margin-right:5.68%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">45%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.68%;margin-right:5.68%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">50%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.68%;margin-right:5.68%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">55%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.68%;margin-right:5.68%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">60%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:5.92%;margin-right:5.92%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">65%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:6.82%;margin-right:-8.32%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">70%</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:10pt;">
<td style="padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-60%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">120%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">525.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">520.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">506.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">484.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">454.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">418.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">377.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">332.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">286.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">240.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">195.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">152.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">112.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">76.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">43.7%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-55%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">110%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">393.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">390.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">379.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">361.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">338.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">309.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">277.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">242.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">205.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">169.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">133.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">99.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">67.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">39.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">13.5%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-50%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">100%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">300.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">297.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">288.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">273.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">254.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">231.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">205.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">177.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">147.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">117.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">88.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">61.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">35.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">12.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-8.0%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-45%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">90%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">230.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">228.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">220.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">209.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">193.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">174.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">152.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">128.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">104.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">80.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">56.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">33.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">12.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-6.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-24.0%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-40%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">80%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">177.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">175.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">169.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">159.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">146.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">130.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">112.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">92.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">71.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">51.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">31.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">12.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-5.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-21.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-36.1%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-35%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">70%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">136.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">134.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">129.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">121.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">109.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">96.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">80.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">63.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">46.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">28.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">11.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-4.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-19.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-33.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-45.6%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-30%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">60%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">104.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">102.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">98.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">90.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">81.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">69.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">55.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">41.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">26.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">11.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-3.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-17.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-30.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-42.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-53.1%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-25%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">50%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">77.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">76.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">72.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">66.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">57.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">47.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">35.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">23.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">10.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-3.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-16.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-28.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-39.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-49.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-59.1%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-20%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">40%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">56.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">55.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">51.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">46.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">38.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">29.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">19.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">8.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-3.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-14.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-26.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-36.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-46.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-56.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-64.1%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-15%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">30%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">38.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">37.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">34.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">29.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">22.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">14.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">5.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-4.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-14.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-24.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-34.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-44.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-53.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-61.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-68.2%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-10%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">20%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">23.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">22.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">19.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">15.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">9.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">2.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-5.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-14.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-23.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-32.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-41.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-50.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-58.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-65.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-71.6%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">10%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">10.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">10.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">7.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">3.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-1.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-8.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-15.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-23.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-31.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-39.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-47.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-55.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-62.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-68.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-74.5%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">0.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-0.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-3.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-6.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-11.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-17.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-23.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-30.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-38.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-45.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-52.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-59.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-66.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-71.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-77.0%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-10%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-9.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-10.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-12.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-15.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-19.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-24.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-30.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-37.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-43.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-50.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-57.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-63.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-69.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-74.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-79.1%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">10%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-20%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-17.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-18.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-19.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-22.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-26.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-31.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-36.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-42.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-48.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-55.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-61.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-66.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-71.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-76.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-81.0%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">15%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-30%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-24.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-25.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-26.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-29.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.61%;margin-right:12.61%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-32.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-37.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-42.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-47.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-53.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-58.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-64.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-69.5%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-74.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-78.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-82.6%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">20%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-40%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-30.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-31.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-32.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-35.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-38.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-42.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-47.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-51.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-57.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-62.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-67.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-72.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-76.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-80.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-84.0%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">25%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-50%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-36.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-36.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-37.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-40.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-43.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-46.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-51.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-55.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-60.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-65.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-69.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-74.2%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-78.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-82.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-85.3%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">30%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-60%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-40.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-41.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-42.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-44.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-47.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-50.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-54.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-59.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-63.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-67.8%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-72.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-76.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-79.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-83.3%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-86.4%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">35%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-70%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-45.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-45.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-46.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-48.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-51.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-54.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-58.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-62.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-66.0%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-70.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-74.1%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-77.9%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-81.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-84.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-87.4%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">40%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-80%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-49.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-49.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-50.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-52.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-54.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-57.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-61.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-64.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-68.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-72.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-75.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-79.4%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="line-height:9pt;"> <div style="margin-left:12.60%;margin-right:12.60%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-82.7%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="line-height:9pt;"> <div style="margin-left:13.13%;margin-right:13.13%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-85.6%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="line-height:9pt;"> <div style="margin-left:7.57%;margin-right:7.57%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-88.3%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">45%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-90%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-52.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-52.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-53.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-55.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-57.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-60.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-63.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-67.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-70.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-74.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-77.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-80.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-83.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.13%;margin-right:13.13%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-86.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:7.57%;margin-right:7.57%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-89.1%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">50%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-100%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-55.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-55.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-56.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-58.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-60.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-63.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-66.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-69.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-72.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-75.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-79.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-82.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-84.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.13%;margin-right:13.13%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-87.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:7.57%;margin-right:7.57%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-89.8%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">55%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-110%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-58.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-58.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-59.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-61.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-63.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-65.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-68.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-71.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-74.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-77.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-80.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-83.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-85.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.13%;margin-right:13.13%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-88.3%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:7.57%;margin-right:7.57%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-90.4%</font></div> </div> </td> </tr>
<tr style="height:7pt;">
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.13%;"> <div style="line-height:9pt;"> <div style="margin-left:32.14%;margin-right:32.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">60%</font></div> </div> </td>
<td style="padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.10%;"> <div style="line-height:9pt;"> <div style="margin-left:32.30%;margin-right:32.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;">-120%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-60.9%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-61.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-62.1%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-63.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.61%;margin-right:12.61%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-65.4%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-67.6%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-70.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-73.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-75.8%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-78.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-81.5%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-84.2%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.53%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:12.60%;margin-right:12.60%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-86.7%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:5.30%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:13.13%;margin-right:13.13%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-89.0%</font></div> </div> </td>
<td style="background-color:#A5A5A5;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.61%;"> <div style="background-color:#A5A5A5;line-height:9pt;">
<div style="margin-left:7.57%;margin-right:7.57%;text-align:left;white-space:nowrap;"><font style="color:#000000;float:right;font-family:Times New Roman;font-size:7pt;margin-right:-7.0pt;">-91.0%</font></div> </div> </td> </tr> </table> </div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The foregoing tables are intended to isolate the effect of benchmark volatility and benchmark
performance on the return of leveraged, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">inverse or inverse leveraged funds. The Funds&#8217; actual returns may be greater or less than the returns shown
above.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Correlation and Performance Risks Specific to the Geared
Funds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">While the Geared Funds seek to meet their investment objectives, there is no
guarantee they will do so. Factors that may affect a Geared </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s ability to meet its investment objective include: (1) the Sponsor&#8217;s ability to purchase and
sell Financial Instruments in a manner that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">correlates to a Fund&#8217;s objective, including the Sponsor&#8217;s ability to enter into new positions and contracts to
replace exposure that has been </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">reduced or terminated by a counterparty or otherwise; (2) an imperfect correlation between the performance of the Financial Instruments held
by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">a Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">costs, financing costs and margin requirements associated with the use of Financial Instruments and commission costs; (5) holding or trading </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Financial Instruments in a market that has become illiquid or disrupted; (6) a Fund&#8217;s Share prices being rounded to the nearest cent and/or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">valuation methodologies; (7) changes to a benchmark that are not disseminated in advance; (8) the need to conform a Fund&#8217;s portfolio holdings </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to comply with investment restrictions or policies, position limits and accountability levels, and regulatory or tax law requirements; (9) early or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unanticipated closings of the markets on which the holdings of a Fund trade, limiting or preventing the Fund from executing intended portfolio </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions; (10) accounting standards; (11) differences caused by a Fund obtaining exposure to only a representative sample of the components </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of a benchmark, overweighting or underweighting certain components of a benchmark or obtaining exposure to assets that are not included in a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark; (12) large movements of assets into and/or out of a Fund, particularly late in the day; (13) significant and/or rapid increases in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">size of the Fund as a result of an increase in creation activity that cause the Fund to approach or reach Share registration limits, position or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accountability limits or other portfolio limits; and (14) events such as natural disasters (including disease, epidemics and pandemics) that can be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">highly disruptive to economies, markets and companies including, but not limited to, the Sponsor and third party service providers.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-22</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_11"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In order to achieve a high degree of
correlation with their applicable underlying benchmarks, the Geared Funds seek to rebalance their </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">portfolios daily to keep exposure consistent with their respective
investment objectives. A Geared Fund&#8217;s ability to achieve or maintain such </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exposure may be limited by a number of factors. For example, being materially under- or
overexposed to the benchmarks may prevent a Geared </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund from achieving a high degree of correlation with their applicable underlying benchmarks. Market disruptions or
closures, large movements </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of assets into or out of the Geared Funds, regulatory restrictions, market volatility, illiquidity, margin requirements, accountability levels,
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">position limits, and daily price fluctuation limits set forth by the exchanges and other factors will adversely affect such Geared Funds&#8217; ability to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">adjust exposure to requisite levels. The target amount of a Fund&#8217;s portfolio exposure may be impacted by changes to the value of its benchmark </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">adjustments to a Fund&#8217;s portfolio. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., 2x, -1x, -2x, as applicable) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">at the end of each day, and the likelihood of being materially under- or overexposed is higher on days when the benchmark levels are volatile at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or near the close of the trading day.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day at the discretion of the Sponsor, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">depending upon market conditions and other circumstances. Unlike other funds that do not rebalance their portfolios as frequently, each Geared </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund may be subject to increased trading costs associated with daily portfolio rebalancings. The effects of these trading costs have been </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">estimated and included in the Breakeven Table. See &#8220;Charges&#8211;Breakeven Table&#8221; below.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Changes to a Benchmark and Daily Rebalancing of the Geared Funds May Impact Trading in the Underlying Futures Contracts.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Changes to a benchmark and daily rebalancing may cause the Geared Funds to adjust their portfolio
positions. This trading activity will </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contribute to the trading volume of the underlying futures contracts and may adversely affect the market price of such underlying
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures contracts.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Intraday Price/Performance of Geared Fund Shares Will Likely Differ from the Fund&#8217;s Stated Daily Multiple Times the Performance of its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Benchmark for Such Day.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The intraday performance of Shares of a Geared Fund traded in the secondary market generally will be different from the performance of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Fund when measured from one NAV calculation-time to the next. When Shares are bought intraday, the performance of such Shares relative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to its benchmark until the Geared Fund&#8217;s next NAV calculation likely will be greater than or less than the Fund&#8217;s stated daily multiple times the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">performance of its benchmark. These differences can be significant.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The amount of the discount or premium in the trading price of the Shares relative to their NAV may be influenced by non-concurrent </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading hours between the Exchange (the exchange on which the Shares trade) and the exchanges on which futures contracts trade. While the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Shares are expected to trade on the Exchange until 4:00 p.m. (Eastern time), liquidity in the markets for the futures contracts in which the Funds </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">seek to invest is expected to be reduced whenever the principal markets for those contracts are closed. As a result, trading spreads, and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">resulting premium or discount on Shares, may widen during these gaps in market trading hours and the value of the Fund&#8217;s holdings may vary, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">perhaps significantly. Whether Shares will trade above, below or at a price equal to the value of the Fund&#8217;s holdings cannot be predicted.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If an investor purchases Shares when a Fund&#8217;s secondary market price is higher than the
Fund&#8217;s NAV, or sells Shares when a Fund&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">secondary market price is lower than the Fund&#8217;s NAV, such investment may not be as profitable as the investment
would have been if the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">secondary market price was equal to the Fund&#8217;s NAV.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;margin-left:24pt;">Natural Disasters and Public Health Disruptions, such as the COVID-19 Virus, May Have a Significant Negative Impact on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Performance of Each Fund.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, the novel coronavirus </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">COVID-19), have been and may continue to be highly disruptive to economies and markets. These conditions have recently led, and may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, civil unrest, periods of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-23</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_12"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">their investments. For example, the U.S. federal
government, along with state and local governments, have adopted various laws and regulations </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in response to the COVID-19 pandemic, the effects and results of which are
uncertain. A climate of uncertainty and panic, including the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and
reduce the availability of potential </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment opportunities and accuracy of economic projections. Further, such events can be highly disruptive to economies and markets,
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds&#8217; Sponsor and third party service </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sentiment, and other factors affecting the value of the Funds&#8217; investments. These factors can cause extreme market volatility, illiquidity, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange trading suspensions and market closures. A widespread crisis, such as the COVID-19 pandemic, may also affect the global economy </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">predicted. Impacts from these events could have significant impact on a Fund&#8217;s performance, and the value of an investment in the Fund may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">decline significantly.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The COVID-19 pandemic has already had, and may continue to have, a significant negative and unpredictable impact on the U.S. and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">global economy. For example, equity and other markets have experienced extreme declines and volatility. During much of 2020 and the first </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">quarter of 2021, the unemployment rate in the U.S. has been extremely high by historical standards. Further, the global slowdown in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">economy contributed to a significant oversupply in the crude oil market, resulting in historic shocks to, and extreme volatility in, the price of oil </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and related derivatives contracts. The global slowdown in the economy and other factors could further shocks to the crude oil market, as well as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the markets for other commodities, such as natural gas, and related derivative contracts. It is not possible to predict when unemployment and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">market conditions will return to more normal levels.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Market downturns, disruptions or illiquidity as a result of, or related to, the COVID-19 pandemic can have a significant negative impact </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on the value of Fund portfolio investments, the operations of each Fund, the markets in which the Funds invest and the trading of Fund Shares in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the secondary market. For example, market factors may adversely affect the price and liquidity of the Funds&#8217; investments and potentially </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">increase margin and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transact on a more limited basis (or not at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure consistent with its investment </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the secondary market.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">This outbreak of COVID-19 (including any variants), or any future epidemic or pandemic similar to
COVID-19, SARS, H1N1, or MERS, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">could have a significant adverse impact on the Funds and their investments, could adversely affect the Funds&#8217; ability to fulfill its
investment </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">objectives, and could result in significant losses to the Funds. The extent of the impact of any outbreak on the performance of the Funds and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">their investments depend on many factors, including the duration and scope of such outbreak, the development and distribution of treatments and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">vaccines for viruses such as COVID-19, the extent of any such outbreak&#8217;s disruption to important global, regional and local supply chains and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">economic markets, and the impact of such outbreak on overall supply and demand, investor liquidity, consumer confidence and levels of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">economic activity, all of which are highly uncertain and cannot be predicted.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;margin-left:24pt;">Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial
markets and economies, with many </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">governments taking extreme actions in an attempt to slow and contain the spread of COVID-19. These actions have had, and likely will
continue </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. Contemporaneous with the onset of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">COVID-19 pandemic in the U.S., crude oil markets experienced shocks to the supply of and demand for crude oil. This led to an oversupply of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">crude oil, which impacted the price of crude oil and futures contracts on crude oil and caused historic volatility in the market for crude oil and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">crude oil futures contracts. In April 2020, the market for crude oil futures contracts experienced a period of &#8220;extraordinary contango&#8221; that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">extraordinary contango in the future. The effects of rolling futures contracts under extraordinary contango market conditions generally are more </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exaggerated than rolling futures contracts under contango market conditions and can result in significant losses. These and other global </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-24</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_13"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">economic shocks as a result of the COVID-19 pandemic may
cause the underlying assumptions and expectations concerning the investments, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">operations and performance of the Funds and secondary market trading of Fund Shares to become
inaccurate or outdated quickly, resulting in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">significant and unexpected losses.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;margin-left:24pt;">Each Fund seeks to achieve its investment objective even during periods when the performance of the Fund&#8217;s benchmark is flat
or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">when the benchmark is moving in a manner that may cause the value of the Fund to decline.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds are not actively managed by traditional methods (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">e.g</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., by effecting changes in the composition of a portfolio on the basis of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgments relating to economic,
financial and market considerations with a view toward obtaining positive results under all market conditions). </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Each Fund seeks to remain fully invested at all times in
Financial Instruments and money market instruments that, in combination, provide </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exposure to its benchmark consistent with its investment objective. This is the case even
during periods in which the benchmark is flat or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">moving in a manner which causes the value of a Fund to decline. A Fund can lose money regardless of the performance of an
underlying </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark, due to the effects of daily rebalancing, volatility, compounding and other risk factors.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Risks Specific to the VIX Futures Fund</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition to the risks described elsewhere in this &#8220;Risk Factors&#8221; section, the following risks could apply to the VIX Futures Fund.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">VIX futures contracts can be highly volatile and the Funds may experience sudden and large losses
when buying, selling or holding such </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">instruments; you can lose all or a portion of your investment within a single day.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Investments linked to equity market volatility, including VIX futures contracts, can be highly
volatile and may experience sudden, large </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and unexpected losses. For example, in 2018 the S&amp;P 500 VIX Mid-Term Futures Index (the &#8220;VIX Mid-Term Futures
Index&#8221; or &#8220;Index&#8221;), </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">which is comprised of VIX futures contracts, had its largest one-day move ever of approximately 96%. In the future, the Index could
have even </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">larger single-day or intraday moves, up or down, that could cause investors to lose all or a substantial portion of their investment in a short </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">period of time. VIX futures contracts are unlike traditional futures contracts and are not based on a tradable reference asset. The VIX is not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">directly investable, and the settlement price of a VIX futures contract is based on the calculation that determines the level of the VIX. As a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">result, the behavior of a VIX futures contract may be different from a traditional futures contract whose settlement price is based on a specific </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">tradable asset and may differ from an investor&#8217;s expectations. The market for VIX futures contracts may fluctuate widely based on a variety of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">factors including changes in overall market movements, political and economic events and policies, wars, acts of terrorism, natural disasters </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(including disease, epidemics and pandemics), changes in interest rates or inflation rates. High volatility may have an adverse impact on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">performance of the Funds. The UltraFund&#8217;s leverage factor (1.5x) increases the potential for loss on an investment in this Fund. An investor in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">any of the Funds could potentially lose the full principal of his or her investment within a single day.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Generally, a VIX of over 20 indicates a high degree of volatility. During February and March 2020, market volatility elevated to historic </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">highs as measured by the VIX, which may be attributed to the COVID-19 pandemic. Although the VIX started the year at a level of 12.47 on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">January 2, 2020, it spiked to 82.69 on March 16, 2020. However, there is no certainty that such levels will persist even if the scope and duration </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the disruption caused by the COVID-19 pandemic is prolonged or if other economic or political developments contribute to volatility and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investor uncertainty. Such performance is not typical and may not continue for a sustained period of time.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The VIX Futures Fund is benchmarked to the VIX Mid-Term Futures Index. It is
not benchmarked to the VIX or actual realized volatility of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">the S&amp;P 500. As a result, the Index and the VIX Futures Fund should be
expected to perform very differently from the VIX over all periods </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">of time.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The performance of the VIX Mid-Term Futures Index is based on the value of the VIX mid-term
futures contracts that comprise the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Index. While there is a relationship between the performance of the Index and future levels of the VIX, the performance of the Index is
not </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">directly linked to the performance of the VIX, to the realized volatility of the S&amp;P 500</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> or to the options that underlie the calculation of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">VIX. As a result, the Index and the VIX Futures Fund should be expected to perform very differently from the VIX over all periods of time. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">many cases, the Index (and thus the VIX Futures Fund) will underperform the VIX. Further, the performance of the Index and the VIX Futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund should not be expected to represent the realized volatility of the S&amp;P 500</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The VIX seeks to measure the market&#8217;s current expectation of 30-day volatility of the S&amp;P 500</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Index, as reflected by the prices of S&amp;P </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">500</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> options. The market&#8217;s current expectation of the possible rate and magnitude of movements in an index is commonly referred to as the </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-25</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_14"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;implied volatility&#8221; of the index. Because
S&amp;P 500</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> options derive value from the possibility
that the S&amp;P 500</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> may experience movement </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">before such options expire, the prices of S&amp;P 500</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> options are used to calculate the implied volatility of the S&amp;P
500</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Unlike many indexes, the VIX is not an investable index. It is not practical to invest in the VIX as it is comprised of a constantly changing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">portfolio of options on the S&amp;P 500</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">. Rather, the VIX is designed to serve as a market volatility forecast. The VIX Futures Fund is not
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmarked to the performance of the VIX or the realized volatility of the S&amp;P 500</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> and, in fact, can be expected to perform very differently </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">from the VIX and the realized volatility of the S&amp;P 500</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> over all periods of time.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The prices of futures contacts based on a non-investable index such as the VIX may behave differently from the prices of futures contracts </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">whose settlement price is based on a tradable asset.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As noted, the VIX Futures Fund is benchmarked against an underlying index of VIX mid-term futures contracts. The value of VIX futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts is based on the expected value of the VIX at a future point in time, specifically the expiration date of the VIX futures contracts. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Therefore, VIX futures contracts represent the forward implied volatility of the VIX, and therefore the forward implied volatility of the S&amp;P </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">500</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">, over the 30-day period following the expiration of such contract. As a result, a change in the VIX today will not necessarily result in a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">corresponding movement in the price of VIX futures contracts since the price of VIX futures contracts is based on expectations of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">performance of the VIX at a future point in time. For example, a VIX futures contract purchased in March that expires in May, in effect, is a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">forward contract on what the level of the VIX, as a measure of 30-day implied volatility of the S&amp;P 500</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">, will be on the May expiration date. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The forward volatility reading of the VIX may not correlate directly to the current volatility reading of the VIX because the implied volatility of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the S&amp;P 500</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> at a future expiration date may be different from the current implied volatility of the S&amp;P 500</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">&#174;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">. As a result, the Index and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">VIX Futures Fund should be expected to perform very differently from the VIX over all periods of time.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">It has been reported that in 2018 various U.S. regulators commenced inquiries into whether the Chicago Board Options Exchange, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Incorporated (&#8220;Cboe&#8221;) VIX Index has been manipulated by one or more financial firms and algorithmic traders, and that a number of private </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">lawsuits have been filed against the Cboe alleging the manipulation of the Cboe VIX Index. The regulators have not yet made public any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">determinations. On January 27, 2020, a federal judge dismissed a private lawsuit with prejudice, but on May 19, 2020, the plaintiffs filed notice </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of appeal to the U.S. Court of Appeals for the Seventh Circuit. See In re Chicago Board Options Exchange Volatility Index Manipulation </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Antitrust Litigation. Northern District of Illinois. No. 18-04171. The Trust and the Sponsor cannot predict the outcome of these reported </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inquiries and private lawsuits. Any finding of manipulation of the Cboe VIX Futures Index could materially adversely affect the VIX Futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s investments and its ability to continue to implement its trading strategy and achieve its investment objectives.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The level of the VIX has historically reverted to a long-term mean (i.e.,
average) level and any increase or decrease in the level of the VIX </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">will likely continue to be constrained.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the past, the level of the VIX has typically reverted over the longer term to a historical
mean, and its absolute level has been </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">constrained within a band. As such, the potential upside of long or short exposure to VIX futures contracts may be limited as the
performance of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">VIX reverts to its long-term average. In addition, any gains may be subject to significant and unexpected reversals as the VIX reverts to its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">long-term mean.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">When economic uncertainty and other market risks increase, or are expected to increase, and there
is an associated increase in expected </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">volatility, the price of VIX futures contracts will likely also increase. Similarly, when economic uncertainty recedes, or is
expected to recede, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and there is an associated decrease in expected volatility, the price of VIX futures contracts will likely also decrease. Historically, each of these
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">patterns have tended to reverse. These reversals may be significant and unexpected and have a negative impact on the performance of the VIX </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Futures Fund. During February and March 2020, market volatility elevated to historic highs as measured by the VIX. In 2020, the VIX started </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the year at a level of 12.47 on January 2, 2020, and it spiked to 82.69 on March 16, 2020. However, there is no certainty that such levels may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">persist even if the scope and duration of the disruption caused by the COVID-19 pandemic is prolonged or if other economic or political </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">developments contribute to volatility and investor uncertainty. Such performance is not typical and may not continue for a sustained period </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of time.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-26</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_15">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The value of the Shares of the VIX Futures Fund relates directly to the value of, and realized gain or loss from, the Financial Instruments </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">and other assets held by the Fund. Fluctuations in the price of these Financial Instruments or assets could materially adversely affect an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">investment in Shares of the VIX Futures Fund.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A number of factors may affect the price and/or liquidity of VIX futures contracts and other Financial Instruments, if any, owned by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">VIX Futures Fund, including, but not limited to:</font></div> <div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Prevailing market prices and forward volatility levels of the
U.S. stock markets, the S&amp;P 500, the equity securities included in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the S&amp;P 500 and prevailing market prices of options on the S&amp;P 500, the VIX, options on the
VIX, the relevant VIX futures </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts, or any other financial instruments related to the S&amp;P 500 and the VIX or VIX futures contracts;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Interest rates and investors&#8217; expectations concerning
interest rates;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Inflation rates and investors&#8217; expectations concerning
inflation rates;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Economic, financial, political, regulatory, geographical,
judicial and other events that affect the level of the Mid-Term VIX </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Futures Index or the market price or forward volatility of the U.S. stock markets, the equity
securities included in the S&amp;P 500, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the S&amp;P 500, the VIX or the relevant futures or option contracts on the VIX;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Supply and demand as well as hedging activities in the listed and
OTC equity derivatives markets;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The level of margin requirements;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The position and accountability limits imposed by futures
exchanges and any position or risk limits imposed by Futures Commission</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Merchants (&#8220;FCMs&#8221;) or swap counterparties;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Disruptions in trading of the S&amp;P 500, futures contracts on
the S&amp;P 500 or options on the S&amp;P 500;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The level of contango or backwardation in the VIX futures
contract market;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Global or regional political, economic, or financial events and
situations and investor expectations concerning such events;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Weather, natural disasters (including disease, epidemics and pandemics), and other environmental conditions; and</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Investment and trading activities of mutual funds, hedge funds and other market participants, including the Fund.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each of these factors could have a negative impact on the price and/or liquidity of VIX futures
contracts and other Financial Instruments, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Index and the VIX Futures Fund. These factors interrelate in complex ways, and the effect of one factor on the market value
of the VIX </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Futures Fund may offset or enhance the effect of another factor.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Margin requirements for VIX futures contracts and position limits imposed by exchanges and/or FCMs may limit the VIX Futures Fund&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">ability to achieve sufficient exposure and prevent the Fund from achieving its investment objective.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The term &#8220;margin&#8221; refers to the minimum amount a Fund must deposit and maintain with
its FCM in order to establish an open position </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in futures contracts. The minimum amount of margin required in connection with a particular futures contract is set by the
exchange on which </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">such contract is traded and is subject to change at any time during the term of the contract. Futures contracts are customarily bought and sold on
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">margins that represent a percentage of the aggregate purchase or sales price of the contract.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">An FCM may compute margin requirements multiple times per day and at least once per day. When a Fund has an open futures contract </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">position, it is subject to daily variation margin calls by an FCM that could be substantial in the event of adverse price movements. Because </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures contracts require only a small initial investment in the form of a deposit or initial margin, they involve a high degree of leverage. A Fund </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with open positions is subject to maintenance or variation margin on its open positions. When the market value of a particular open futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contract position changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">FCM. If the margin call is not met within a reasonable time, the FCM may close out a Fund&#8217;s position. If a Fund has insufficient cash to meet </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-27</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_16"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">daily variation margin requirements, it may need to sell
Financial Instruments at a time when such sales are disadvantageous. Futures markets </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">are highly volatile and the use of or exposure to futures contracts may increase
volatility of a Fund&#8217;s NAV.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">VIX futures contracts in particular have been
subject to periods of sudden and extreme volatility. As a result, margin requirements for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">VIX futures contracts are higher than the margin requirements for most other
types of futures contracts. In addition, the FCMs utilized by the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund may impose margin requirements in addition to those imposed by the clearinghouse. Margin
requirements are subject to change, and may </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">be raised in the future by either or both of the clearinghouse and the FCMs. High margin requirements could prevent the Fund
from obtaining </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">sufficient exposure to VIX futures contracts and may adversely affect the Fund&#8217;s ability to achieve its investment objective. An FCM&#8217;s failure
to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">return required margin to the Fund on a timely basis may cause the Fund to delay redemption settlement dates and/or restrict, postpone or limit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the right of redemption.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Futures contracts are subject to liquidity risk. Certain of the FCMs utilized by the Fund have imposed their own &#8220;position limits&#8221; on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund. Position limits restrict the amount of exposure to futures contracts the Fund can obtain through such FCMs. As a result, the Fund may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">need to transact through a number of FCMs to achieve its investment objective. If enough FCMs are not willing to transact with the Fund, or if </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the position limits imposed by such FCMs do not provide sufficient exposure, the Fund may not be able to achieve its investment objective</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The VIX Futures Fund generally is intended to be used as a trading tool for short-term investment horizons and investors holding shares of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">the Fund over longer-term periods may be subject to increased risk of loss.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The VIX Futures Fund generally is intended to be used only for short-term investment horizons. An
investor in the Fund can lose all or a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">substantial portion of his or her investment within a single day. The longer an investor&#8217;s holding period in the Fund, the
greater the potential </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for loss.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">VIX futures contracts that the VIX Futures Fund invests in can be highly volatile and the Fund may experience large losses when buying, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">selling or holding such instruments; you can lose all of your investment within a single day.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Investments linked to equity market volatility, including VIX futures contracts, can be highly
volatile and may experience sudden, large </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and unexpected losses. VIX futures contracts are unlike traditional futures contracts and are not based on a tradable reference
asset. The VIX is </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">not directly investable, and the settlement price of a VIX futures contract is based on the calculation that determines the level of the VIX. As a
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">result, the behavior of a VIX futures contract may be different from traditional futures contracts whose settlement price is based on a specific </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">tradable asset and may differ from an investor&#8217;s expectations. High volatility may have an adverse impact on the Fund. An investor could </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">potentially lose the full principal value of his or her investment within a single day.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">VIX Mid-Term Futures Index changes and market transactions, including the daily rebalancing of the futures contracts by the VIX Futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Fund may have a significant impact on the performance of the Index and the Fund and the trading, liquidity and price of Fund Shares.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Index changes and transactions by market participants in the futures contracts underlying the
Index, including the daily rebalancing of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">such futures contracts by the VIX Futures Fund may have a significant impact on the trading, liquidity and price of such futures
contacts and, in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">turn, impact on the performance of the Index and the Fund. The trading activity associated with such transactions will contribute to the existing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">open interest and trading volume of the underlying futures contracts and could have a significant adverse impact on the trading and price of such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts. This, in turn, could have a negative impact on the performance of the Index and the Fund. The Fund has engaged, and may continue to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">engage, in futures transactions that may constitute holding a substantial portion (e.g., 50% or more) of the open interest and/or trading volume of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the futures contracts underlying the Index. To the extent the Fund transactions in a relatively higher percentage of the open interest and/or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading volume of such futures contracts, the Fund&#8217;s activity may be more likely to have an impact which could be significant on the trading, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">liquidity, and price of such contracts. This in turn could have a significant negative impact on the performance of the Index and the Fund as well </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as the market for Fund Shares making it more difficult for investors to buy or sell Fund Shares at the desired price or at all.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-28</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_17"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Potential negative
impact from rolling futures positions; there have been extended periods in the past where the strategies utilized by the VIX </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Futures
Fund have caused significant and sustained losses.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The VIX Futures Fund invests in
or has exposure to VIX futures contracts and is subject to risks related to rolling these positions. The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contractual obligations of a buyer or seller holding a futures
contract to expiration may be satisfied by settling in cash as designated in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contract specifications. Alternatively, futures contracts may be closed out prior to
expiration by making an offsetting sale or purchase of an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">identical futures contract with a later expiration date. This process is referred to as rolling. The Fund does
not intend to hold futures contracts </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">through expiration, but instead intends to roll its positions as they approach expiration. Accordingly, the Fund is subject to risks
relating </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to rolling.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">When the market for these futures contracts is such that the prices are higher in the more distant delivery months than in the nearer </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">delivery months, the sale during the course of the rolling process of the more nearby futures contract would take place at a price that is lower </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">than the price of the more distant futures contract. This pattern of higher prices for longer expiration futures contracts is often referred to as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contango. Alternatively, when the market for these contracts is such that the prices are higher in the nearer months than in the more distant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">months, the sale during the course of the rolling process of the more nearby futures contract would take place at a price that is higher than the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">price of the more distant futures contract. This pattern of higher prices for shorter expiration futures contracts is referred to as backwardation. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The presence of contango in the relevant futures contracts at the time of rolling would be expected to adversely affect the Fund. In contrast, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to positively affect the Funds.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">There have been extended periods in which contango or backwardation has existed in the VIX
futures contract markets, and such periods </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">can be expected to occur in the future. These extended periods have caused in the past, and may cause in the future, significant
and sustained </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">losses. Since the non-investable VIX Index is based on the price of a constantly changing portfolio of option contracts, rather than futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts subject to contango and backwardation, the VIX Index may experience less severe downturns or may even provide positive </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">performance during periods where the Fund is experiencing poor performance. Additionally, because of the frequency with which the Funds </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may roll futures contracts, the impact of such contango or backwardation may be greater than the impact would be if a Fund experienced less </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rolling. In April 2020, the market for crude oil futures contracts experienced a period of &#8220;extraordinary contango&#8221; that resulted in a negative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">price in the May 2020 WTI crude oil futures contract. It is possible that the futures contracts held by the Funds also may experience periods of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">extraordinary contango in the future.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Concentration Risk</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The VIX Futures Fund will typically concentrate its investments in first- and second-month VIX futures contracts. Investors should be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">aware that other volatility investments may be more diversified both in terms of the number and variety of instruments included and of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">volatility exposure offered. Concentration exclusively in first- and second-month futures contracts may result in a greater degree of volatility and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">adverse performance of the VIX Futures Fund under specific market conditions and over time. Concentration in fewer futures contracts as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">opposed to exposure to a broader set of futures contracts may increase the risk of the VIX Futures Fund&#8217;s trading activity affecting such futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts and this may adversely affect the performance of the VIX Futures Fund. For example, such concentration and the large size of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">positions the VIX Futures Fund may take (including positions resulting from significant and/or rapid increases in the size of the Fund as a result </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of an increase in creation activity or for any other reason) may cause the daily rolling or rebalancing of the VIX Futures Fund&#8217;s portfolio to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">adversely impact the market price of its concentrated portfolio of futures contracts and in turn the level of the VIX Mid-Term Futures Index and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the performance of the VIX Futures Fund.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Risks Specific to the Natural Gas Funds and the Precious Metals Funds</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition to the risks described elsewhere in this &#8220;Risk Factors&#8221; section, the following risks could apply to the Natural Gas Funds and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Precious Metals Funds.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">A number of factors may have a negative impact on the price of commodities, such as gold, silver and natural gas, and the price of Financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Instruments based on such commodities.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">With regard to the Natural Gas Funds and the Precious Metals Funds, a number of factors may affect the price of these commodities and, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in turn, the Financial Instruments and other assets, if any, owned by such a Fund, including, but not limited to:</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-29</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_18"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;margin-left:39.15pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Significant increases or decreases in the available supply of a physical commodity due to natural, technological or other factors. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Natural factors would include depletion of known cost-effective sources for a commodity or the impact of severe weather or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other natural events on the ability to produce or distribute the commodity. Technological factors, such as increases in availability</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> created by new or improved extraction, refining and processing equipment and methods or decreases caused by failure or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unavailability of major refining and processing equipment (for example, shutting down or constructing natural gas processing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plants), also materially influence the supply of the commodity. General economic conditions in the world or in a major region, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">such as population growth rates, periods of civil unrest, government austerity programs, or currency exchange rate fluctuations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may affect prices of underlying commodities.</font></div> <div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The exploration and production of commodities are uncertain
processes with many risks. The cost of extraction, completing and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">operating wells / mines is often uncertain, and a number of factors can delay or prevent operations or
production of commodities,</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> including: (1) unexpected extraction or drilling conditions; (2) pressure or irregularities in formations; (3) equipment failures</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> or repairs; (4) fires or other accidents; (5) adverse weather conditions; (6) pipeline ruptures, spills or other supply disruptions;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> and (7) shortages or delays in the availability of extraction delivery equipment.</font></div> <div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Significant increases or decreases in the demand for a physical
commodity due to natural, technological or other factors. Natural</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> factors would include such events as unusual climatological or health conditions (such as disease or
pandemics) impacting </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the demand for commodities. Technological or other factors may include such developments as substitutes or new uses for particular</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> commodities or changes in the demand for particular commodities. General economic conditions in the world or in a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">major region, such as population growth rates, periods of civil unrest, government austerity programs, or currency exchange </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rate fluctuations may affect prices of underlying commodities. For example, gold and silver are used in a wide range of industrial</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> applications and demand for gold and silver is driven by, among other things, demand for jewelry. An economic downturn </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">could have a negative impact on gold and silver demand and, consequently, their prices.</font></div>
<div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">A significant change in the attitude of speculators and investors towards a commodity or in the commodity hedging activities of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">commodity producers. Should the speculative community take a negative or positive view towards any given commodity, or if </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">there is an increase or decrease in the level of hedge activity of commodity producing companies, countries and/or organizations,</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> such action could cause a change in world prices of any given commodity.</font></div> <div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Large purchases or sales of physical commodities by the
official sector. Governments and large institutions have large commodities</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> holdings or may establish major commodities positions. For example, a significant portion of the
aggregate world precious</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> metals holdings is owned by governments, central banks and related institutions. Similarly, nations with centralized or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">nationalized energy production organizations may control large physical quantities of certain commodities. The purchase or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sale by one of these institutions in large amounts could potentially cause a change in prices for that commodity.</font></div>
<div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Political activity such as the adoption of and changes to legislation, imposition of regulations, or entry into trade treaties, as well </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as political disruptions caused by societal breakdown, insurrection, terrorism, pandemics, sabotage and/or war may greatly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">influence commodities prices.</font></div> <div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">With regard to the Natural Gas Funds, the demand for natural
gas correlates closely with general economic growth rates. The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">occurrence of recessions or other periods of low or negative economic growth will typically have a direct
adverse impact on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">natural gas demand and natural gas prices. The supply and demand for natural gas may also be impacted by changes in interest </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rates, inflation, and other local or regional weather and market conditions, as well as by the development of alternative energy </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sources. The demand for natural gas has traditionally been cyclical, with higher demand during winter months and lower </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">demand during summer months. Natural gas prices are subject to volatile, sudden, unpredictable and/or temporary price movements</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> over short periods of time.</font></div> <div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">With regard to the Natural Gas Funds, competition from clean
power companies, fluctuations in the supply and demand of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">alternative energy fuels, energy conservation, changes in consumer preferences regarding the use of renewable
energy sources </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to replace fossil fuels, and tax and other government regulations can significantly affect the price of natural gas.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The recent proliferation of commodity-linked, exchange-traded products and their unknown effect on the commodity markets.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-30</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_19"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;margin-left:39.15pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The prices, supply and demand for gold and silver may also be impacted by changes in interest rates, inflation, and other local </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or regional market conditions, as well as by investor confidence. There can be no assurance that either gold or silver will maintain</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> its long-term value in terms of future purchasing power. As of the date of this prospectus, gold and silver prices are at or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">near historically high levels. Gold and silver prices are volatile and subject to sudden, and unpredictable price movements, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including reversals. Gold and silver markets also have historically experienced extended periods of flat or declining prices. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">There can be no assurance that either gold or silver prices will maintain their price levels as of the date of this prospectus.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each of these factors could have a negative impact on the value of the Funds. These factors
interrelate in complex ways, and the effect of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">one factor on the market value of a Fund may offset or enhance the effect of another factor.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The Natural Gas Funds are linked to an index of natural gas futures contracts,
and are not directly linked to the &#8220;spot&#8221; price of natural gas. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Natural Gas futures contracts may perform very differently
from the spot price of natural gas.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Natural Gas Funds are not directly linked to
the &#8220;spot&#8221; price of natural gas. The price of a futures contract reflects the expected value </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the commodity upon delivery in the future, whereas the spot
price of a commodity reflects the immediate delivery values of the commodity. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">While prices of swaps, futures contracts and other derivatives contracts are related to the
prices of an underlying cash market (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., the &#8220;spot&#8221; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">market), they may not be well correlated and have typically performed very differently. Natural gas futures contracts typically perform very </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">differently from, and commonly underperform, the spot price of natural gas due to current (and future expectations of) factors such as storage </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">costs, geopolitical risks, interest charges incurred to finance the purchase of the commodity, and expectations concerning supply and demand for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the commodity. Derivatives contract prices may not be correlated to spot market prices and may be substantially lower or higher than the spot </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">market prices for a number of reasons, including as a result of differences in derivatives contract terms or as supply, demand or other economic </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or regulatory factors become more pronounced in either the cash or derivatives markets. In April 2020, the market for crude oil futures contracts </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">experienced a period of &#8220;extraordinary contango&#8221; that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts held by the Natural Gas Funds may experience a period of extraordinary contango in the future.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The Precious Metals Funds do not hold gold or silver bullion. Rather, the Precious Metals Funds use Financial Instruments to gain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">exposure to gold or silver bullion. Using Financial Instruments to obtain exposure to gold or silver bullion may cause tracking error and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">subject the Precious Metals Funds to the effects of contango and backwardation as described herein.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Using Financial Instruments such as swaps, options, forwards and futures in an effort to
replicate the inverse performance of gold or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">silver bullion may cause tracking error, which is the divergence between the price behavior of a position and that of a
benchmark. While prices </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Financial Instruments are related to the prices of an underlying cash market (</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., the &#8220;spot&#8221; market), they may not be perfectly correlated and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">typically have performed differently. In addition, the use of forward or futures contracts exposes a Fund to risks associated with &#8220;rolling&#8221; as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">described herein (forward contracts are subject to the same risks as rolling futures contracts), including the possibility that contango or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">backwardation can occur. Gold and silver historically exhibit contango markets during most periods. The existence of historically prevalent </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contango markets would be expected to adversely affect the Precious Metals Funds. Alternatively, the existence of backwardated markets would </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">be expected to be beneficial to the Precious Metals Funds. In April 2020, the market for crude oil futures contracts experienced a period of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;extraordinary contango&#8221; that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Precious Metals Funds may experience a period of extraordinary contango in the future.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Risks Specific to the Currency Funds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition to the risks described elsewhere in this &#8220;Risk Factors&#8221; section, the following risks could apply to the Currency Funds.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">A number of factors may have a negative impact on the value of non-U.S.
currencies or the U.S. dollar and the value of Financial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Instruments based on such currencies.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A number of factors may affect the value of non-U.S. currencies or the U.S. dollar and, in turn,
Financial Instruments based on such </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">non-U.S. currencies or the U.S. dollar. These factors include:</font></div>
<div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Natural or environmental disasters and widespread disease, including public health disruptions, pandemics and epidemics (for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">example, the novel coronavirus COVID-19);</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-31</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_20">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Debt level and trade deficit of the relevant foreign
countries;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Inflation rates of the U.S. and the relevant foreign countries
and investors&#8217; expectations concerning inflation rates;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Interest rates of the U.S. and the relevant foreign countries and investors&#8217; expectations concerning interest rates;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Investment and trading activities of mutual funds, hedge funds
and other market participants;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Global or regional political, economic or financial events and
situations;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Sovereign action to set or restrict currency conversion;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Monetary policies and other related activities of central banks
within the U.S. and other relevant non-U.S. markets;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Overall growth and performance of the economies of relevant
countries; and</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Non-U.S. financial markets may be closed on a day when U.S.
domestic markets are open for trading. As a result, liquidity </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and/or pricing may be affected by the absence of trading in a specific currency.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In periods of financial turmoil, capital can move quickly out of countries or geographic regions
that are perceived to be more vulnerable </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the other effects of the crisis than other countries or geographic regions, with sudden and severely adverse consequences to
the currencies of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">those countries or geographic regions. Each of these factors could have a negative impact on the value of a Currency Fund. These factors </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">interrelate in complex ways, and the effect of one factor on the market value of a Currency Fund may offset or enhance the effect of another </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">factor. All of these factors are, in turn, sensitive to the monetary, fiscal and trade policies observed by the relevant countries and those of other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">countries important to international trade and finance. In addition, information relating to non-U.S. countries or currencies may not be as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">well-known or as rapidly or thoroughly reported as information regarding the U.S. or the U.S. dollar.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Currency exchange rates may be susceptible to distortion and manipulation.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The concentration of currency trading among a small number of market participants, combined with
the relative lack of transparency and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">regulatory oversight over the manner in which currency exchange rates are determined compared to the markets for other Financial
Instruments </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">such as exchange-traded stocks, and other factors create the potential for a small number of market participants to have a distorting effect on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange rates, including as a result of activities designed to manipulate currency exchange rates.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The value of the Euro could fluctuate drastically.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The European financial markets and the value of the euro have experienced significant volatility, in part related to unemployment, budget </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">deficits and economic downturns. In addition, several member countries of the Economic and Monetary Union (the &#8220;EMU&#8221;) of the European </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Union (the &#8220;EU&#8221;) have experienced credit rating downgrades, rising government debt levels and, for certain EU member countries (including </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Greece, Spain, Portugal, Ireland and Italy), weaknesses in sovereign debt. Following a referendum in June 2016, the United Kingdom (the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;UK&#8221;) formally exited the EU on January 31, 2020 (known as &#8220;Brexit&#8221;). During a transition period where the UK remained subject to EU rules </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">but had no role in the EU law-making process, the UK and EU representatives negotiated the precise terms of their future relationship, reaching </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">an agreement on December 24, 2020. On December 31, 2020, the transition period concluded and the terms of the new agreement went into </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">effect on January 1, 2021. The complete impact of the new agreement, as well as the full scope and nature of the consequences of the exit, are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">not at this time known and are unlikely to be known for a significant period of time, but may impact the future direction of the value of non-U.S. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">currencies or the U.S. dollar and, in turn, affect the value of the Currency Funds. In addition, these uncertainties could increase volatility in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">market prices of non-U.S. currencies or the U.S. dollar and, in turn, affect the value of the Currency Funds. The effects of Brexit will depend on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreements the UK negotiates to retain access to EU markets either during a transitional period or more permanently. Brexit could lead to legal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and tax uncertainty and potentially divergent national laws and regulations as the UK determines which EU laws to replace and replicate.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, it is possible that the euro could be abandoned in the future by countries that have
already adopted its use. If this were to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">occur, the value of the euro could fluctuate drastically. Increased volatility related to the euro could exacerbate the effects of
daily compounding </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-32</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_21"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">on the Ultra Euro Fund&#8217;s and the Short Euro Fund&#8217;s performance over periods longer than a single day. If the euro is
abandoned by all or a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">significant number of countries that have adopted its use, the Ultra Euro Fund and the Short Euro Fund may be forced to switch benchmarks </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or terminate.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;margin-left:24pt;">The use of forward contracts may limit the Ultra Euro Fund&#8217;s ability to achieve sufficient exposure, and may prevent the Fund
from </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">achieving its investment objective.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In order to attempt to gain exposure to the euro, the Ultra Euro Fund may enter into forward contracts to purchase or sell the cash value of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the euro at a set price, with delivery and settlement at a specified future date. Unlike futures contracts, forward contracts are typically not cleared </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by a clearinghouse. There are no limitations on the percentage of its assets the Ultra Euro Fund may invest in forward contracts with a particular </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">counterparty. Because a counterparty may stop trading with the Ultra Euro Fund, the Fund may need to transact through a number of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">counterparties in order to achieve its investment objective. If enough counterparties are not willing to transact with the Ultra Euro Fund, it may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">not be possible for the Fund to enter into another forward contract or to invest in other Financial Instruments necessary to achieve the desired </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exposure consistent with the Fund&#8217;s investment objective. This, in turn, may prevent the Ultra Euro Fund from achieving its investment </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">objective. If the Ultra Euro Fund has insufficient cash to meet its collateral requirements, the Fund may need to sell Financial Instruments at a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">time when such sales are disadvantageous. The Ultra Euro Fund&#8217;s use of forward contracts involves counterparty credit risk &#8211; i.e., the risk that a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">counterparty is or is perceived to be unwilling or unable to make timely payments or otherwise meet its contractual obligations. A counterparty&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">failure to return collateral to the Ultra Euro Fund on a timely basis may cause the Fund to delay redemption settlement dates and/or restrict, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">postpone or limit the right of redemption. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">difficulties or other reasons, the Ultra Euro Fund could suffer significant losses on these contracts and the value of an investor&#8217;s investment in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Fund may decline.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The value of the Yen could fluctuate drastically.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Japanese financial markets and the value of the yen may experience volatility and are exposed to other risks. Such risks include, but </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">are not limited to (i) political, economic, or social instability in Japan; (ii) risks associated with Japan&#8217;s large government deficit; (iii) risks </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">associated with an increasingly aging and declining population that is likely to strain Japan&#8217;s social welfare and pension systems; and (iv) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relatively high unemployment. The Japanese economy has in the past been negatively impacted by government intervention and protectionism, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">an unstable financial services sector and a heavy reliance on international trade. Additionally, natural disasters have in the past had an adverse </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">impact on the Japanese economy. As an island nation Japan has limited natural resources and land area, and the Japanese economy is heavily </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dependent on international trade and reliant on imports for its commodity needs. Consequently, Japan&#8217;s economy and export growth are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">impacted by economic development of its trading partners particularly the U.S. and the developing nations in Southeast Asia. Fluctuations or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shortages in the commodity markets may negatively impact the Japanese economy. Slowdowns in the U.S. and/or China and other Southeast </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Asian countries, including economic, political or social instability in such countries, could have a negative impact on Japan.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Japanese economy may be adversely impacted by currency fluctuations. The Japanese government
has intervened in its currency </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">market in the past, to maintain or reduce the value of the yen. Any such future intervention could cause the yen&#8217;s value to fluctuate
and could </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">cause losses to investors. Increased volatility related to the yen could exacerbate the effects of daily compounding on the Ultra Yen Fund&#8217;s and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the UltraShort Yen Fund&#8217;s performance over periods longer than a single day.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The value of the Australian dollar could fluctuate drastically.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Australian financial markets and the value of the Australian dollar may experience volatility and are exposed to other risks. Such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">risks include, but are not limited to (i) political, economic, or social instability in Australia; and (ii) risks associated with Australia&#8217;s sovereign </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">debt levels and trade deficits. The Australian economy has in the past been negatively impacted by a heavy reliance on international trade. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Additionally, natural disasters such as hurricanes and droughts have in the past had an adverse impact on the Australian economy. As an island </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">nation Australia has limited natural resources and land area, and the Australian economy is heavily dependent on exports from its energy, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agricultural and mining sectors, and reliant on imports. Consequently, Australia&#8217;s economy and export growth are impacted by economic </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">development of its trading partners, particularly the U.S., China, Japan, South Korea, other Asian and certain European countries. Fluctuations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or shortages in the commodity markets may negatively impact the Australian economy. Economic slowdowns in the U.S. and/or China and other </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-33</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_22"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Asian countries, including economic, political or social
instability in such countries, could have a negative impact on Australia. Reduction in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">spending on Australian products and services, or changes in any of those economies,
may cause an adverse impact on the Australian economy.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Australian economy may be
adversely impacted by currency fluctuations. Increased volatility related to the Australian dollar could </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exacerbate the effects of daily compounding on the UltraShort
Australian Dollar Fund Fund&#8217;s over periods longer than a single day.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Risks
Related to All Funds</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Potential negative impact from rolling futures positions; there have been extended periods in the past where the investment strategies utilized
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">by the Funds have caused significant and sustained losses.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund intends to, or may, have exposure to futures contracts and each Fund is subject to risks related to &#8220;rolling&#8221; such futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts, which is the process by which a Fund closes out a futures position prior to its expiration month and purchases an identical futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contract with a later expiration date. The Funds do not intend to hold futures contracts through expiration, but instead intend to &#8220;roll&#8221; their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">respective positions as they approach expiration. The contractual obligations of a buyer or seller holding a futures contract to expiration may be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">satisfied by settling in cash as designated in the contract specifications. As explained further below, the price of futures contracts further from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">expiration may be higher (a condition known as &#8220;contango&#8221;) or lower ( a condition known as &#8220;backwardation&#8221;), which can impact the Funds&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">returns.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">When the market for these futures contracts is such that the prices are higher in the more
distant delivery months than in the nearer </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">delivery months, the sale during the course of the rolling process of the more nearby futures contract would take place at a
price that is lower </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">than the price of the more distant futures contract. This pattern of higher prices for longer expiration futures contracts is often referred to as
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;contango.&#8221; Alternatively, when the market for these futures contracts is such that the prices are higher in the nearer months than in the more </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">distant months, the sale during the course of the rolling process of the more nearby futures contract would take place at a price that is higher than </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the price of the more distant futures contract. This pattern of higher prices for shorter expiration futures contracts is referred to as &#8220;backwardation.&#8221;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> The presence of contango in certain futures contracts at the time of rolling would be expected to adversely affect the Funds with long </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">positions, and positively affect the Funds with short positions. Similarly, the presence of backwardation in certain futures contracts at the time of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rolling such contracts would be expected to adversely affect the Funds with short positions and positively affect the Funds with long positions.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">There have been extended periods in which contango or backwardation have existed in the futures
contract markets for various types of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures contracts, and such periods can be expected to occur in the future. These extended periods have caused in the past, and may
cause in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">future, significant losses, and these periods can have as much or more impact over time than movements in the level of a Fund&#8217;s benchmark. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Additionally, because of the frequency with which the Funds may roll futures contracts, the impact of such contango or backwardation on Fund </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">performance may be greater than it would have been if the Funds rolled futures contracts less frequently.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In April 2020, the market for crude oil futures contracts experienced a period of &#8220;extraordinary contango&#8221; that resulted in a negative price </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">such Fund could lose their entire investment. If such event were to occur, and the price of the applicable futures contracts subsequently reversed, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investors in the Short or an UltraShort Fund could suffer significant losses or lose their entire investment. The effects of rolling futures contracts </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and may cause significant losses.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Each Fund seeks to achieve its investment objective even during periods when the performance of the Fund&#8217;s benchmark is flat or when the
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">benchmark is moving in a manner that may cause the value of the Fund to decline.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds are not actively managed by traditional methods (e.g., by effecting changes in the
composition of a portfolio on the basis of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgments relating to economic, financial and market considerations with a view toward obtaining positive results under all
market conditions). </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Each Fund seeks to remain fully invested at all times in Financial Instruments and money market instruments that, in combination, provide </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exposure to its benchmark consistent with its investment objective. This is the case even during periods in which the benchmark is flat or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">moving in a manner which causes the value of a Fund to decline. A Fund can lose money regardless of the performance of an underlying </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark, due to the effects of daily rebalancing, volatility, compounding and other risk factors.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-34</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_23"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The number of
underlying components included in a Fund&#8217;s benchmark may impact the volatility of such benchmark, which could adversely </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">affect an
investment in the Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The number of underlying components in a Fund&#8217;s
benchmark may impact the volatility of such benchmark, which could adversely affect </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">an investment in the Shares. For example, certain of the Funds&#8217; benchmarks are
concentrated in terms of the number and type of commodities </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and currencies represented, and some of the benchmarks consist solely of a single commodity or currency
exchange rate. Investors should be </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">aware that other benchmarks are more diversified in terms of both the number and variety of investments included. Concentration in fewer
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">components may result in a greater degree of volatility in a benchmark and the Fund which corresponds to that benchmark under specific market </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conditions and over time.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Possible illiquid markets may cause or exacerbate losses.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Financial Instruments and/or markets may be illiquid. In such cases and during such times it may be difficult or impossible to buy or sell a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">position at the desired price. For example, it may be difficult to execute a trade at a specific price when there is a relatively small volume of buy </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and sell orders in a market. Market disruptions or volatility can also make it difficult for a Fund to buy or sell a position or find a swap or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">forward contract counterparty willing to transact at a reasonable price and sufficient size. Illiquid markets and/or Financial Instruments may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cause losses, which could be significant, for the Funds. The large size of the positions which the Funds may acquire increases the risk of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">disruption or illiquidity will potentially be exacerbated due to the fact that each Fund typically invests in Financial Instruments related to a single </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark, which is highly concentrated. Limits imposed by counterparties, exchanges or other regulatory organizations, such as accountability </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">levels, position limits and daily price fluctuation limits, may contribute to a lack of liquidity with respect to some Financial Instruments and have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a negative impact on Fund performance. During periods of market illiquidity, including periods of market disruption and volatility, it may be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">difficult or impossible for a Fund to buy or sell futures contracts or other Financial Instruments or for investors to buy or sell Fund Shares at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">desired prices or at all.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Fees are charged regardless of a Fund&#8217;s returns and may result in depletion of assets.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds are subject to the fees and expenses described herein which are payable irrespective of
a Fund&#8217;s returns, as well as the effects </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of commissions, trading spreads, and embedded financing, borrowing costs and fees associated with swaps, forwards, futures
contracts, and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">costs relating to the purchase of U.S. Treasury securities or similar high credit quality, short-term fixed-income or similar securities. Additional </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">charges may include other fees as applicable. These fees and expenses have a negative impact on Fund returns.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">For the Funds linked to a benchmark, changes implemented by the benchmark
provider that affect the composition and valuation of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">benchmark could negatively impact the performance of the Funds.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds, other than the Currency Funds, are linked to benchmarks maintained by third-party
providers that are unaffiliated with the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Funds or the Sponsor. There can be no guarantee or assurance that the methodology used by the third-party provider to create the
benchmark </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">will result in a Fund achieving high, or even positive, returns. The policies implemented by each benchmark provider concerning the calculation </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or the composition of a benchmark could affect the value of a benchmark and, therefore, the value of such Fund&#8217;s Shares. A benchmark provider </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may change the composition of the benchmark, or make other methodological changes that could change the value of a benchmark. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Additionally, a benchmark provider may alter, discontinue or suspend calculation or dissemination of a benchmark. Any of these actions could </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">adversely affect the value of Shares of a Fund using that benchmark. There is no guarantee the methodology underlying the benchmark will be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">free from error. Benchmark providers have no obligation to consider Fund shareholder interests in calculating or revising a benchmark. Each of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">these factors could have a negative impact on the performance of the Funds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, for the VIX Futures Fund, the Cboe can make methodological changes to the calculation of the VIX that could affect the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">value of VIX futures contracts and, consequently, the value of the VIX Futures Fund&#8217;s Shares. There can be no assurance that Cboe will not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">change the VIX calculation methodology in a way which may affect the value of the VIX Futures Fund&#8217;s Shares. The Cboe may also alter, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">discontinue or suspend calculation or dissemination of the VIX and/or exercise settlement value. It is also possible that third parties may attempt </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to manipulate the value of the VIX Mid-Term Futures Index or the VIX. S&amp;P Dow Jones Indices may also make changes to the equity securities </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-35</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_24"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">underlying the S&amp;P 500 or the futures contracts
included in the Index, or make other methodological changes that could change the level of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">S&amp;P 500. Any of these actions could adversely affect the value of such
Fund&#8217;s Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Calculation of a benchmark may not be possible or feasible
under certain events or circumstances that are beyond the reasonable control </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Sponsor, which in turn may adversely impact both the benchmark and/or the Shares, as
applicable. Additionally, benchmark calculations </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">are subject to error and may be disrupted by rollover disruptions, rebalancing disruptions and/or market emergencies,
which may have a negative </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">impact on the performance of the Funds.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The particular benchmark used by a Fund may underperform other asset classes and may underperform other indices or benchmarks based </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">upon the same underlying Reference Asset.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds, other than the Currency Funds, are linked to benchmarks maintained by third-party providers unaffiliated with the Funds or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Sponsor. There can be no guarantee or assurance that the methodology used by the third party provider to create the benchmark will result in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a Fund achieving high, or even positive, returns. Further, there can be no guarantee that the methodology underlying the benchmark or the daily </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">calculation of the benchmark will be free from error. It is also possible that the value of the benchmark or its underlying Reference Asset may be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">subject to intentional manipulation by third-party market participants. The particular benchmark used by each Fund may underperform other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">asset classes and may underperform other indices or benchmarks based upon the same underlying Reference Asset. Each of these factors could </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">have a negative impact on the performance of a Fund.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Financial markets, including the Financial Instruments used by a Fund, and Fund Shares may be subject to unusual trading activity, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">volatility, and potential fraud and/or manipulation by third parties.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Financial markets, including the Financial Instruments in which the Funds invest, and Fund Shares, can be highly volatile and the Funds </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may experience sudden and large movements in price. Unusual trading activity that is unrelated to economic fundamentals, including activity </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that is considered market fraud and/or manipulation or excessive speculation, or significant and/or rapid increases in the size of a Fund as a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">result of an increase in creation activity, can potentially lead to unusual movements in the prices of the Financial Instruments in which the Funds </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">invest as well as the price of Fund Shares, and increase the risk of investing in such Financial Instruments and in Fund shares. Market fraud </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and/or manipulation and other fraudulent trading practices (such as the intentional dissemination of false or misleading information (e.g., false </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rumors)) can, among other things, lead to disruption of the orderly functioning of markets, lead to significant market volatility and cause the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">value of a Fund and/or the Financial Instruments held by a Fund to fluctuate quickly and without warning. Such fluctuations could be significant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and could be temporary or last for longer periods of time. High volatility may have an adverse impact on the performance of the Funds. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">widespread demand for a commodity, currency, or security may cause price increases in the commodity, currency, or security, which could </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">result in an increased demand for Shares. The Funds may experience difficulty in registering additional Shares in a timely manner in response to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a high demand for Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The UltraShort Natural Gas Fund experienced significantly higher than normal creation activity in mid-September of 2021. The Ultra </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Natural Gas Fund experienced significantly higher than normal creation activity in mid-November of 2021. Each Fund potentially could </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">experience similar creation activity in the future. A Fund experiencing significant and rapid growth could potentially experience difficulty </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">achieving appropriate exposure in response to significant increases in Fund assets, which could cause a Fund to limit or suspend purchases of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Creation Units. Any limitation or suspension of Creation Units, among other things, could cause a Fund&#8217;s Shares to trade at a premium, widen </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading spreads, or otherwise disrupt secondary market trading in a Fund&#8217;s Shares. Increases in the price of Financial Instruments and a Fund&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Shares as a result of the conditions described above are subject to significant and unexpected reversals. An investor in any of the Funds could </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">potentially lose the full principal value of his or her investment within a single day.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;margin-left:24pt;">A Fund may change its investment objective, benchmark and investment strategies, and/or may terminate, at any time without </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">shareholder approval.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor has the authority to change a Fund&#8217;s investment objective, benchmark or
investment strategy at any time, or to terminate the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trust or a Fund, in each case, without shareholder approval or advance notice, subject to applicable regulatory
requirements. Although such </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">changes may be subject to applicable regulatory approvals, the Sponsor may determine to operate a Fund in accordance with its new investment
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">objective, benchmark or investment strategy while the applicable approvals, if any, are pending. Such changes may expose shareholders to </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-36</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_25"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">losses on their investments in a Fund. When a
Fund&#8217;s assets are sold as part of the Fund&#8217;s termination, the resulting proceeds distributed to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholders may be less than those that could have been
realized in a sale outside of a termination context.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">There may be
circumstances that could prevent or make it impractical for a Fund to operate in a manner consistent with its investment </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">objective and
investment strategies.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">There may be circumstances outside the control of the Sponsor
and/or a Fund that could prevent or make it impractical to rebalance such </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s portfolio investments, to process purchase or redemption orders, or to otherwise
operate the Fund in a manner consistent with its </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment objective and investment strategies. Examples of such circumstances include: market disruptions; significant or
extreme market </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">volatility, particularly late in the trading day; difficulty achieving appropriate exposure in response to significant increases in Fund assets; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">natural disasters (including disease, epidemics and pandemics); public service disruptions or utility problems such as those caused by fires, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">floods, extreme weather conditions, and power outages resulting in telephone, telecopy, and computer failures; market conditions or activities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">causing trading halts; systems failures involving computer or other information systems affecting the aforementioned parties, as well as the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Depository Trust Company (&#8220;DTC&#8221;), the National Securities Clearing Corporation (&#8220;NSCC&#8221;), or any other participant in the trading or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">operations of a Fund; and similar extraordinary events.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">While the Sponsor has implemented and tested a business continuity plan and a disaster recovery plan designed to address circumstances </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">such as those above, these and other circumstances may prevent a Fund from being operated in a manner consistent with its investment objective </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and/or investment strategies and could cause significant losses to the Funds.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The Funds use investment techniques that may be considered aggressive.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Some investment techniques of the Funds, such as their use of Financial Instruments, may be considered aggressive. Risks associated with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Financial Instruments include potentially dramatic price changes (losses) in the value of the instruments and imperfect correlations between the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">price of the contract and the underlying Reference Asset. The use of Financial Instruments may increase the volatility of a Fund and may involve </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a small investment of cash relative to the magnitude of the risk assumed.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Historical correlation trends between Fund benchmarks and other asset classes may not continue or may reverse, limiting or eliminating any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">potential diversification or other benefit from owning a Fund.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">To the extent that an investor purchases a Fund seeking diversification benefits based on the historic correlation (whether positive or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">negative) between the returns of the Fund or its underlying benchmark and other asset classes, such historic correlation may not continue or may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reverse itself. In this circumstance, the diversification or other benefits sought may be limited or non-existent. The diversification or other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benefits sought by an investor in a Fund may also become limited or cease to exist if the Sponsor determines to change the Fund&#8217;s benchmark or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">otherwise modify the Fund&#8217;s investment objective or investment strategy.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The lack of active trading markets for the Shares may result in losses upon the sale of such Shares.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Although the Shares are publicly listed and traded on the Exchange, there can be no guarantee
that an active trading market for the Shares </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">will develop or be maintained. If investors need to sell their Shares at a time when an active market for such Shares does not
exist, the price </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investors receive for their Shares, assuming that investors are able to sell them at all, likely will be lower than the price that investors would </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">receive if an active market did exist.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Investors may be adversely affected by redemption or creation orders that are subject to postponement, suspension or rejection under </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">certain circumstances.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In respect of any Fund, the Sponsor may, in its sole discretion, limit or suspend the right of creation or redemption or may postpone the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">redemption or purchase settlement date. For example, the Sponsor may limit or suspend purchases or postpone settlement for (1) any period </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">during which the Exchange or any other exchange, marketplace or trading center, deemed to affect the normal operations (e.g., valuation) of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">such Fund, is closed, or when trading is restricted or suspended on such exchanges in any of the Funds&#8217; Financial Instruments or underlying </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Reference Assets, (2) any period during which an emergency exists as a result of which the fulfillment of a purchase order or the redemption </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-37</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_26"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">distribution is not reasonably practicable, or (3) such
other period as the Sponsor determines, in its sole discretion, to be appropriate for the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">protection of the Fund, the shareholders of the Fund or otherwise in the interest
of such Fund (for example, in response to, or anticipation of, a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">period of significant and/or rapid increases in the size of a Fund as a result of an increase in creation
activity). In addition, a Fund will reject a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">redemption order if the order is not in proper form as described in the Authorized Participant Agreement or if the fulfillment
of the order might </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">be unlawful. Any such limitation, postponement, suspension or rejection could adversely affect a redeeming Authorized Participant. For </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">example, the resulting delay may adversely affect the value of the Authorized Participant&#8217;s redemption proceeds if the NAV of a Fund declines </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">during the period of delay. The Funds disclaim any liability for any loss or damage that may result from any such limitation, postponement, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">suspension or rejection. Investors should be aware that during any period where creations or redemptions have been limited, postponed, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">suspended or rejected, the public trading price per Share of a Fund may be materially different from the NAV per Share of the Fund (i.e., the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">secondary market price may trade at a material premium or discount to NAV), the bid-ask spreads on a Fund&#8217;s Shares may widen, and/or the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">number of Shares on which quotes may be available could decrease. These events could increase the trading costs to investors, cause a Fund to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">not perform consistent with its investment objective, and otherwise result in significant losses for investors.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;margin-left:24pt;">Purchases of a Fund&#8217;s Creation Units may be limited or
suspended which may prevent a Fund from achieving appropriate exposure.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In situations where a Fund may have difficulty achieving, or be unable to achieve, appropriate
exposure in response to significant </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">increases, or anticipated significant increases, in Fund assets, a Fund may place upper limits or other restrictions on the number of
Creation </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Units Authorized Participants may purchase or may suspend purchases of Creation Units altogether. The Funds disclaim any liability for any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">loss or damage that may result from any such suspension or limits. The Sponsor expects that such limits or suspensions will not impact the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ability of Authorized Participants to redeem Creation Units during such period.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As a result of such limits or suspension, secondary market trading of a Fund&#8217;s Shares may be halted or disrupted. Investors should be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">aware that during periods in which the purchase of Creation Units is suspended or limited, the public trading price per Share of a Fund may be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">materially different from the NAV per Share of the Fund (i.e., the secondary market price may trade at a material premium or discount to NAV), </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the bid-ask spreads on a Fund&#8217;s Shares may widen, and/or the number of Shares on which quotes may be available could decrease. These events </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">could increase the trading costs to investors, could cause a Fund&#8217;s trading price to not perform consistent with its investment objective and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">otherwise lead to significant losses for the Fund and investors. These conditions could reverse suddenly and without warning when the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">suspension or limitation on Authorized Participants&#8217; ability to purchase Creation Units is lifted or modified, causing losses for Fund investors.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The NAV per Share may not correspond to the market price per
Share.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The NAV per Share of a Fund changes as fluctuations occur in the market value
of the Fund&#8217;s portfolio. Investors should be aware that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the public trading price per Share of a Fund may be substantially different from the NAV per Share of the
Fund (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., the secondary market price </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may trade at a substantial premium or discount to NAV). The price at which an investor may be able to sell Shares at any time, especially in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">times of market volatility, may be significantly less than the NAV per Share of the Fund at the time of sale. Consequently, an Authorized </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Participant may be able to create or redeem a Creation Unit of a Fund at a discount or a premium to the public trading price per Share of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that Fund.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Authorized Participants or their customers may have an opportunity to realize a profit if they
can purchase a Creation Unit at a discount to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the public trading price of the Shares of a Fund or can redeem a Creation Unit at a premium over the public trading price of
the Shares of a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund. The Sponsor expects that the exploitation of such arbitrage opportunities by Authorized Participants and their clients and customers will </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">tend to cause the public trading price to track the NAV per Share of the Funds closely over time.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Investors who purchase Fund Shares in the secondary market and pay a premium purchase price over a Fund&#8217;s indicative optimized </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">performance value (&#8220;IOPV&#8221;) could incur significant losses in the event such investor sells such Fund Shares at a time when such premium is no </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">longer present in the marketplace.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The value of a Share may be influenced by non-concurrent trading hours between the Exchange and the market in which Financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Instruments (or related Reference Assets) held by a Fund are traded. The Shares of each Fund trade on the Exchange from 9:30 a.m. to 4:00 p.m. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(Eastern Time). The Financial Instruments (and/or the related Reference Assets) held by a particular Fund, however, have earlier fixing or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement times or, in the case of the VIX Futures Fund, a later fixing time. Consequently, liquidity in the Financial Instruments (and/or the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Reference Assets) may be reduced after such fixing or settlement time. As a result, during the time when the Exchange is open for trading but </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-38</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_27"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">after the applicable fixing or settlement time of an
underlying component, trading spreads and the resulting premium or discount on the Shares </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of a Fund may widen, and, therefore, may increase the difference between the
price of the Shares of a Fund and the NAV of such Shares. Also, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">during the time when the Exchange is open for trading but the Fund&#8217;s NAV has already been determined
(or, in the case of the VIX Futures </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund, closed for trading but before the determination of its NAV), there could be market developments or other events that cause or
exacerbate </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the difference between the price of the Shares of such Funds in the secondary market and the NAV of such Shares or otherwise have a negative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">impact on the value of an investment in the Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The VIX futures contracts in which the VIX Futures Fund invests may be traded throughout the day, including between 4:30 p.m. and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5:00 p.m. As a result, during the time when the Exchange is closed for trading but before the determination of NAV, there could be market </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">developments or other events that cause or exacerbate the difference between the price of the Shares of the VIX Futures Fund in the secondary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">market and the NAV of such Shares or otherwise have a negative impact on the value of an investment in the Shares.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Investors may be adversely affected by an overstatement or understatement of a
Fund&#8217;s NAV due to the valuation method employed or errors </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">in the NAV calculation.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Under normal circumstances, the NAV of a Fund reflects the value of the Financial Instruments
held by the Fund, as of the time the NAV </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">is calculated. The NAV of the Funds includes, in part, any unrealized profits or losses on open Financial Instrument positions. In
certain </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">circumstances (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">e.g</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., if the Sponsor believes market quotations do not accurately reflect fair value of an investment, or a trading halt closes an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange or market early), the Sponsor may, in its sole discretion, choose to determine a fair value price as the basis for determining the market </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">value of such position for such day. The fair value of an investment determined by the Sponsor may be different from other value determinations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the same investment. Such fair value prices generally would be determined based on available inputs about the current value of the underlying </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Reference Assets and would be based on principles that the Sponsor deems fair and equitable. A swap counterparty may have the right to close </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">out a Fund&#8217;s position due to the occurrence of certain events (for example, if the counterparty is unable to hedge its obligations to the Fund, or if </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Fund defaults on certain terms of the swap agreement, or if there is a material decline in the Fund&#8217;s benchmark on a particular day) and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">request immediate payment of amounts owed by the Fund under the agreement. If the level of a Fund&#8217;s benchmark has a dramatic intraday </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">move, the terms of the swap agreement may permit the counterparty to immediately close out a transaction with the Fund at a price set by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">counterparty, which may not represent fair market value. A swap counterparty may also have the right to close out a Fund&#8217;s position for no </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reason, in some cases with same day notice. The valuation method used to calculate NAV or errors in calculation of a Fund&#8217;s NAV may cause </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Fund&#8217;s NAV to be overstated or understated and may affect the performance of the Fund and the value of an investment in the Shares.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Trading on exchanges outside the United States is generally not subject to
U.S. regulation and may result in different or diminished </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">investor protections.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">To the extent that a Fund places trades on exchanges outside the United States, trading on such
exchanges is generally not regulated by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">any U.S. governmental agency and may involve certain risks not applicable to trading on U.S. exchanges, including different or
diminished </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investor protections. In trading contracts denominated in currencies other than U.S. dollars, the Shares are subject to the risk of adverse </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange rate movements between the dollar and the functional currencies of such contracts. Investors could incur substantial losses from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading on foreign exchanges which such investors would not have otherwise been subject had the Funds&#8217; trading been limited to U.S. markets.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Competing claims of intellectual property rights may adversely affect the
Funds and an investment in the Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor believes that it has obtained all
required licenses or the appropriate consent of all necessary parties with respect to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">intellectual property rights necessary to operate the Funds. However, other third
parties could allege ownership as to such rights and may bring </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">legal action asserting their claims. The expenses in litigating, negotiating, cross-licensing or otherwise
settling such claims may adversely affect </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Funds. Additionally, as a result of such action, a Fund could potentially change its investment objective, benchmark or
investment strategies. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Each of these factors could have a negative impact on the performance of the Funds.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-39</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_28"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The liquidity of the
Shares may also be affected by the withdrawal from participation of Authorized Participants, which could adversely </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">affect the market
price of the Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the event that one or more Authorized Participants which
have substantial interests in the Shares withdraw from participation, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">liquidity of the Shares will likely decrease, which could adversely affect the market price of
the Shares and result in investors incurring a loss on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">their investment.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Shareholders that are not Authorized Participants may only purchase or sell their Shares in secondary trading markets, and the conditions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">associated with trading in secondary markets may adversely affect investors&#8217; investment in the Shares.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Only Authorized Participants may create or redeem Creation Units. All other investors that desire
to purchase or sell Shares must do so </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">through the Exchange or in other markets, if any, in which the Shares may be traded. Shares may trade at a premium or discount to NAV
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">per Share.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The Exchange may halt trading in the Shares of a Fund which would adversely impact investors&#8217; ability to sell Shares.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Trading in Shares of a Fund may be halted by the Exchange due to market conditions or, in light
of the applicable Exchange rules and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">procedures. In addition, trading is subject to trading halts caused by market volatility pursuant to &#8220;circuit breaker&#8221;
rules that require trading to be </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">halted for a specified period based on a specified decline or rise in a market index (</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">e.g</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., the Dow Jones Industrial Average) or in the price of a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s Shares. There can be no assurance that the requirements necessary to maintain the listing of the Shares of a Fund will continue to be met </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or will remain unchanged.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Shareholders do not have the protections associated with ownership of shares in an investment company registered under the 1940 Act.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds are not subject to registration or regulation under the 1940 Act. Consequently,
shareholders do not have the regulatory </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">protections provided to investors in investment companies registered under the 1940 Act. These protections include, but are not
limited to, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">provisions in the 1940 Act that limit transactions with affiliates, prohibit the suspension of redemptions (except under limited circumstances), </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">require a board of directors that must include disinterested directors, limit leverage, impose a fiduciary duty on the fund&#8217;s manager with respect </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the receipt of compensation for services, require shareholder approval for certain fundamental changes, limit sales loads, and require proper </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">valuation of fund assets.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The value of the Shares will be adversely affected if the Funds are required to indemnify Wilmington Trust Company (the &#8220;Trustee&#8221;) and/or
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">the Sponsor.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Under the Trust Agreement, the Trustee and the Sponsor each has the right to be indemnified for any liability or expense incurred without </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">gross negligence or willful misconduct. That means the Sponsor may require the assets of a Fund to be sold in order to cover losses or liability </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">suffered by it or by the Trustee. Any such sale would decrease the value of an investment in an impacted Fund.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Although the Shares are limited liability investments, certain circumstances,
such as the bankruptcy of a Fund could increase a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">shareholder&#8217;s liability.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Shares are limited liability investments; investors may not lose more than the amount that
they invest plus any gains or income </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">recognized on their investment. However, shareholders could be required, as a matter of bankruptcy law, to return to the estate of a
Fund any </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">distribution they received at a time when such Fund was in fact insolvent or in violation of the Trust Agreement.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">A court could potentially conclude that the assets and liabilities of one Fund
are not segregated from those of another series of the Trust and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">may thereby potentially expose assets in a Fund to the liabilities of
another series of the Trust.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each series of the Trust is a separate series of a
Delaware statutory trust and not itself a separate legal entity. Section 3804(a) of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Delaware Statutory Trust Act, as amended (the &#8220;DSTA&#8221;), provides that if
certain provisions are in the formation and governing documents of a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">statutory trust organized in series, and if separate and distinct records are maintained for any
series and the assets associated with that series are </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">held in separate and distinct records (directly or indirectly, including through a nominee or otherwise) and
accounted for in such separate and </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-40</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_29">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">distinct
records separately from the other assets of the statutory trust, or any series thereof, then the debts, liabilities, obligations and expenses </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">incurred, contracted for or
otherwise existing with respect to a particular series are enforceable against the assets of such series only, and not </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">against the assets of the statutory trust generally
or any other series thereof, and none of the debts, liabilities, obligations and expenses incurred, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracted for or otherwise existing with respect to the statutory
trust generally or any other series thereof shall be enforceable against the assets </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of such series. The Sponsor is not aware of any court case that has interpreted Section
3804(a) of the DSTA or provided any guidance as to what </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">is required for compliance. The Sponsor maintains separate and distinct records for each series and accounts for
them separately, but it is </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">possible a court could conclude that the methods used did not satisfy Section 3804(a) of the DSTA and thus potentially expose assets of a Fund
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the liabilities of another series of the Trust.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Due to the increased use of technologies, intentional and unintentional cyber-attacks pose operational and information security risks.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">With the increased use of technologies such as the Internet and the dependence on computer
systems to perform necessary business </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">functions, the Funds and their service providers are susceptible to operational and information security risks. In general, cyber
incidents can </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">result from deliberate attacks or unintentional events. Cyber-attacks include, but are not limited to gaining unauthorized access to digital systems </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for purposes of misappropriating assets or sensitive information, corrupting data, or causing operational disruption. Cyber-attacks may also be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">carried out in a manner that does not require gaining unauthorized access, such as causing denial-of-service attacks on websites. Cyber security </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">failures or breaches of a Fund&#8217;s third party service provider (including, but not limited to, index providers, the administrator and transfer agent) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or the issuers of securities in which the Funds invest, have the ability to cause disruptions and impact business operations, potentially resulting in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial losses, the inability of Fund shareholders to transact business, violations of applicable privacy and other laws, regulatory fines, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">penalties, reputational damage, reimbursement or other compensation costs, and/or additional compliance costs. In addition, substantial costs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may be incurred in order to prevent any cyber incidents in the future. The Funds and their shareholders could be negatively impacted as a result. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">While the Funds have established business continuity plans and systems to prevent such cyber-attacks, there are inherent limitations in such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plans and risk management systems including the possibility that certain risks have not been identified. Furthermore, the Funds cannot control </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the cyber security plans and systems of each Fund&#8217;s service providers, market makers, Authorized Participants or issuers of securities in which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">each Fund invests.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Investors cannot be assured of the Sponsor&#8217;s continued services, the discontinuance of which may be detrimental to the Funds.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Investors cannot be assured that the Sponsor will be able to continue to service the Funds for
any length of time. If the Sponsor </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">discontinues its activities on behalf of the Funds, the Funds may be adversely affected, as there may be no entity servicing the Funds
for a period </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of time. If the Sponsor&#8217;s registrations with the CFTC or memberships in the National Futures Association (the &#8220;NFA&#8221;) were revoked or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">suspended, the Sponsor would no longer be able to provide services and/or to render advice to the Funds. If the Sponsor were unable to provide </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">services and/or advice to the Funds, the Funds would be unable to pursue their investment objectives unless and until the Sponsor&#8217;s ability to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">provide services and advice to the Funds was reinstated or a replacement for the Sponsor as commodity pool operator could be found. Such an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">event could result in termination of the Funds.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">It may not be possible to gain exposure to the benchmarks using exchange-traded Financial Instruments in the future.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds intend to utilize exchange-traded Financial Instruments. It may not be possible to gain
exposure to the benchmarks with these </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Financial Instruments in the future. If these Financial Instruments cease to be traded on regulated exchanges, they may be replaced
with </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Financial Instruments traded on trading facilities that are subject to lesser degrees of regulation or, in some cases, no substantive regulation. As a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">result, trading in such Financial Instruments, and the manner in which prices and volumes are reported by the relevant trading facilities, may not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">be subject to the provisions of, and the protections afforded by, the Commodity Exchange Act, as amended (the &#8220;CEA&#8221;), or other applicable </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">statutes and related regulations that govern trading on regulated U.S. futures exchanges, or similar statutes and regulations that govern trading on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">regulated U.K. futures exchanges. In addition, many electronic trading facilities have only recently initiated trading and do not have significant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading histories. As a result, the trading of contracts on such facilities, and the inclusion of such contracts in a benchmark, may be subject to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain risks not presented by U.S. or U.K. exchange-traded futures contracts, including risks related to the liquidity and price histories of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relevant contracts.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-41</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_30">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Regulatory changes or actions, including the implementation of new legislation, may alter the operations and profitability of the Funds.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The U.S. derivatives markets and market participants have been subject to comprehensive
regulation, not only by the CFTC but also by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">self-regulatory organizations, including the NFA and the exchanges on which the derivatives contracts are traded and/or
cleared. The regulation </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of commodity interest transactions and markets, including under the Dodd-Frank Act, is a rapidly changing area of law and is subject to ongoing
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">modification by governmental and judicial action. In particular, the Dodd-Frank Act has expanded the regulation of markets, market participants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and financial instruments. The regulatory regime under the Dodd-Frank Act has imposed additional compliance and legal burdens on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">participants in the markets for futures and other commodity interests. For example, under the Dodd-Frank Act new capital and risk requirements </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">have been imposed on market intermediaries. Those requirements may cause the cost of trading to increase for market participants, like the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Funds, that must interact with those intermediaries to carry out their trading activities. These increased costs can detract from the Funds&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">performance.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As
with any regulated activity, changes in regulations may have unexpected results. For example, changes in the amount or quality of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">collateral that traders in
derivatives contracts are required to provide to secure their open positions, or in the limits on number or size of positions </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">that a trader may have open at a given time,
may adversely affect the ability of the Funds to enter into certain transactions that could otherwise </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">present lucrative opportunities. Considerable regulatory attention
has been focused on non-traditional investment pools which are publicly </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">distributed in the United States. There is a possibility of future regulatory changes altering,
perhaps to a material extent, the nature of an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment in the Funds or the ability of the Funds to continue to implement their investment strategies.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In November 2019, the SEC issued proposed regulations limiting the purchase and sale of funds
like the Geared Funds. Instead of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">adopting these regulations, in October 2020, the SEC directed its staff to conduct a review of the existing regulatory framework related
to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">purchase and sale of funds like the Geared Funds. Although it is impossible to predict the outcome of such review, its impact could be adverse to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Geared Funds.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, the SEC, CFTC and the exchanges are authorized to take extraordinary actions in the
event of a market emergency, including, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of
daily price limits </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the suspension of trading. The regulation of swaps, forwards and futures transactions in the United States is a rapidly changing area of law </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and is subject to modification by government and judicial action. The effect of any future regulatory change on the Funds is impossible to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">predict, but could be substantial and adverse.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In particular, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the &#8220;Dodd-Frank Act&#8221;) has made and will continue to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">make sweeping changes to the way in which the U.S. financial system is supervised and regulated. Title VII of the Dodd Frank Act sets forth a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">legislative framework for OTC derivatives, including certain Financial Instruments, such as swaps, in which certain of the Funds may invest. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Title VII of the Dodd-Frank Act makes broad changes to the OTC derivatives market, grants significant new authority to the SEC and the CFTC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to regulate OTC derivatives and market participants, and, pursuant to regulations that have been and will continue to be adopted by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">regulators, requires the clearing and exchange trading of many types of OTC derivatives transactions.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to regulations adopted by the CFTC, swap dealers are required to be registered and are subject to various regulatory </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">requirements, including, but not limited to, margin, recordkeeping, reporting and various business conduct requirements, as well as minimum </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial capital requirements.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to the Dodd-Frank Act, regulations adopted by the CFTC and the federal banking regulators that are now in effect require swap </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dealers to post and collect margin (comprised of specified liquid instruments and subject to a required haircut) in connection with a Fund&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading of swaps that are not traded on an exchange or cleared by a clearinghouse. These requirements may increase the amount of collateral the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Funds are required to provide and the costs associated with providing such collateral.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Swap agreements submitted for clearing are subject to minimum margin requirements set by the relevant clearinghouse, as well as margin </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">requirements mandated by the CFTC, SEC and/or federal banking regulators. Swap dealers also typically demand the unilateral ability to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">increase a Fund&#8217;s collateral requirements for swap agreements that are cleared by a clearinghouse beyond any regulatory and clearinghouse </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">minimums. Such requirements may make it more difficult and costly for investment funds, such as the Funds, to enter into customized </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions. They may also render certain investment strategies in which a Fund might otherwise engage impossible or so costly that they will </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">no longer be economical to implement. If a Fund decides to execute swap agreements through an exchange or swap execution facility, the Fund </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-42</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_31"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">would be subject to the rules of the exchange or swap
execution facility, which would bring additional risks and liabilities, and potential </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">requirements under applicable regulations and under rules of the relevant exchange or
swap execution facility.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">With respect to cleared OTC derivatives, a Fund will not
face a clearinghouse directly but rather will do so through a swap dealer that is </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">registered with the CFTC or SEC and that acts as a clearing member. A Fund may face the
indirect risk of the failure of another clearing member </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">customer to meet its obligations to its clearing member. This risk could arise due to a default by the clearing
member on its obligations to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">clearinghouse triggered by a customer&#8217;s failure to meet its obligations to the clearing member.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Swap dealers also are required to post margin to the clearinghouses through which they clear
their swaps with customers instead of using </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">such margin in their operations, as was widely permitted before Dodd-Frank. This has increased and will continue to increase
swap dealers&#8217; </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">costs, and these increased costs are generally passed through to other market participants such as the Funds in the form of higher upfront and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">mark-to-market margin, less favorable trade pricing, and the imposition of new or increased fees, including clearing account maintenance fees.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">While certain regulations have been promulgated and are already in effect, the full impact of the
Dodd-Frank Act on any of the Funds </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">remains uncertain. The legislation and the related regulations that have been and may be promulgated in the future may negatively impact
a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s ability to meet its investment objective either through limits on its investments or requirements imposed on it or any of its counterparties. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">In particular, new requirements, including capital requirements and mandatory clearing of OTC derivatives transactions, which may increase </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">derivative counterparties&#8217; costs and are expected to generally be passed through to other market participants in the form of higher upfront and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">mark-to-market margin, less favorable trade pricing, and the imposition of new or increased fees, including clearinghouse account maintenance </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">fees, may increase the cost of a Fund&#8217;s investments and the cost of doing business, which could adversely affect investors.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Regulatory bodies outside the U.S. have also passed or proposed, or may propose in the future,
legislation similar to that proposed by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Dodd-Frank or other legislation containing other restrictions that could adversely impact the liquidity of and increase costs of
participating in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">commodities markets. For example, the European Union Markets in Financial Instruments Directive (Directive 2014/65/EU) and Markets in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Financial Instruments Regulation (Regulation (EU) No 600/2014) (together &#8220;MiFID II&#8221;), which has applied since January 3, 2018, governs the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">provision of investment services and activities in relation to, as well as the organized trading of, financial instruments such as shares, bonds, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">units in collective investment schemes and derivatives. In particular, MiFID II requires European Union (the &#8220;EU&#8221;) Member States to apply </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">position limits to the size of a net position which a person can hold at any time in commodity derivatives traded on EU trading venues and in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;economically equivalent&#8221; OTC contracts. By way of further example, the European Market Infrastructure Regulation (Regulation (EU) No </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">648/2012, as amended) (&#8220;EMIR&#8221;) introduced certain requirements in respect of OTC derivatives including: (i) the mandatory clearing of OTC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">derivative contracts declared subject to the clearing obligation; (ii) risk mitigation techniques in respect of OTC derivative contracts that are not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cleared by a clearinghouse, including the mandatory margining of such contracts; and (iii) reporting and recordkeeping requirements in respect </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of all derivatives contracts. In the event that the requirements under EMIR and MiFID II apply, these are expected to increase the cost of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transacting derivatives.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, regulations adopted by U.S. federal banking regulators will require certain bank-regulated swap dealer counterparties and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain of their affiliates and subsidiaries, including swap dealers, to include in certain financial contracts, including many derivatives contracts, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">such as swap agreements, terms that delay or restrict the rights of counterparties, such as a Fund, to terminate such contracts, foreclose upon </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">collateral, exercise other default rights or restrict transfers of credit support in the event that the counterparty and/or its affiliates are subject to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain types of resolution or insolvency proceedings. Similar regulations and laws have been adopted in the UK and the EU that apply to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Funds&#8217; counterparties located in those jurisdictions. It is possible that these new requirements could adversely affect the Funds&#8217; ability to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">terminate existing derivatives agreements or to realize amounts to be received under such agreements.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CFTC rules do not apply to all of the physically settled forward contracts entered into by the Funds. Investors, therefore, may not receive </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the protection of CFTC regulation or the statutory scheme of the CEA in connection with each Fund&#8217;s physically settled forward contracts. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">abuses or financial failure by participants.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-43</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_32"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Regulatory and exchange daily price limits, position limits and accountability levels may have
a negative impact on the operation and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">performance of each Fund.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Many U.S. futures exchanges limit the amount of fluctuation permitted in futures contract prices
during a single trading day by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">regulations referred to as &#8220;daily price fluctuation limits&#8221; or &#8220;daily limits.&#8221; Once the daily limit has been reached
in a particular contract, no </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">trades may be made that day at a price beyond that limit or trading may be suspended for specified periods during the trading day. Derivatives
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contract prices could move to a limit for several consecutive trading days with little or no trading thereby preventing prompt liquidation of or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">entry into derivatives positions and potentially subjecting the Fund to substantial losses or periods in which the Fund does not create additional </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Creation Units.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In
addition, the CFTC, U.S. futures exchanges and certain non-U.S. exchanges have established limits referred to as &#8220;speculative position </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">limits&#8221; or
&#8220;accountability levels&#8221; on the maximum net long or short futures positions that any person may hold or control in futures contracts </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">traded on U.S. and certain
non-U.S. exchanges. The CFTC&#8217;s rules require that all accounts owned or managed by an entity that is responsible for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">such accounts&#8217; trading decisions, their
principals and their affiliates be aggregated for position limits. The CFTC amended these aggregation </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">rules in December 2016.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In connection with these limits, the Dodd-Frank Act amended the Commodity Exchange Act, and as a
result, the CFTC has adopted </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">regulations establishing speculative position limits applicable to regulated futures and OTC derivatives and impose aggregate speculative
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">position limits across regulated U.S. futures, OTC positions and certain futures contracts traded on non-U.S. exchanges. The CFTC has sought to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amend its position limits rules for several years and on October 15, 2020 the CFTC adopted rules on position limits with respect to the 25 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">physical delivery commodity futures contracts and options on futures, as well as to swaps that are economically equivalent to such contracts and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures and options thereon that are directly or indirectly linked to the price of such contracts or to the same commodity underlying such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">e.g</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., cash-settled look-a-like futures).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Exchanges may establish accountability levels applicable to futures contracts instead of position limits. An accountability level is not a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">strict limit, but when a person holds or controls a position in excess of a position accountability level, the relevant exchange may convert the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accountability level to a limit based on information that it collects from the person as to the person&#8217;s investment intentions and strategy as part of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the position accountability process and market conditions. In addition, the relevant exchange may order a person who holds or controls a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">position in excess of a position accountability level not to further increase its position, to comply with any prospective limit that exceeds the size </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the position owned or controlled, or to reduce any open position that exceeds the position accountability level if the exchange determines that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">such action is necessary to maintain an orderly market. Position accountability levels could adversely affect each of the Fund&#8217;s ability to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">establish and maintain positions in commodity futures contracts to which such levels apply, if the Funds were to trade in such contracts. Such an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">outcome could adversely affect each of the Fund&#8217;s ability to pursue its investment objective.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Currently, the Sponsor and the Funds are subject to position limits and accountability levels established by the CFTC and exchanges. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">positions that would otherwise be taken for the Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">any future limits established by the CFTC and the relevant exchanges. These restrictions, if implemented, could limit the ability of each Fund to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">have a significant negative impact on Fund operations and secondary market trading.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, the Sponsor may be required to liquidate certain open positions in order to ensure compliance with the speculative position </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">limits at unfavorable prices, which may result in substantial losses for the relevant Funds. There also can be no assurance that the Sponsor will </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">liquidate positions held on behalf of all the Sponsor&#8217;s accounts, including any proprietary accounts, in a proportionate manner. In the event the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor chooses to liquidate a disproportionate number of positions held on behalf of any of the Funds at unfavorable prices, such Funds may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">incur substantial losses and the value of the Shares may be adversely affected.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A person is generally required by CFTC or exchange rules, as applicable, to aggregate all positions in accounts as to which the person has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10% or greater ownership or control. However, CFTC and exchange rules provide certain exemptions from this requirement. For example, a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">person is not required to aggregate positions in multiple accounts that it owns or controls if that person is able to satisfy the requirements of an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exemption from aggregation of those accounts, including, where available, the independent account controller exemption. Any failure to comply </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with the independent account controller exemption or another exemption from the aggregation requirement could obligate the Sponsor to </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-44</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_33"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">aggregate positions in multiple accounts under its
control, which could include the Funds and other commodity pools or accounts under the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor&#8217;s control. In such a scenario, the Funds may not be able to obtain
exposure to one or more Financial Instruments necessary to pursue </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">their investment objectives, or they may be required to liquidate existing futures contract positions in
order to comply with a limit. Such an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">outcome could adversely affect each of the Fund&#8217;s ability to pursue its investment objective or achieve favorable
performance.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds are currently subject to position limits and accountability
levels and may be subject to new or more restrictive position limits </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or accountability levels in the future. A Fund that experiences significant and/or rapid increases in
size may reach position limits or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">accountability levels and/or become subject to daily limits. Funds reaching or approaching such limits would be unable or limited in
their ability </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to establish new futures positions or add to existing positions until they were back below such limits and their ability to engage in future </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions on a going-forward basis could be severely limited. This could prevent each Fund from achieving its investment objective and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">otherwise have a significant negative impact on the performance of each Fund. To the extent a Fund reaches or approaches position limits or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accountability levels, such a Fund may limit or suspend the purchase of Creation Units since the Fund may be unable to invest the cash received </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">from such Creation Units in sufficient futures transactions to meet its investment objective. As discussed elsewhere herein, the limitation or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">suspension of Creation Unit purchases could cause a Fund&#8217;s Shares to trade at significant premiums or discounts and otherwise disrupt </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">secondary market trading of Fund Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If a Fund approached or reached a position limit, accountability level or daily limit, the Sponsor would likely seek to cause the Fund to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">invest in swap transactions that provide exposure to the benchmark or components of the benchmark. There can be no guarantees that this </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">strategy would be successful or that a Fund would achieve sufficient exposure through swap transactions to achieve its investment objective. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">addition, the Trust or the Sponsor may apply to the CFTC or to the relevant exchanges for relief from certain position limits, accountability </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">levels and daily limits. There can be no guarantee that the CFTC or relevant exchange would grant such a request. If the Trust or Sponsor is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unable to obtain such relief, a Fund&#8217;s ability to invest in additional futures contracts, achieve its investment objective, and issue new Creation </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Units would be limited as described herein.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The UltraShort Natural Gas Fund experienced significantly higher than normal creation activity in mid-September of 2021. The Ultra </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Natural Gas Fund experienced significantly higher than normal creation activity in mid-November of 2021. Each Fund potentially could </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">experience similar creation activity in the future. The VIX Futures Fund, the Shares of which are offered by this prospectus, along with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shares of which are offered under a different prospectus (collectively, the &#8220;Four VIX Funds&#8221;), are subject to an aggregate VIX futures contract </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accountability level. During the period from January 1, 2021 to October 31, 2021, the net VIX contract positions held by the Four VIX Funds in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the aggregate ranged from 19% to 52% of the VIX futures contract accountability level applicable to them (the &#8220;Accountability Level </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Percentage&#8221;). The Accountability Level Percentage should be expected to change on a daily basis and will be affected by, among other things, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">changes in the size of each of the Four VIX Funds, market conditions, investor demand for each of the Four VIX Funds, and the number and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">mix of long and short VIX futures contract positions held by the Four VIX Funds. There can be no guarantee or assurance that the Accountability</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Level Percentage will continue to be within such range in the future, and the Accountability Level Percentage may be higher or lower in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the future.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The Funds and the Sponsor are subject to extensive legal and regulatory requirements.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds are subject to a comprehensive scheme of regulation under the federal commodity futures
trading and securities laws, as well </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">as futures exchange rules and the rules and listing standards for their Shares. Each Fund and the Sponsor could each be subject to
sanctions for a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">failure to comply with those requirements, which could adversely affect the Fund&#8217;s financial performance and its ability to pursue its investment
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">objectives. Each Fund is subject to significant disclosure, internal control, governance, and financial reporting requirements because its Shares </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">are publicly traded.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">For example, the Funds are responsible for establishing and maintaining internal controls over
financial reporting. Under this requirement, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Funds must adopt, implement and maintain an internal control system designed to provide reasonable assurance to its
management regarding </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the preparation and fair presentation of published financial statements. The Funds are also required to adopt, implement, and maintain disclosure
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">controls and procedures that are designed to ensure information required to be disclosed by the Funds in reports that they file or submit to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SEC is recorded, processed, summarized and reported within the time periods specified by the SEC. There is a risk that the Funds&#8217; internal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">controls over financial reporting and disclosure controls and procedures could fail to operate as designed or otherwise fail to satisfy SEC </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-45</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_34"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">requirements. Such a failure could result in the
reporting or disclosure of incorrect information or a failure to report information on a timely </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">basis. Such a failure could be to the disadvantage of shareholders and
could expose the Funds to penalties or otherwise adversely affect each of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Fund&#8217;s status under the federal securities laws and SEC regulations. Any internal
control system, no matter how well designed, has inherent </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">limitations. Therefore, even those systems determined to be effective may provide only reasonable assurance with
respect to financial statement </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">preparation and presentation and other disclosure matters.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, the SEC, CFTC, and exchanges are empowered to intervene in their respective markets in response to extreme market </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conditions. Those interventions could adversely affect the Funds&#8217; ability to pursue their investment objectives and could lead to losses for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Funds and their shareholders.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;margin-left:24pt;">The discontinuance of the U.S. dollar London interbank offered rate (LIBOR) could cause or contribute to market volatility and could
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">affect the market value and/or liquidity of the Funds&#8217; investments.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Shareholders should be aware that (i) relevant regulatory announcements about the phase out of
LIBOR, (ii) the possibility of changes </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">being made to the basis on which LIBOR is calculated and published (or its ceasing to be published), (iii) uncertainty as to whether
or how any </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">alternative reference rate may replace LIBOR, (iv) the ability of the Funds&#8217; third-party service providers and/or counterparties to support and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">process the Funds&#8217; investments based on an alternative reference rate, and (v) any other actions taken by the ICE Benchmark Administration, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Financial Conduct Authority (the &#8220;FCA&#8221;) or any other entity with respect to LIBOR or its replacement (if any), could cause or contribute to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">market volatility and could negatively affect the market value, availability and/or liquidity of the Funds&#8217; investments. The unavailability or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">replacement of LIBOR may affect the valuation of certain Fund investments. Any pricing adjustments to a Fund&#8217;s investments resulting from a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">substitute reference rate may also adversely affect the Fund&#8217;s performance and/or NAV. However, it is not possible at this time to predict or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ascertain what precise impact these will have on the Funds.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The use of futures contracts may expose the Funds to liquidity and other risks, which could result in significant loss to the Funds.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Risks of futures contracts include: (i) an imperfect correlation between the value of the futures
contract and the underlying commodity or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">commodity index; (ii) possible lack of a liquid secondary market; (iii) the inability to close a futures contract when desired;
(iv) losses caused by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">unanticipated market movements, which may be significant; (v) an obligation for a Fund to make daily cash payments to maintain its required </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">margin, particularly at times when the Fund may have insufficient cash or must sell investments to meet those margin requirements; (vi) the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">possibility that a failure to close a position may result in a Fund receiving an illiquid commodity; (vii) unfavorable execution prices from rapid </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">selling; and (viii) inability to achieve desired exposure because of position limits or accountability levels. The use of futures contracts exposes a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund to risks associated with &#8220;rolling&#8221; as described herein, including the possibility that contango or backwardation can occur. In addition, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures contracts may be subject to contractual or other restrictions on resale and may lack readily available markets for resale.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Margin requirements and position limits applicable to futures contracts may
limit a Fund&#8217;s ability to achieve sufficient exposure and prevent </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">a Fund from achieving its investment objective.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund may enter into written agreements with one or more FCMs governing the terms of the
Fund&#8217;s futures transactions cleared by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">such FCM. Because futures contracts typically require only a relatively small initial investment, they may involve a high
degree of leverage. A </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund must provide margin when it invests in a futures contract. Such margin requirements are subject to change suddenly and without warning </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">at any time during the term of the contract and could be substantial in the event of adverse price movements or volatility. High margin </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">requirements could prevent a Fund from obtaining sufficient exposure to futures contracts and may prevent or have a significant adverse impact </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on a Fund&#8217;s ability to achieve its investment objective. If a margin call is not met within a reasonable time, an FCM may close out a Fund&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">position which may prevent the Fund from achieving its investment objective. If a Fund has insufficient cash to meet daily margin requirements, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">it may need to sell Financial Instruments at a time when such sales are disadvantageous. An FCM&#8217;s failure to return required margin to a Fund </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on a timely basis may cause the Fund to delay redemption settlement dates and/or restrict, postpone or limit the right of redemption and could </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">also have a negative impact on a Fund&#8217;s ability to achieve its investment objective.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Exchanges impose futures contract position limits and accountability levels on the Funds and the Funds may be subject to new or more </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">restrictive position limits or accountability levels in the future. If a Fund reaches a position limit or accountability level or becomes subject to a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">daily limit, its ability to issue new Creation Units or reinvest in additional commodity futures contracts may be limited to the extent these </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">restrictions limit its ability to establish new futures positions, add to existing positions, or otherwise transact in futures.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-46</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_35"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Certain of the FCMs utilized by the
Funds may impose their own &#8220;position limits&#8221;, or risk limits, on the Funds. Any such risk limits </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">restrict the amount of exposure to futures contracts that a
Fund can obtain through such FCMs. These risk limits may, for example, be imposed </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">as a result of significant and/or rapid increases in the size of the Fund as a result of
an increase in creation activity. As a result, a Fund may need </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to transact through a number of FCMs in order to achieve its investment objective. If enough FCMs are not
willing to transact with a Fund, or if </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the risk limits imposed by such FCMs do not provide sufficient exposure, the Fund may not be able to achieve its investment
objective. In </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">addition, in such instances, a Fund may limit or suspend the purchase of Creation Units since the Fund may be unable to invest the cash received </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">from such Creation Unit in sufficient futures transactions to meet its investment objective. As discussed elsewhere herein, the limitation or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">suspension of Creation Units could cause a Fund&#8217;s Shares to trade at significant premiums or discounts and otherwise disrupt secondary market </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading of Fund Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Futures markets are highly volatile, and may become more volatile during periods of general market and/or economic volatility, and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">use of or exposure to futures contracts may increase volatility of a Fund&#8217;s NAV.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">VIX futures contracts in particular have been subject to periods of sudden and extreme volatility. As a result, margin requirements for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">VIX futures contracts are higher than those for most other types of futures contracts. In addition, the FCMs utilized by the Funds may impose </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">margin requirements in addition to those imposed by the clearinghouse. Margin requirements are subject to change, and may be raised in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">future by either or both of the clearinghouse and the FCMs. High margin requirements could prevent a Fund from obtaining sufficient exposure </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to VIX futures contracts and may adversely affect a Fund&#8217;s ability to achieve its investment objective. An FCM&#8217;s failure to return required </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">margin to a Fund on a timely basis may cause such Fund to delay redemption settlement dates and/or restrict, postpone or limit the right </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of redemption.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The insolvency of an FCM or clearinghouse or the failure of an FCM or clearinghouse to properly segregate Fund assets held as margin on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">futures transactions may result in losses to the Funds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The CEA requires FCMs to segregate client assets received as margin on futures transactions from their own proprietary assets. However, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the event of the FCM&#8217;s bankruptcy or if an FCM fails to properly segregate Fund assets deposited as margin, a Fund may not be able to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">recover any assets held by the FCM, or may recover only a limited portion of such assets.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Furthermore, customer funds held at a clearinghouse in connection with any futures contracts are permitted to be held in a commingled </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">omnibus account that does not identify the name of the clearing member&#8217;s individual customers. A clearinghouse may use assets held in such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accounts to satisfy payment obligations of a defaulting customer of the FCM to the clearinghouse. As a result, in the event of a default of one or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">more of the FCM&#8217;s other clients together with the bankruptcy or insolvency of the FCM, a Fund may not be able to recover the assets deposited </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by the FCM on behalf of the Fund with the clearinghouse.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the event of a bankruptcy or insolvency of any exchange or a clearinghouse, a Fund could experience a loss of the funds deposited </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">through its FCM as margin with the clearinghouse, a loss of any profits on its open positions on the exchange, and the loss of unrealized profits </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on its closed positions on the exchange.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">A Fund&#8217;s performance could be adversely affected if an FCM reduces its internal risk limits for the Fund.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CFTC rules require clearing member FCMs to establish risk-based limits on position and order
size. As a result, the Trust&#8217;s FCMs may be </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">required or may choose to reduce their internal limits on the size of the positions they will execute or clear for the
Funds, and the Funds&#8217; ability </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to transact in futures contracts could be reduced or eliminated. Under these circumstances, the Trust may seek to use additional FCMs,
which </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">may increase the costs for the Funds, make the Funds&#8217; trading less efficient or more prone to error, or adversely affect the value of the Shares. If </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">enough FCMs are not willing to transact with a Fund, it may not be possible for the Fund to transact in futures contracts or to invest in other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Financial Instruments necessary to achieve the desired exposure consistent with the Fund&#8217;s investment objective.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The use of swap agreements may expose the Funds to liquidity risk,
counterparty credit risk and other risks, which could result in significant </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">loss to the Funds.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund may enter into swaps referencing its benchmark or particular futures contracts
comprising its benchmark. Swaps are contracts </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">between two parties who agree to exchange the returns on, among other things, a particular predetermined security, commodity,
interest rate or </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-47</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_36"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">index for a fixed or floating rate of return with reference to a predetermined notional amount of money. The Funds trade swaps
that are not </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">cleared by a clearinghouse. There are no limitations on the percentage of its assets a Fund may invest in swaps with a particular counterparty. A </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">swap counterparty or affiliate thereof may be an Authorized Participant or shareholder of one or more Funds. Swap agreements do not have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">uniform terms. A swap counterparty may have the right to close out a Fund&#8217;s position due to the occurrence of certain events (for example, if a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">counterparty is unable to hedge its obligations to a Fund, or if the Fund defaults on certain terms of the swap agreement, or if there is a material </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">decline in the Fund&#8217;s benchmark on a particular day) and request immediate payment of amounts owed by the Fund under the agreement. If the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">level of a Fund&#8217;s benchmark has a dramatic intraday move, the terms of the swap agreement may permit the counterparty to immediately close </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">out a transaction with the Fund at a price set by the counterparty, which may not represent fair market value. A swap counterparty may also have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the right to close out a Fund&#8217;s position for no reason, in some cases with same day notice. The valuation method used to calculate NAV or errors </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in calculation of a Fund&#8217;s NAV may cause the Fund&#8217;s NAV to be overstated or understated and may affect the performance of the Fund and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">value of an investment in the Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Because a swap counterparty may stop trading with a Fund, in some cases with same day notice, a Fund may need to transact through a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">number of swap counterparties in order to achieve its investment objective. If enough swap counterparties are not willing to transact with a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exposure consistent with the Fund&#8217;s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">level of the Fund&#8217;s benchmark reverses all or part of an intraday move by the end of the day. In addition, in such instances, a Fund may limit or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">suspend the purchase of Creation Units since the Fund may be unable to invest the cash received from such Creation Units through swap </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions and other Financial Instruments in a manner designed to meet its investment objective. As discussed elsewhere herein, the limitation </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or suspension of Creation Unit purchases could cause a Fund&#8217;s Shares to trade at significant premiums or discounts and otherwise disrupt </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">secondary market trading of the Fund&#8217;s Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds have sought to mitigate these risks by typically entering into transactions only with major, global financial institutions, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">generally requiring that swap counterparties agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">minimum thresholds. Notwithstanding the use of collateral arrangements, to the extent any collateral provided to such Fund is insufficient or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">there are delays in accessing the collateral, the Fund will be exposed to possibly significant costs and delays in recovering such amounts. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">swap counterparty&#8217;s failure to return collateral to such Fund on a timely basis may cause the Fund to delay redemption settlement dates and/or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">restrict, postpone or limit the right of redemption. If the swap counterparty becomes bankrupt or otherwise fails to perform its obligations due to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial difficulties or other reasons, such Fund could suffer significant losses on these contracts and the value of an investor&#8217;s investment in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Fund may decline.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Natural Gas and Precious Metals Fund may, but is not required to, seek to use swap
agreements that limit losses (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., have &#8220;floors&#8221;) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or are otherwise designed to prevent the Fund&#8217;s net asset value from going to or below zero. Use of such swap agreements will not prevent a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Natural Gas or Precious Metals Fund from losing value, and their use may not prevent the Fund&#8217;s NAV from going to or below zero. Rather, it </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is intended to allow a Natural Gas or Precious Metals Fund to preserve a small portion of its value in the event of significant movements in its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark or Financial Instruments based on its benchmark. There can be no guarantee that use of such swap agreements will be successful. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Each Natural Gas and Precious Metals Fund will incur additional costs as a result of using such swap agreements. Use of swap agreements </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">designed to limit losses may also place &#8220;caps&#8221; or &#8220;ceilings&#8221; on performance and could significantly limit Fund gains, could cause a Fund to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">perform in a manner not consistent with its investment objective, and could otherwise have a significant impact on Fund performance.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Margin requirements for swaps may limit a Fund&#8217;s ability to achieve
sufficient exposure and prevent a Fund from achieving its </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">investment objective.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Margin requirements imposed by a swap counterparty are subject to change and could be
substantial, especially in the event of adverse </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">price movements. High margin requirements could prevent a Fund from obtaining sufficient exposure to swap agreements and
may adversely </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">affect a Fund&#8217;s ability to achieve its investment objective. If a Fund has insufficient cash to meet its margin requirements, the Fund may need to
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">sell Financial Instruments at a time when such sales are disadvantageous. A Fund&#8217;s use of swaps involves counterparty credit risk &#8211; i.e., the risk </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that a counterparty is or is perceived to be unwilling or unable to make timely payments or otherwise meet its contractual obligations. Regulators </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">impose margin requirements applicable to swaps that are not cleared by a clearinghouse relating to the amount of initial margin, the timing of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">margin transfers, and the calculation of margin requirements. Although a Fund is not directly subject to these requirements, when a Fund&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">counterparty is subject to these requirements, the swaps between the Fund and that counterparty are subject to these margin requirements, and </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-48</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_37"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">collateral is required to be exchanged between the Fund
and the counterparty to account for any changes in the value of such swaps. It is </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">possible that in the future these rules could apply to the Funds, may result in
significant operational burdens and costs to a Fund, and may impair </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Fund&#8217;s ability to achieve its investment objective.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The use of derivatives, such as swap agreements and forward contracts, exposes
the Funds to counterparty credit risks.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund may use derivatives such as swap
agreements and forward contracts (collectively referred to herein as &#8220;derivatives&#8221;) in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">manner described herein as a means to achieve their respective
investment objectives. Use of derivatives exposes the Funds to the credit risk of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the counterparty to a derivative transaction.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Derivative transactions may be &#8220;cleared&#8221; or &#8220;uncleared.&#8221; In the case of
derivatives that are not cleared by a clearinghouse, the Funds will </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">be subject to the credit risk of the counterparty to the transaction &#8211; typically a single bank or
financial institution. If a counterparty becomes </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">bankrupt or otherwise fails to perform its obligations due to financial difficulties or other reasons, a Fund could suffer
significant losses on these </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts and the value of an investor&#8217;s investment in a Fund may decline.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the case of derivatives that are cleared by a clearinghouse, the Funds will have credit risk
to the clearinghouse in a similar manner as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Funds would for futures contracts. The counterparty risk for these derivatives transactions is generally lower than for
derivatives transactions </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">that are not cleared by a clearinghouse. Once a transaction is cleared, the clearinghouse is substituted and is the Fund&#8217;s counterparty for
the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">derivative transaction. The clearinghouse guarantees the performance of the other side of the derivative transaction. Nevertheless, some risk </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">remains, as there is no assurance that the clearinghouse, or its members, will satisfy their obligations to a Fund.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The use of options strategies may expose the Funds to significant loss and
liquidity, counterparty and other risks.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Options transactions may be considered
speculative in nature and may be highly leveraged. Certain options transactions may subject the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">writer (seller) to unlimited risk of loss in the event of an increase in
the price of the contract to be purchased or delivered. The value of a Fund&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">options transactions, if any, will be affected by, among other things, changes in the
value of a Fund&#8217;s underlying benchmark relative to the strike </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">price, changes in interest rates, changes in the actual and implied volatility of the Fund&#8217;s
underlying benchmark, and the remaining time to until </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the options expire, or any combination thereof. The value of the options should not be expected to increase or
decrease at the same rate as the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">level of the Fund&#8217;s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other
securities. A </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">downside from specific option positions and certain option positions may expire worthless. Over-the-counter options generally are not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">over-the-counter market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">buy and sell options on futures contracts, which may present even greater volatility and risk of loss.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Use of options strategies may be costly and may not be successful.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund may buy and sell options in order to achieve exposure to the markets. An option is a contract that gives the buyer the right, but </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of time, regardless of the market price of that instrument. As the buyer of a call or put option, a Fund may lose the entire premium paid for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">option if the value of the security underlying the option does not rise above the call strike price, or fall below the put strike price, which means </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the option will expire worthless. As a seller (writer) of a call or put option, a Fund will tend to lose money if the value of the underlying security </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rises above the call strike price or falls below the put strike price. A Fund&#8217;s losses are potentially large in written put or call transactions. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">addition to futures contracts, the principal futures exchanges offer a number of listed options on futures contracts. Options on futures contracts </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">offer market participants another type of Financial Instrument to use in managing exposure to the relevant commodity market. A Fund may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purchase options on futures contracts on these exchanges in pursuing its investment objective. Further, in addition to Financial Instruments such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as futures contracts and options on futures contracts, there also exists an active nonexchange-traded market in derivatives tied to various</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> commodities.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-49</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_38">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, each Fund may, but is not required to, seek to use options strategies that limit losses (</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., have &#8220;floors&#8221;) or are otherwise </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">designed to prevent the Fund&#8217;s net asset value from going to or below zero. Use of such options strategies will not prevent a Fund from losing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">value, and their use may not prevent the Fund&#8217;s NAV from going to or below zero. Rather, it is intended to allow a Fund to preserve a small </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">guarantee that use of such options strategies will be successful. Each Fund will incur additional costs as a result of using such options strategies. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Use of options strategies designed to limit losses may also place &#8220;caps&#8221; or &#8220;ceilings&#8221; on performance and could significantly limit Fund gains, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">could cause a Fund to perform in a manner not consistent with its investment objective, and could otherwise have a significant impact on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund performance.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A
Fund will incur additional transaction, compliance and other costs as a result of using options strategies. The use of options may be </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">considered aggressive, may not
prevent a Fund from losing value, and may not prevent a Fund&#8217;s NAV from decreasing to or below zero. There </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">can be no guarantee that a Fund will be able to implement
options strategies, continue to use options strategies, or that options strategies will be </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">successful. Use of an options strategy could cause a Fund to perform in a manner
not consistent with its investment objective and could </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">otherwise have a negative impact on Fund performance.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Shareholders&#8217; tax liability may exceed cash distributions on the
Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Shareholders of each Fund may be subject to U.S. federal income taxation
and, in some cases, state, local, or foreign income taxation on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">their share of the Fund&#8217;s taxable income, whether or not they receive cash distributions from the
Fund. Each Fund does not currently expect to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">make distributions with respect to capital gains or ordinary income. Accordingly, shareholders of a Fund will not receive cash
distributions equal </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to their share of the Fund&#8217;s taxable income or the tax liability that results from such income. A Fund&#8217;s income, gains, losses and
deductions are </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">allocated to shareholders on a monthly basis. If you own Shares in a Fund at the beginning of a month and sell them during the month, you are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">generally still considered a shareholder through the end of that month.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The U.S. Internal Revenue Service (the &#8220;IRS&#8221;) could adjust or reallocate items of income, gain, deduction, loss and credit with respect
to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Shares if the IRS does not accept the assumptions or conventions utilized by the Fund.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">U.S. federal income tax rules applicable to partnerships, which each Fund is anticipated to be
treated as under the Internal Revenue Code </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of 1986, as amended (the &#8220;Code&#8221;), are complex and their application is not always clear. Moreover, the rules
generally were not written for, and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in some respects are difficult to apply to, publicly traded interests in partnerships. The Funds apply certain assumptions and
conventions </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">intended to comply with the intent of the rules and to report income, gain, deduction, loss and credit to shareholders in a manner that reflects the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholders&#8217; economic gains and losses, but these assumptions and conventions may not comply with all aspects of the applicable Regulations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(as defined below). It is possible therefore that the IRS will successfully assert that these assumptions or conventions do not satisfy the technical </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">requirements of the Code or the Treasury regulations promulgated thereunder (the &#8220;Regulations&#8221;) and will require that items of income, gain, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">deduction, loss and credit be adjusted or reallocated in a manner that could be adverse to investors.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Shareholders will receive partner information tax returns on Schedule K-1, which could increase the complexity of tax returns.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The partner information tax returns on Schedule K-1, which the Funds will distribute to
shareholders, will contain information regarding </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the income items and expense items of the Funds. If you have not received Schedules K-1 from other investments, you may
find that preparing </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">your tax return may require additional time, or it may be necessary for you to retain an accountant or other tax preparer, at an additional expense
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to you, to assist you in the preparation of your return.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Shareholders of each Fund may recognize significant amounts of ordinary income and short-term capital gain.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Due to the investment strategy of the Funds, the Funds may realize and pass through to
shareholders significant amounts of ordinary </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">income and short-term capital gains as opposed to long-term capital gains, the latter of which are generally taxed at a
preferential rate. A Fund&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">income, gains, losses and deductions are allocated to shareholders on a monthly basis. If you own Shares in a Fund at the beginning of a
month </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and sell them during the month, the Fund will generally still consider you a shareholder through the end of that month.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-50</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5d692423-b794-41f3-ac4d-1467a656ab9c_39"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A Fund may be liable for U.S. federal
income tax on any &#8220;imputed underpayment&#8221; of tax resulting from an adjustment as a result of an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">IRS audit. The amount of the imputed underpayment generally
includes increases in allocations of items of income or gains to any shareholder </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and decreases in allocations of items of deduction, loss, or credit to any shareholder
without any offset for any corresponding reductions in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">allocations of items of income or gain to any shareholder or increases in allocations of items of deduction, loss,
or credit to any shareholder. If a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund is required to pay any U.S. federal income taxes on any imputed underpayment, the resulting tax liability would reduce the net
assets of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund and would likely have an adverse impact on the value of the Shares. Under certain circumstances, a Fund may be eligible to make an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">election to cause the shareholders to take into account the amount of any imputed underpayment, including any interest and penalties. However, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">there can be no assurance that such election will be made or effective. If the election is made, the Fund would be required to provide </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholders who owned beneficial interests in the Shares in the year to which the adjusted allocations relate with a statement setting forth their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proportionate shares of the adjustment (&#8220;Adjustment Statements&#8221;). Those shareholders would be required to take the adjustment into account in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the taxable year in which the Adjustment Statements are issued.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">A Fund could be treated as a corporation for federal income tax purposes, which may substantially reduce the value of its Shares.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund has received an opinion of counsel that, under current U.S. federal income tax laws,
such will be treated as a partnership that is </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">not taxable as a corporation for U.S. federal income tax purposes, provided that, inter alia, (i) at least 90 percent of such
Fund&#8217;s annual gross </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">income will be derived from qualifying income which includes dividends, interest, capital gains from the sale or other disposition of stocks and
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">debt instruments and, in the case of a partnership a principal activity of which is the buying and selling of commodities or certain positions with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">respect to commodities, income and gains derived from certain swap agreements or regulated futures or forward contracts with respect to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">commodities, (ii) such Fund is organized and operated in accordance with its governing agreements and applicable law and (iii) such Fund does </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">not elect to be taxed as a corporation for federal income tax purposes. Although the Sponsor anticipates that each Fund has satisfied and will </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">continue to satisfy the &#8220;qualifying income&#8221; requirement for all of its taxable years, such result cannot be assured. The Funds have not requested </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and will not request any ruling from the IRS with respect to their classification that each Fund is treated as a partnership not taxable as a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">corporation for federal income tax purposes. If the IRS were to successfully assert that a Fund is taxable as a corporation for federal income tax </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purposes in any taxable year, rather than passing through its income, gains, losses and deductions proportionately to shareholders, such Fund </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">would be subject to tax on its net income for the year at the 21% corporate tax rate. In addition, although each Fund does not currently intend to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">make distributions with respect to Shares, any distributions would be taxable to shareholders as dividend income. Taxation of a Fund as a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">corporation could materially reduce the after-tax return on an investment in Shares and could substantially reduce the value of the Shares.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Shareholders will not be eligible for the deduction for qualified publicly
traded partnership income.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">For taxable years beginning before January 1, 2026, there
is a 20% deduction for &#8220;qualified publicly traded partnership income&#8221; within </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the meaning of Section 199A(e)(4) of the Code. In general, &#8220;qualified
publicly traded partnership income&#8221; for this purpose is an item of income, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">gain, deduction or loss that is effectively connected with a United States trade or
business and includable in determining taxable income for the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">year, but does not include certain investment income. It is currently not expected that a Fund&#8217;s income
will be eligible for such deduction </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">because as discussed below, although the matter is not free from doubt, each Fund believes that the activities directly conducted by
the Fund will </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">not result in the Fund being engaged in a trade or business within the United States. Potential investors should consult their tax advisors </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">regarding the availability of such deduction for their allocable share of a Fund&#8217;s items of income, gain, deduction and loss.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">PROSPECTIVE INVESTORS ARE STRONGLY URGED TO CONSULT THEIR OWN TAX ADVISORS AND
COUNSEL </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">WITH RESPECT TO THE POSSIBLE TAX CONSEQUENCES TO THEM OF AN INVESTMENT IN THE SHARES OF A FUND; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SUCH TAX CONSEQUENCES MAY DIFFER IN RESPECT OF DIFFERENT INVESTORS.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-51</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_b81940d9-355a-4810-92fb-a0dcae18b89e_1"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:13.0pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">CAUTIONARY NOTE REGARDING FORWARD-LOOKING STATEMENTS</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">This Prospectus and the documents incorporated by reference in this Prospectus contain
&#8220;forward-looking statements&#8221; within the meaning </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Section 27A of the Securities Act of 1933, as amended (the &#8220;1933 Act&#8221;) and Section 21E of the
Securities Exchange Act of 1934, as amended </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(the &#8220;1934 Act&#8221;), that are subject to risks and uncertainties. Investors can identify these forward-looking
statements by the use of expressions </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">such as &#8220;may,&#8221; &#8220;will,&#8221; &#8220;expect,&#8221; &#8220;anticipate,&#8221; &#8220;believe,&#8221;
&#8220;intend,&#8221; &#8220;plan,&#8221; &#8220;project,&#8221; &#8220;should,&#8221; &#8220;estimate,&#8221; &#8220;seek&#8221; or any negative or other </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">variations on
such expression. These forward-looking statements are based on information currently available to the Sponsor and are subject to a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">number of risks, uncertainties and other
factors, both known, such as those described in &#8220;Risk Factors&#8221; and elsewhere in this Prospectus and the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">documents incorporated by reference in this Prospectus,
and unknown, that could cause the actual results, performance, prospects or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">opportunities of the Funds to differ materially from those expressed in, or implied by, these
forward-looking statements.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Except as expressly required by federal securities laws,
the Trust assumes no obligation to update publicly any forward-looking </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">statements, whether as a result of new information, future events or otherwise. Investors should not
place undue reliance on any forward-looking</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> statements.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-52</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_1"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">DESCRIPTION OF EACH FUND&#8217;S BENCHMARK</font></div>
<div style="line-height:15.0pt;margin-top:9pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">DESCRIPTION OF THE MID-TERM VIX FUTURES FUND&#8217;S INDEX</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:15pt;"> </font></div> <div style="line-height:11.0pt;margin-top:11pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">The S&amp;P 500 VIX Mid-Term Futures Index</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The VIX Futures Fund seeks to offer exposure to forward equity market volatility by
obtaining exposure to the S&amp;P 500 VIX Mid-Term </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">VIX Futures Index (the &#8220;Mid-Term VIX Futures Index&#8221;). The S&amp;P 500 VIX Mid-Term Futures Index is an
investable index based on publicly </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">traded VIX futures contracts. The S&amp;P 500</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">(R)</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> VIX Mid-Term Futures Index measures the return of a daily rolling long
position in the fourth, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">fifth, sixth and seventh month
VIX</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">(R)</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> futures contracts.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The S&amp;P 500 VIX Mid-Term Futures Index employs rules for selecting the VIX futures contracts
comprising the Mid-Term VIX Futures </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Index and a formula to calculate a level for that Index from the prices of these VIX futures contracts (these rules and the formula may
be </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">changed from time to time, and without notice, by S&amp;P). Currently, the VIX futures contracts comprising the Index represent the prices of four </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">mid-term VIX futures contracts, replicating a position that rolls the fourth month VIX futures to the seventh month VIX futures on a daily basis </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in equal fractional amounts, while maintaining a constant weight in the fifth and sixth month VIX futures. This results in a constant weighted </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">average term to expiration of five months.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The level of the Index will be published by Bloomberg Finance L.P. in real time and at the close of trading on each Index business day </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">under the Bloomberg ticker: SPVXMPID.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The performance of the S&amp;P 500</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">(R)</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> VIX Mid-Term Futures Index is influenced by the performance of the
S&amp;P 500 (and options thereon) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the performance of the VIX index. A description of VIX futures contracts, the VIX and the S&amp;P 500 follows.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">VIX Futures Contracts</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The S&amp;P 500</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">(R) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">VIX Mid-Term VIX Futures Index is comprised of VIX futures contracts. VIX futures contracts were first launched for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading by the Cboe in 2004. VIX futures contracts allow investors to invest based on their view of the forward implied market volatility of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">S&amp;P 500. Investors that believe the forward implied market volatility of the S&amp;P 500 will increase may buy VIX futures contracts. Conversely, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investors that believe that the forward implied market volatility of the S&amp;P 500 will decline may sell VIX futures contracts.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">While the VIX represents a measure of the current expected volatility of the S&amp;P 500 over the
next 30 days, the prices of VIX futures </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts are based on the current expectation of the expected 30-day volatility of the S&amp;P 500 on the expiration date of the
futures contract. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Since the VIX and VIX futures contracts are two distinctly different measures, the VIX and VIX futures contracts generally behave </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">quite differently.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">An important consequence of the spot/forward relationship between the VIX and VIX futures contracts (and therefore between </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">the VIX and the VIX Futures Fund) that investors should understand is that the price of a VIX futures contract can be lower, equal to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">or higher than the VIX, depending on whether the market expects volatility to be lower, equal to or higher in the 30-day forward period </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">covered by the VIX futures contract than in the 30-day spot period covered by the VIX. Therefore the performance of VIX futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">contracts should be expected to be very different than the performance of the VIX as there is no direct relationship between the two </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">measures. As a result, since the performance of the VIX Futures Fund is linked to the performance of the VIX futures contracts </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">included in the Index, the VIX Futures Fund should be expected to perform very differently from the VIX.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The VIX</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The VIX is an index designed to measure the implied volatility of the S&amp;P 500 over 30 days in
the future. The VIX is calculated based on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the prices of certain put and call options on the S&amp;P 500. The VIX is reflective of the premium paid by investors for
certain options linked to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">level of the S&amp;P 500.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-53</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_2"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;margin-left:39.15pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">During periods of rising investor uncertainty, including periods of market instability, the implied level of volatility of the S&amp;P </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">500 typically increases and, consequently, the prices of options linked to the S&amp;P 500 typically increase (assuming all other relevant</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> factors remain constant or have negligible changes). This, in turn, causes the level of the VIX to increase.</font></div>
<div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">During periods of declining investor uncertainty, the implied level of volatility of the S&amp;P 500 typically decreases and, consequently,</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> the prices of options linked to the S&amp;P 500 typically decrease (assuming all other relevant factors remain constant or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">have negligible changes). This, in turn, causes the level of the VIX to decrease.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Volatility, and the level of the VIX, can increase (or decrease) without warning. The performance of the VIX has historically had a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">negative correlation to the performance of the S&amp;P 500. The VIX was developed by the Cboe and is calculated, maintained and published by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Cboe. The Cboe may change the methodology used to determine the VIX and has no obligation to continue to publish, and may discontinue the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">publication of, the VIX. The VIX is reported by Bloomberg Finance L.P. under the ticker symbol &#8220;VIX.&#8221;</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">The S&amp;P 500</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The S&amp;P 500 is an index that measures large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">index of 500 U.S. operating companies and real estate investment trusts selected by the S&amp;P U.S. Index Committee through a non-mechanical </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">process that factors in criteria such as domicile, investible weight factor, liquidity, market capitalization and financial viability. Changes to index </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">composition are made on an as-needed basis. There is no scheduled reconstitution. Rather, changes in response to corporate actions and market </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">developments can be made at any time. S&amp;P publishes the S&amp;P 500. The daily calculation of the current value of the S&amp;P 500 is based on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relative value of the aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate average </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">initial market value of the common stocks of 500 similar companies at the time of the inception of the S&amp;P 500. The 500 companies are not the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">500 largest publicly traded companies and not all 500 companies are listed on the Exchange. Constituent selection is at the discretion of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Index Committee and is based on eligibility criteria. The index has a fixed constituent company count of 500. Sector balance, as measured by a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">comparison of each GICS sector&#8217;s weight in an index with its weight in the S&amp;P Total Market Index, in the relevant market capitalization range, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is also considered in the selection of companies for the indices. S&amp;P may from time to time, in its sole discretion, add companies to, or delete </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">companies from, the S&amp;P 500 to achieve the objectives stated above. Relevant criteria employed by S&amp;P include the viability of the particular </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">company, the extent to which that company represents the industry group to which it is assigned, the extent to which the company&#8217;s common </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">stock is widely held and the market value and trading activity of the common stock of that company.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Information about the Index Licensor</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">PROSHARES VIX MID-TERM FUTURES ETF (THE VIX FUTURES FUND) IS NOT SPONSORED, ENDORSED, SOLD OR
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">PROMOTED BY S&amp;P AND ITS AFFILIATES OR CBOE. S&amp;P AND CBOE MAKE NO REPRESENTATION, CONDITION OR </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF THE VIX FUTURES FUND OR ANY MEMBER OF THE PUBLIC </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">REGARDING
THE ADVISABILITY OF INVESTING IN SECURITIES GENERALLY OR IN THE VIX FUTURES FUND PARTICULARLY</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> OR THE ABILITY OF THE S&amp;P 500 VIX MID-TERM FUTURES INDEX (THE MID-TERM
VIX FUTURES INDEX) TO TRACK </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">MARKET PERFORMANCE AND/OR OF GROUPS OF ASSETS OR ASSET CLASSES AND/ OR TO ACHIEVE ITS STATED </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">OBJECTIVE AND/OR TO FORM THE BASIS OF A SUCCESSFUL INVESTMENT STRATEGY, AS APPLICABLE. S&amp;P&#8217;S AND CBOE&#8217;S </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ONLY RELATIONSHIP TO PROSHARES TRUST II ON BEHALF OF ITS APPLICABLE SERIES AND PROSHARE CAPITAL </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">MANAGEMENT
LLC IS THE LICENSING OF CERTAIN TRADEMARKS AND TRADE NAMES AND OF THE MID-TERM VIX </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FUTURES INDEX WHICH IS DETERMINED, COMPOSED AND CALCULATED BY S&amp;P WITHOUT REGARD TO
PROSHARES </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">TRUST II ON BEHALF OF ITS APPLICABLE SERIES AND PROSHARE CAPITAL MANAGEMENT LLC OR THE VIX FUTURES </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">FUND. S&amp;P HAS NO OBLIGATION TO TAKE THE NEEDS OF PROSHARES TRUST II ON BEHALF OF ITS APPLICABLE SERIES
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">AND PROSHARE CAPITAL MANAGEMENT LLC OR THE OWNERS OF THE VIX FUTURES FUND INTO CONSIDERATION IN
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">DETERMINING, COMPOSING OR CALCULATING THE MID-TERM VIX FUTURES INDEX. S&amp;P AND CBOE ARE NOT ADVISORS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">TO THE VIX FUTURES FUND AND ARE NOT RESPONSIBLE FOR AND HAVE NOT PARTICIPATED IN THE DETERMINATION OF </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">THE
PRICES AND AMOUNT OF THE VIX FUTURES FUND OR THE TIMING OF THE ISSUANCE OR SALE OF THE VIX FUTURES </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FUND OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY WHICH THE
VIX FUTURES FUND SHARES ARE </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">TO BE CONVERTED INTO CASH. S&amp;P AND CBOE HAVE NO OBLIGATION OR LIABILITY IN CONNECTION WITH THE </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ADMINISTRATION, MARKETING, OR TRADING OF THE VIX FUTURES FUND.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-54</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_3"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">NEITHER S&amp;P DOW JONES INDICES NOR THIRD PARTY LICENSOR GUARANTEES THE ADEQUACY, ACCURACY, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">TIMELINESS, AND/OR THE COMPLETENESS OF THE S&amp;P 500 VIX MID-TERM FUTURES INDEX OR ANY DATA RELATED
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">THERETO OR ANY COMMUNICATION INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION,
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. NEITHER S&amp;P DOW JONES INDICES NOR CBOE </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&amp;P DOW
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">JONES INDICES AND CBOE MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES,</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE AS TO RESULTS TO BE OBTAINED BY </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">PROSHARES
TRUST II, ON BEHALF OF ITS PROSHARES VIX MID-TERM FUTURES ETF, AND PROSHARE CAPITAL </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">MANAGEMENT LLC, OWNERS OF PROSHARES VIX MID-TERM FUTURES ETF, OR ANY OTHER PERSON OR
ENTITY FROM </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">THE USE OF THE S&amp;P 500 VIX SHORT-TERM FUTURES OR MCAP INDEX OR WITH RESPECT TO ANY DATA RELATED </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">THERETO. IN NO EVENT WHATSOEVER SHALL S&amp;P DOW JONES INDICES OR CBOE, BE LIABLE FOR ANY INDIRECT,
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">DAMAGES,
WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&amp;P DOW JONES INDICES AND
PROSHARES TRUST II, ON </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">BEHALF OF ITS PROSHARES VIX MID-TERM FUTURES ETF, OR PROSHARES CAPITAL MANAGEMENT LLC, OTHER THAN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">THE LICENSORS OF S&amp;P DOW JONES INDICES.</font></div> <div style="line-height:15.0pt;margin-top:9pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">DESCRIPTION OF THE NATURAL GAS FUNDS&#8217; BENCHMARK</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:15pt;"> </font></div> <div style="line-height:11.0pt;margin-top:11pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Bloomberg Natural Gas
Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;font-weight:bold;position:relative;top:-3.75pt;">SM</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Natural Gas Funds seek daily investment results, before fees and expenses, that correspond to two times (2x) or two times the inverse </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(-2x), of the daily performance of the Bloomberg Natural Gas SubindexSM (the &#8220;Natural Gas Subindex&#8221;).</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Natural Gas Subindex is intended to reflect the performance of a rolling position in natural gas futures contracts traded on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">NYMEX without regard to income earned on cash positions. An investment in natural gas futures contracts may often perform very differently </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">than the price of physical natural gas (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">e.g</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., the wellhead or end-user price of natural gas).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Natural Gas Subindex is based on the Natural Gas component of the Bloomberg Commodity IndexSM (the &#8220;Bloomberg Commodity </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Index&#8221;) and tracks what is known as a rolling futures position. Unlike equities, which entitle the holder to a continuing stake in a corporation, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">commodity futures contracts specify a delivery date for the underlying physical commodity or its cash equivalent. The Natural Gas Subindex is a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;rolling index,&#8221; which means that the Natural Gas Subindex does not take actual physical possession of the commodity; rather, it tracks a rolling </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures position. An investor with a rolling futures position is able to avoid delivering (or taking delivery of) the underlying physical commodity </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">while maintaining exposure to the commodity. The roll occurs over a period of five Bloomberg Commodity Index business days in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pre-determined months according to the Bloomberg Commodity Index contract schedule, generally beginning on the sixth business day of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">month and ending on the tenth business day. Each day during the roll period, approximately 20% of the expiring futures position will be rolled </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">into a new contract with a longer dated expiry, increasing from 0% to 20%, 40%, 60%, 80% and finally 100%. The Natural Gas Subindex will </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reflect the performance of its underlying natural gas contracts, including the impact of rolling, without regard to income earned on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cash positions.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The
methodology for determining the composition of the Natural Gas Subindex and for calculating its level may be changed at any time </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">by Bloomberg without notice.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The daily performance of the Natural Gas Subindex is published by Bloomberg Finance L.P. and is
available under the following </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bloomberg Ticker: BCOMNG.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Information About the Index Licensor</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">&#8220;BLOOMBERG</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;font-weight:bold;position:relative;top:-3.75pt;">&#174;</font>
<font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">&#8221; AND &#8220;BLOOMBERG NATURAL GAS SUBINDEXSM&#8221; ARE SERVICE MARKS OF BLOOMBERG FINANCE </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">L.P. AND ITS AFFILIATES, INCLUDING BLOOMBERG INDEX SERVICES LIMITED (&#8220;BISL&#8221;), THE ADMINISTRATOR OF </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-55</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_4"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">THE INDICES
(COLLECTIVELY, &#8220;BLOOMBERG&#8221;) AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">PROSHARES TRUST II (THE &#8220;LICENSEE&#8221;).</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Natural Gas Funds are not sponsored, endorsed, sold or promoted by Bloomberg. Bloomberg does not make any representation or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">warranty, express or implied, to the owners of or counterparties to the Natural Gas Funds or any member of the public regarding the advisability </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of investing in securities or commodities generally or in the Natural Gas Funds particularly. The only relationship of Bloomberg to the Licensee </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is the licensing of certain trademarks, trade names and service marks and of the Bloomberg Commodity Index and Natural Gas Subindex which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">are determined, composed and calculated by BISL without regard to the Licensee or the Natural Gas Funds. Bloomberg has no obligation to take </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the needs of the Licensee or the owners of the Natural Gas Funds into consideration in determining, composing or calculating the Bloomberg </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commodity Index or Natural Gas Subindex. Bloomberg is not responsible for or has not participated in the determination of the timing of, prices </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">at, or quantities of the Natural Gas Funds to be issued or in the determination or calculation of the equation by which the Natural Gas Funds are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to be converted into cash. Bloomberg shall not have any obligation or liability, including, without limitation, to the Natural Gas Funds&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">customers, in connection with the administration, marketing or trading of the Natural Gas Funds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Prospectus relates only to the Natural Gas Funds and does not relate to the exchange-traded physical commodities underlying any of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Bloomberg Commodity Index or the Natural Gas Subindex components. Purchasers of the Natural Gas Funds should not conclude that the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inclusion of a futures contract in the Bloomberg Commodity Index or the Natural Gas Subindex is any form of investment recommendation of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the futures contract or the underlying exchange-traded physical commodity by Bloomberg. The information in the Prospectus regarding the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bloomberg Commodity Index and the Natural Gas Subindex components has been derived solely from publicly available documents. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bloomberg has not made any due diligence inquiries with respect to the Bloomberg Commodity Index or Bloomberg Natural Gas Subindex </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">components in connection with the Natural Gas Funds. Bloomberg makes no representation that these publicly available documents or any other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">publicly available information regarding the Bloomberg Commodity Index or the Natural Gas Subindex components, including without </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">limitation a description of factors that affect the prices of such components, are accurate or complete.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">BLOOMBERG DOES NOT GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE BLOOMBERG
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">COMMODITY INDEX, THE NATURAL GAS SUBINDEX OR ANY DATA RELATED THERETO AND BLOOMBERG SHALL NOT
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. BLOOMBERG DOES NOT MAKE ANY </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE LICENSEE, OWNERS OF THE NATURAL GAS
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FUNDS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG COMMODITY INDEX, THE NATURAL GAS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SUBINDEX OR ANY DATA RELATED THERETO. BLOOMBERG DOES NOT MAKE ANY EXPRESS OR IMPLIED WARRANTIES </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">AND
EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">WITH RESPECT TO THE BLOOMBERG COMMODITY INDEX, THE NATURAL GAS SUBINDEX OR
ANY DATA RELATED </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, TO THE MAXIMUM EXTENT ALLOWED BY LAW, BLOOMBERG, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ITS LICENSORS, AND ITS AND THEIR RESPECTIVE EMPLOYEES, CONTRACTORS, AGENTS, SUPPLIERS, AND VENDORS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">SHALL
HAVE NO LIABILITY OR RESPONSIBILITY WHATSOEVER FOR ANY INJURY OR DAMAGES WHETHER DIRECT, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">INDIRECT, CONSEQUENTIAL, INCIDENTAL, PUNITIVE OR OTHERWISE ARISING IN CONNECTION
WITH THE NATURAL GAS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FUNDS OR THE BLOOMBERG COMMODITY INDEX, THE NATURAL GAS SUBINDEX OR ANY DATA OR VALUES RELATING </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">THERETO WHETHER ARISING FROM THEIR NEGLIGENCE OR OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">
THEREOF.</font></div> <div style="line-height:15.0pt;margin-top:9pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">DESCRIPTION OF THE PRECIOUS METALS FUNDS&#8217;
BENCHMARKS</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:15pt;"> </font></div> <div style="line-height:11.0pt;margin-top:11pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Bloomberg Silver Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;font-weight:bold;position:relative;top:-3.75pt;">SM</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The UltraShort Silver Fund seeks daily investment results, before fees and expenses, that
correspond to two times the inverse (-2x) of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">daily performance of the Bloomberg Silver Subindex</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">SM</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> (the &#8220;Silver Subindex&#8221;), a subindex of the Bloomberg
Commodity Index. The Silver </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Subindex is intended to reflect the performance of silver, as measured by the price of COMEX silver futures contracts, including the impact or
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">rolling, without regard to income earned on cash positions. The Silver Subindex is not directly linked to the &#8220;spot price&#8221; of silver. Futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts may perform very differently from the spot price of silver.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-56</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_5"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Silver Subindex is based on the silver component of the Bloomberg Commodity Index and tracks what is known
as a rolling futures </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">position. Unlike equities, which entitle the holder to a continuing stake in a corporation, commodity futures contracts specify a delivery date for
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the underlying physical commodity or its cash equivalent. The Silver Subindex is a &#8220;rolling index,&#8221; which means that the Silver Subindex does </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">not take physical possession of any commodities. An investor with a rolling futures position is able to avoid delivering (or taking delivery of) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">underlying physical commodities while maintaining exposure to those commodities. The roll occurs over a period of five Bloomberg </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commodity Index business days in pre-determined months according to the Bloomberg Commodity Index contract schedule, generally </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">beginning on the sixth business day of the month and ending on the tenth business day. Each day during the roll period, approximately 20% of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the expiring futures position will be rolled into a new contract with a longer dated expiry, increasing from 0% to 20%, 40%, 60%, 80% and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">finally 100%. The Silver Subindex will reflect the performance of its underlying silver futures contracts, including the impact of rolling, without </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">regard to the income earned on cash positions.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The methodology for determining the composition of the Silver Subindex and for calculating its level may be changed at any time by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bloomberg without notice.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The daily performance of the Silver Subindex is published by Bloomberg Finance L.P. and is available under the Bloomberg ticker </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">symbol: BCOMSI.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Information About the Index Licensor</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">&#8220;BLOOMBERG</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;font-weight:bold;position:relative;top:-3.75pt;">&#174;</font>
<font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">&#8221;, AND &#8220;BLOOMBERG SILVER SUBINDEX</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;font-weight:bold;position:relative;top:-3.75pt;">SM</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">&#8221; ARE SERVICE MARKS OF BLOOMBERG
FINANCE L.P. AND </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">ITS AFFILIATES, INCLUDING BLOOMBERG INDEX SERVICES LIMITED (&#8220;BISL&#8221;), THE ADMINISTRATOR OF THE INDICES</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;"> (COLLECTIVELY, &#8220;BLOOMBERG&#8221;) AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY THE </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">LICENSEE.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The UltraShort Silver Fund is not sponsored, endorsed, sold or promoted by Bloomberg. Bloomberg
does not make any representation or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">warranty, express or implied, to the owners of or counterparties to the UltraShort Silver Fund or any member of the public regarding
the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">advisability of investing in securities or commodities generally or in the UltraShort Silver Fund particularly. The only relationship of Bloomberg </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the Licensee is the licensing of certain trademarks, trade names and service marks and of the Silver Subindex which is determined, composed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and calculated by BISL without regard to the Licensee or the UltraShort Silver Fund. Bloomberg has no obligation to take the needs of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Licensee or the owners of the UltraShort Silver Fund into consideration in determining, composing or calculating the Silver Subindex. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bloomberg is not responsible for or has not participated in the determination of the timing of, prices at, or quantities of the UltraShort Silver </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund to be issued or in the determination or calculation of the equation by which the UltraShort Silver Fund are to be converted into cash. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bloomberg shall have no obligation or liability, including, without limitation, to the UltraShort Silver Fund&#8217;s customers, in connection with the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">administration, marketing or trading of the UltraShort Silver Fund.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Prospectus relates only to the UltraShort Silver Fund and does not relate to the exchange-traded physical commodities underlying any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Silver Subindex components. Purchasers of the UltraShort Silver Fund should not conclude that the inclusion of a futures contract in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Silver Subindex is any form of investment recommendation of the futures contract or the underlying exchange-traded physical commodity by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bloomberg. The information in the Prospectus regarding the Silver Subindex components has been derived solely from publicly available </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">documents. Bloomberg has not made any due diligence inquiries with respect to the Bloomberg Silver Subindex components in connection with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the UltraShort Silver Fund. Bloomberg makes no representation that these publicly available documents or any other publicly available </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">information regarding the Silver Subindex components, including without limitation a description of factors that affect the prices of such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">components, are accurate or complete.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">BLOOMBERG DOES NOT GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE BLOOMBERG SILVER
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">SUBINDEX OR ANY DATA RELATED THERETO AND BLOOMBERG SHALL HAVE NO ANY LIABILITY FOR ANY ERRORS,
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">OMISSIONS OR INTERRUPTIONS THEREIN. BLOOMBERG MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">TO BE OBTAINED BY THE LICENSEE, OWNERS OF THE ULTRASHORT SILVER FUND OR ANY OTHER PERSON OR ENTITY </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FROM
THE USE OF THE BLOOMBERG SILVER SUBINDEX OR ANY DATA RELATED THERETO. BLOOMBERG DOES NOT </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">MAKE ANY EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF
MERCHANTABILITY </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG SILVER SUBINDEX OR ANY DATA </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-57</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_6"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING,
TO THE MAXIMUM EXTENT ALLOWED BY LAW, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">BLOOMBERG, ITS LICENSORS, AND ITS AND THEIR RESPECTIVE EMPLOYEES, CONTRACTORS, AGENTS, SUPPLIERS, AND </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">VENDORS SHALL HAVE NO LIABILITY OR RESPONSIBILITY WHATSOEVER FOR ANY INJURY OR DAMAGES WHETHER </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">DIRECT,
INDIRECT, CONSEQUENTIAL, INCIDENTAL, PUNITIVE OR OTHERWISE ARISING IN CONNECTION WITH THE </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">ULTRASHORT SILVER FUND OR THE BLOOMBERG SILVER SUBINDEX OR ANY DATA OR VALUES
RELATING THERETO </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">WHETHER ARISING FROM THEIR NEGLIGENCE OR OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Bloomberg Gold Subindex</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;font-weight:bold;position:relative;top:-3.75pt;">SM</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The UltraShort Gold Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">daily performance of the Bloomberg Gold Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">SM</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> (the &#8220;Gold Subindex&#8221;), a subindex of the Bloomberg Commodity Index. The Gold </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Subindex is
intended to reflect the performance of gold, as measured by the price of COMEX gold futures contracts, including the impact of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">rolling, without regard to income earned on
cash positions. The Gold Subindex is not directly linked to the &#8220;spot price&#8221; of gold. Futures </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts may perform very differently from the spot price of
gold.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Gold Subindex is based on the gold component of the Bloomberg Commodity
Index and tracks what is known as a rolling futures </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">position. Unlike equities, which entitle the holder to a continuing stake in a corporation, commodity futures contracts
specify a delivery date for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the underlying physical commodity or its cash equivalent. The Gold Subindex is a &#8220;rolling index,&#8221; which means that the Gold
Subindex does not </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">take physical possession of any commodities. An investor with a rolling futures position is able to avoid delivering (or taking delivery of) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">underlying physical commodities while maintaining exposure to those commodities. The roll occurs over a period of five Bloomberg </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commodity Index business days in pre-determined months according to the Bloomberg Commodity Index contract schedule, generally </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">beginning on the sixth business day of the month and ending on the tenth business day. Each day during the roll period, approximately 20% of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the expiring futures position will be rolled into a new contract with a longer dated expiry, increasing from 0% to 20%, 40%, 60%, 80% and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">finally 100%. The Gold Subindex will reflect the performance of its underlying silver futures contracts, including the impact of rolling, without </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">regard to the income earned on cash positions.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The methodology for determining the composition of the Gold Subindex and for calculating its level may be changed at any time by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bloomberg without notice.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The daily performance of the Gold Subindex is published by Bloomberg Finance L.P. and is available under the Bloomberg ticker </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">symbol: BCOMGC.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Information About the Index Licensor</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">&#8220;BLOOMBERG</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;font-weight:bold;position:relative;top:-3.75pt;">&#174;</font>
<font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">&#8221;, AND &#8220;BLOOMBERG GOLD SUBINDEX</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;font-weight:bold;position:relative;top:-3.75pt;">SM</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">&#8221; ARE SERVICE MARKS OF BLOOMBERG
FINANCE L.P. AND </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">ITS AFFILIATES, INCLUDING BLOOMBERG INDEX SERVICES LIMITED (&#8220;BISL&#8221;), THE ADMINISTRATOR OF THE INDICES</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;"> (COLLECTIVELY, &#8220;BLOOMBERG&#8221;) AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY THE </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">LICENSEE.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The UltraShort Gold Fund is not sponsored, endorsed, sold or promoted by Bloomberg. Bloomberg
does not make any representation or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">warranty, express or implied, to the owners of or counterparties to the UltraShort Gold Fund or any member of the public regarding the
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">advisability of investing in securities or commodities generally or in the UltraShort Gold Fund particularly. The only relationship of Bloomberg </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the Licensee is the licensing of certain trademarks, trade names and service marks and of the Gold Subindex which is determined, composed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and calculated by BISL without regard to the Licensee or the UltraShort Gold Fund. Bloomberg has no obligation to take the needs of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Licensee or the owners of the UltraShort Gold Fund into consideration in determining, composing or calculating the Gold Subindex. Bloomberg </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the UltraShort Gold Fund to be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">issued or in the determination or calculation of the equation by which the UltraShort Gold Fund are to be converted into cash. Bloomberg shall </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">not have any obligation or liability, including, without limitation, to the UltraShort Gold Fund&#8217;s customers, in connection with the administration,</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> marketing or trading of the UltraShort Gold Fund.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Prospectus relates only to the UltraShort Gold Fund and does not relate to the exchange-traded physical commodities underlying any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Gold Subindex components. Purchasers of the UltraShort Gold Fund should not conclude that the inclusion of a futures contract in the </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-58</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_7"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Gold Subindex is any form of investment recommendation
of the futures contract or the underlying exchange-traded physical commodity by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bloomberg. The information in the Prospectus regarding the Bloomberg Gold Subindex
components has been derived solely from publicly </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">available documents. Bloomberg has not made any due diligence inquiries with respect to the Gold Subindex components in
connection with the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">UltraShort Gold Fund. Bloomberg makes no representation that these publicly available documents or any other publicly available information </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">regarding the Gold Subindex components, including without limitation a description of factors that affect the prices of such components, are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accurate or complete.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">BLOOMBERG DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE BLOOMBERG GOLD </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SUBINDEX OR ANY DATA RELATED THERETO AND BLOOMBERG SHALL HAVE NO LIABILITY FOR ANY ERRORS, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">OMISSIONS OR
INTERRUPTIONS THEREIN. BLOOMBERG MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">TO BE OBTAINED BY THE LICENSEE, OWNERS OF THE ULTRASHORT GOLD FUND OR ANY OTHER
PERSON OR ENTITY </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FROM THE USE OF THE BLOOMBERG GOLD SUBINDEX OR ANY DATA RELATED THERETO. BLOOMBERG MAKES NO </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FOR A
PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG GOLD SUBINDEX OR ANY DATA RELATED </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, TO THE MAXIMUM EXTENT ALLOWED BY
LAW, BLOOMBERG, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">ITS LICENSORS, AND ITS AND THEIR RESPECTIVE EMPLOYEES, CONTRACTORS, AGENTS, SUPPLIERS, AND VENDORS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SHALL HAVE NO LIABILITY OR RESPONSIBILITY WHATSOEVER FOR ANY INJURY OR DAMAGES WHETHER DIRECT, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">INDIRECT,
CONSEQUENTIAL, INCIDENTAL, PUNITIVE OR OTHERWISE ARISING IN CONNECTION WITH THE ULTRASHORT </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">GOLD FUND OR THE BLOOMBERG GOLD SUBINDEX OR ANY DATA OR VALUES RELATING THERETO
WHETHER ARISING </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FROM THEIR NEGLIGENCE OR OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF.</font></div>
<div style="line-height:15.0pt;margin-top:9pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">DESCRIPTION OF THE CURRENCY FUNDS&#8217; BENCHMARKS</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:15pt;"> </font></div> <div style="line-height:11.0pt;margin-top:11pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Australian dollar</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The UltraShort Australian Dollar Fund seeks daily investment results, before fees and expenses,
that correspond to two times the inverse </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(-2x), of the daily performance of the Australian dollar spot price versus the U.S. dollar. The Fund uses the 4:00 p.m. (Eastern
Time) Australian </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dollar/U.S. dollar exchange rate as provided by Bloomberg, expressed in terms of U.S. dollars per unit of non-U.S. currency, as the basis for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">underlying benchmark. The Fund does not directly or physically hold Australian dollars and will instead seek exposure through the use of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain Financial Instruments whose value is based on the price of the Australian dollar to pursue its investment objective.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Australian dollar is the national currency of Australia and the currency of the accounts of
the Reserve Bank of Australia (the &#8220;RBA&#8221;), </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Australian central bank. The official currency code for the Australian dollar is &#8220;AUD.&#8221; The
Australian dollar is referred to in Australia as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;dollar.&#8221; As with U.S. currency, 100 Australian cents are equal to one Australian dollar. In Australia, unlike
most other countries, cash </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions are rounded to the nearest five cents. The most commonly used symbol used to represent the Australian dollar is
&#8220;A$.&#8221;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">At various times throughout the 1900s, the value of Australian currency was based on a fixed quantity of gold; at other times, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Australian dollar was pegged to non-U.S. currencies, including the U.S. dollar. Beginning in 1983, the Australian dollar&#8217;s value was allowed to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">float, with the result that its value now depends almost entirely on market forces. The foregoing information is compiled from the RBA&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">website (www.rba.gov.au).</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The daily performance of the Australian dollar spot price versus the U.S. dollar is available
under the Bloomberg ticker: AUDUSD.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Euro</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Ultra Euro Fund, the Short Euro Fund, and the UltraShort Euro Fund seek daily investment
results, before fees and expenses, that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">correspond to two times (2x), the inverse (-1x), or two times the inverse (-2x), respectively, of the daily performance of the euro
spot price </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">versus the U.S. dollar, respectively. Each of the Ultra Euro Fund and the Short Euro Fund use the 4:00 p.m. (Eastern Time) euro/U.S. dollar </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange rate as provided by Bloomberg, expressed in terms of U.S. dollars per unit of non-U.S. currency, as the basis for the underlying </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark. The Funds do not directly or physically hold euro and will instead seek exposure through the use of certain Financial Instruments </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">whose value is based on the price of the euro to pursue their respective investment objectives.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-59</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_8"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The daily performance of the euro spot
price versus the U.S. dollar is available under the Bloomberg ticker: EURUSD.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Japanese Yen</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Ultra Yen Fund and the UltraShort Yen Fund seek daily investment results, before fees and expenses, that correspond to two times </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(2x) or two times the inverse (-2x) of the daily performance of the Japanese yen spot price versus the U.S. dollar, respectively. Each of the Ultra </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Yen Fund and the UltraShort Yen Fund use the 4:00 p.m. (Eastern Time) Japanese yen/U.S. dollar exchange rate as provided by Bloomberg, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">expressed in terms of U.S. dollars per unit of non-U.S. currency, as the basis for the underlying benchmark. Each of the Ultra Yen Fund and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UltraShort Yen Fund do not directly or physically hold Japanese yen and will instead seek exposure through the use of certain Financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Instruments whose value is based on the price of Japanese yen to pursue their respective investment objectives.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The daily performance of the Japanese yen spot price versus the U.S. dollar is available under
the Bloomberg ticker: JPYUSD.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:15.0pt;margin-top:9pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">INVESTMENT OBJECTIVES AND PRINCIPAL INVESTMENT STRATEGIES</font></div> <div style="line-height:11.0pt;margin-top:11pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Investment Objectives</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Investment Objective of the &#8220;Matching Fund&#8221;: The VIX Futures Fund, which is also
referred to herein as the &#8220;Matching Fund&#8221;, seeks </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment results, before fees and expenses, that over time match the performance of the Mid-Term VIX Futures
Index. If the VIX Futures </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund is successful in meeting its objective, its value (before fees and expenses) should gain approximately as much on a percentage basis as the
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">level of the Mid-Term VIX Futures Index when the index rises (assuming there were no Creation Unit redemptions). Conversely, its value </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(before fees and expenses) should lose approximately as much on a percentage basis as the level of the Mid-Term VIX Futures Index when the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">index falls (assuming there were no Creation Units issued). The VIX Futures Fund acquires exposure through VIX futures contracts.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Investment Objective of the &#8220;Ultra Funds&#8221;:</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Each Ultra Fund seeks daily investment results, before fees and expenses, that correspond to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">two times
(2x) the performance of its benchmark for a single day. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">The Ultra Funds do not seek to achieve their stated objectives over a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">period greater than a single day</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">. A &#8220;single day&#8221; is measured from the time an
Ultra Fund calculates its respective NAV to the time of the Ultra </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s next NAV calculation.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If an Ultra Fund is successful in meeting its objective, its value on a given day (before fees
and expenses) should gain approximately two </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">times as much on a percentage basis as the level of its corresponding benchmark when the benchmark rises. Conversely, its value
on a given day </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(before fees and expenses) should lose approximately two times as much on a percentage basis as the level of its corresponding benchmark when </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the benchmark declines. Each Ultra Fund acquires long exposure through any one of or combinations of Financial Instruments such that each </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Ultra Fund typically has exposure intended to approximate two times (2x) its corresponding benchmark at the time of its NAV calculation.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Investment Objective of the &#8220;Short Fund&#8221;:</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> The Short Fund seeks daily investment results, before fees and expenses, that correspond to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the inverse
(-1x) of the performance of its benchmark for a single day. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">The Short Fund does not seek to achieve its stated objective over a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">period greater than a single day</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">. A &#8220;single day&#8221; is measured from the time
the Short Fund calculates its NAV to the time of the Short Fund&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">next NAV calculation.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If the Short Fund is successful in meeting its objective, its value on a given day (before fees and expenses) should gain approximately as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">much on a percentage basis as the level of its corresponding benchmark when the benchmark declines. Conversely, its value on a given day </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(before fees and expenses) should lose approximately as much on a percentage basis as the level of its corresponding benchmark when the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark rises. The Short Fund acquires inverse exposure through futures contracts, and under certain circumstances, forward contracts, such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that the Short Fund typically has exposure intended to approximate the inverse (-1x) of its corresponding benchmark at the time of its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">NAV calculation.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Investment Objective of the &#8220;Ultra Short Funds&#8221;:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Each
UltraShort Fund seeks daily investment results, before fees and expenses, that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">correspond to two times the inverse (-2x) of the performance of its benchmark for a single
day. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">The UltraShort Funds do not seek to achieve </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">their
stated objectives over a period greater than a single day</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">. A &#8220;single day&#8221; is measured from the time an UltraShort Fund calculates its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">respective NAV to the time of the UltraShort Fund&#8217;s next NAV calculation.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-60</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_9"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If an UltraShort Fund is successful in meeting its objective, its value on a given day (before fees and
expenses) should gain approximately </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">two times as much on a percentage basis as the level of its corresponding benchmark when the benchmark declines. Conversely, its value
on a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">given day (before fees and expenses) should lose approximately two times as much on a percentage basis as the level of its corresponding </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark when the benchmark rises. Each UltraShort Fund acquires inverse exposure through any one of or combinations of Financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Instruments such that each UltraShort Fund typically has exposure intended to approximate two times the inverse (-2x) of its corresponding </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark at the time of its NAV calculation.</font></div> <div style="line-height:1.0pt;margin-top:-1pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;line-height:1pt;margin-left:1pt;">&#8202;</font></div> <div style="line-height:11.0pt;margin-left:6pt;margin-top:5pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:18pt;">There can be no assurance that any Fund will achieve its investment objective or avoid substantial losses. The Geared Funds do not seek </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Geared Funds from achieving such results. Results for the Geared Funds over periods of time greater than a single day should not be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">expected to be a simple multiple (2x), inverse (-1x) or inverse multiple (-2x) of the period return of the corresponding benchmark and will </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">likely differ in amount and possibly even direction from the Fund&#8217;s stated multiple times the return of the benchmark over time. These </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">differences can be significant. A Geared Fund will lose money if its benchmark&#8217;s performance is flat over time, and a Geared Fund can lose </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">money regardless of the performance of an underlying benchmark, as a result of daily rebalancing, the benchmark&#8217;s volatility and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">compounding. Daily compounding of a Geared Fund&#8217;s investment returns can dramatically and adversely affect its longer-term performance </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">during periods of high volatility. Volatility has a negative impact on Geared Fund performance and may be at least as important to a Geared </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s return for a period as the return of the Geared Fund&#8217;s underlying benchmark. The VIX Futures Fund seeks to achieve its stated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment objective over time, not just for a single day.</font></div> <div style="line-height:11.0pt;margin-left:6pt;margin-top:6pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:18pt;">The VIX Futures Fund is benchmarked to the Mid-Term VIX Futures Index, which is comprised of VIX futures contracts and seeks to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">offer exposure to market volatility through publicly traded futures markets. The VIX Futures Fund is not benchmarked to the VIX, which is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">calculated based on the prices of put and call options on the S&amp;P 500. The VIX is a theoretical calculation and cannot be traded on a spot </font></div>
<div style="background-color:#FCFCFC;line-height:11.0pt;margin-left:0.19%;margin-top:3.0pt;text-align:left;"> <div style="margin-left:0%;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:6pt;">basis. As such, the VIX
Futures Fund can be expected to perform very differently from the VIX.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">&#8194;</font></div> </div>
<div style="line-height:11.0pt;margin-top:23pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Principal Investment Strategies</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In seeking to achieve the Funds&#8217; investment objectives, the Sponsor uses a mathematical approach to investing. Using this approach, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor determines the type, quantity and mix of investment positions that the Sponsor believes, in combination, should produce daily returns </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consistent with the Funds&#8217; objectives.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Investment Strategies of the VIX Futures Fund:</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The VIX Futures Fund takes long positions in VIX futures contracts in seeking to meet its investment objective.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the event accountability rules, price limits, position limits, margin limits or other exposure
limits are reached with respect to VIX </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures contracts, the Sponsor may cause the VIX Futures Fund to obtain exposure to the Mid-Term VIX Futures Index through swaps
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">referencing the Mid-Term VIX Futures Index or particular VIX futures contracts comprising the Mid-Term VIX Futures Index. The Sponsor </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may cause the VIX Futures Fund to obtain exposure to the Mid-Term VIX Futures Index through swaps referencing the Mid-Term VIX Futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Index, particularly VIX futures contracts comprising the Mid-Term VIX Futures Index or swaps on funds that seek to track the performance of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Mid-Term VIX Futures Index. The VIX Futures Fund may utilize swap transactions in the event accountability rules, price limits, position </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">limits, margin limits or other exposure limits are reached with respect to VIX futures contracts (which could potentially occur in connection with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">significant and rapid increases in the size of the VIX Futures Fund as a result of an increase in creation activity). The VIX Futures Fund may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">also invest in swaps if the market for a specific futures contract experiences emergencies (</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">e.g</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., natural disaster, terrorist attack or an act of God) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or disruptions (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">e.g</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., a trading halt or a flash crash) or in situations where the Sponsor deems it impractical or inadvisable to buy or sell futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts (such as during periods of market volatility or illiquidity or during periods of significant and/or rapid increases in the size of the Fund </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as a result of an increase in creation activity).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, the VIX Futures Fund may, but is not required to, seek to use options strategies that limit losses (</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., have &#8220;floors&#8221;) or are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">otherwise designed to prevent the Fund&#8217;s net asset value from going to or below zero. Use of such options strategies will not prevent the VIX </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Futures Fund from losing value, and their use may not prevent the Fund&#8217;s NAV from going to or below zero. Rather, it is intended to allow the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">VIX Futures Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-61</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_10"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">on its benchmark. The VIX Futures Fund will also hold
cash or cash equivalents such as U.S. Treasury securities or other high credit quality, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">short-term fixed-income or similar securities (such as shares of money market
funds) as collateral for Financial Instruments and pending </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment in Financial Instruments.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Investment Strategies of the UltraShort Silver Fund, the UltraShort Gold Fund,
the Ultra Euro Fund, the Ultra Yen Fund and the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">UltraShort Yen Fund:</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each of the UltraShort Silver Fund, the UltraShort Gold Fund, the Ultra Euro Fund, the Ultra Yen Fund and the UltraShort Yen Fund </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">seeks to meet its investment objective by investing under normal market conditions in any one of, or combinations of, Financial Instruments </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(including swap agreements, futures contracts and forward contracts) based on the Fund&#8217;s benchmark. The types and mix of Financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Instruments in which these Funds invest may vary daily at the discretion of the Sponsor. The Funds will not invest directly in any commodity </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or currency.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each
Fund will also hold cash or cash equivalents such as U.S. Treasury securities or other high credit quality, short-term fixed-income or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">similar securities (such as shares
of money market funds) as collateral for Financial Instruments and pending investment in Financial</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Instruments.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, each Precious Metals Fund may, but is not required to, seek to use options
strategies and/or swap agreements that limit losses </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., have &#8220;floors&#8221;) or are otherwise designed to prevent the Fund&#8217;s net asset value from going to or below zero. Use of such options strategies </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and/or swap agreements will not prevent a Precious Metals Fund from losing value, and their use may not prevent the Fund&#8217;s NAV from going </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to or below zero. Rather, it is intended to allow a Precious Metals Fund to preserve a small portion of its value in the event of significant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">movements in its benchmark or Financial Instruments based on its benchmark.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Investment Strategies of the Natural Gas Funds:</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Natural Gas Funds seek to meet their investment objectives by investing under normal market conditions in Natural Gas futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts. The Natural Gas Funds will not invest directly in natural gas.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the event position accountability rules are reached with respect to such contracts, the Sponsor may, in its commercially reasonable </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgment, cause the Natural Gas Funds to obtain exposure through swaps referencing its index or particular Natural Gas futures contracts. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund may invest in other futures contracts or swaps not based on the particular Natural Gas futures contracts if such instruments tend to exhibit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading prices or returns that correlate with its index or any Natural Gas futures contract and the sponsor believes such investment will further </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the investment objective of such Fund. The Natural Gas Funds may also invest in swaps if the market for a specific futures contract experiences </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">emergencies (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">e.g</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., natural disaster, terrorist attack, or an act of God) or disruptions (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">e.g</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., a trading halt or a flash crash) or in situations where the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor deems it impractical or inadvisable
to buy or sell futures contracts (such as during periods of market volatility or illiquidity).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, each Natural Gas Fund may, but is not required to, seek to use options strategies and/or swap agreements that limit losses </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">.,
have &#8220;floors&#8221;) or are otherwise designed to prevent the Fund&#8217;s net asset value from going to or below zero. Use of such options strategies </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and/or swap
agreements will not prevent a Natural Gas Fund from losing value, and their use may not prevent the Fund&#8217;s NAV from going to or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">below zero. Rather, it is intended to
allow a Natural Gas Fund to preserve a small portion of its value in the event of significant movements in its </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark or Financial Instruments based on its benchmark.
Each Natural Gas Fund will also hold cash or cash equivalents such as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Treasury securities or other high credit quality, short-term fixed-income or similar securities
(such as shares of money market funds) as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">collateral for Financial Instruments and pending investment in Financial Instruments.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Investment Strategies of the UltraShort Australian Dollar Fund, the Short Euro
Fund, and the UltraShort Euro Fund:</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each of the UltraShort Australian Dollar Fund, the Short Euro Fund, and the UltraShort Euro Fund seeks to meet its investment objective </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">under normal market conditions by obtaining short exposures to its benchmark through futures contracts on its underlying currency. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UltraShort Australian Dollar Fund, the Short Euro Fund, and the UltraShort Euro Fund will not invest directly in any currency.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the event position accountability rules or position limits are reached with respect to futures
contracts, the Sponsor may in its </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">commercially reasonable judgment, cause the UltraShort Australian Dollar Fund, the Short Euro Fund, and the UltraShort Euro Fund to
obtain </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exposure to its benchmark through forward contracts referencing the benchmark. The Fund may invest in other forward contracts if such </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-62</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_11"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">instruments tend to exhibit trading prices or returns
that correlate with the benchmark or a component of the benchmark and will further the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment objective of the Fund. The UltraShort Australian Dollar Fund, the Short
Euro Fund, and the UltraShort Euro Fund may also invest in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">forward contracts if the market for a specific futures contract experiences emergencies (</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">e.g</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., natural disaster (including disease, epidemics and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pandemics), terrorist attack or an act of God) or disruptions (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">e.g</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., a trading halt or a flash crash) or in situations where the Sponsor deems it </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">impractical or inadvisable
to buy or sell futures contracts (such as during periods of market volatility or illiquidity).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, each of the UltraShort Australian Dollar Fund, the Short Euro Fund, and the UltraShort Euro may, but is not required to, seek </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to use options strategies that limit losses (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., have &#8220;floors&#8221;) or are otherwise designed to prevent the Fund&#8217;s net asset value from going to or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">below zero. Use of such options strategies will not prevent the UltraShort Australian Dollar Fund, the Short Euro Fund, or the UltraShort Euro </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">from losing value, and their use may not prevent the Fund&#8217;s NAV from going to or below zero. Rather, it is intended to allow the UltraShort </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Australian Dollar Fund, the Short Euro Fund, or the UltraShort Euro to preserve a small portion of its value in the event of significant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">movements in its benchmark or Financial Instruments based on its benchmark. Each of the UltraShort Australian Dollar Fund, the Short Euro </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund, and the UltraShort Euro will also hold cash or cash equivalents such as U.S. Treasury securities or other high credit quality, short-term </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">fixed-income or similar securities (such as shares of money market funds) as collateral for Financial Instruments and pending investment in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Financial Instruments.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Investment Strategies Applicable to All Funds:</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds are not actively managed by traditional methods (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">e.g</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., by effecting changes in the composition of a portfolio on the basis of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgments relating to economic,
financial and market conditions with a view toward obtaining positive results under all market conditions). </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Each Fund seeks to remain fully invested at all times in
Financial Instruments and money market instruments that, in combination, provide </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exposure to its underlying benchmark consistent with its investment objective without
regard to market conditions, trends or direction.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A Fund may obtain exposure through
Financial Instruments to a representative sample of the components in its underlying benchmark </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">which have aggregate characteristics similar to those of the underlying
benchmark. This &#8220;sampling&#8221; process typically involves selecting a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">representative sample of components in a benchmark principally to enhance liquidity and
reduce transaction costs while seeking to maintain </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">high correlation with, and similar aggregate characteristics (</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">e.g</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., underlying commodities and valuations) to, the underlying benchmark. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">addition, the Funds may obtain exposure to components not included in its underlying benchmark, invest in assets that are not included in its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">underlying benchmark or may overweight or underweight certain components contained in the underlying benchmark.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund seeks to position its portfolio so that its exposure to its benchmark is consistent
with its investment objective. The time and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">manner in which a Fund rebalances its portfolio may vary from day to day depending upon market conditions and other
circumstances, at the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">discretion of the Sponsor. The impact of a benchmark&#8217;s movements each day will affect whether a Geared Fund&#8217;s portfolio needs to be
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">rebalanced and the amount of such rebalance.</font></div> <div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">For example, if the benchmark underlying the Short Fund or an
UltraShort Fund has risen on a given day, net assets of such </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund should fall (assuming there were no Creation Units issued). As a result, inverse exposure will need to be
decreased. Conversely,</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> if the benchmark underlying the Short Fund or an UltraShort Fund has fallen on a given day, net assets of such Fund </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">should rise (assuming there were no Creation Unit redemptions). As a result, inverse exposure will need to be increased.</font></div>
<div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">For an Ultra Fund, the Fund&#8217;s long exposure will need to be increased on days when the Fund&#8217;s benchmark rises and decreased </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on days when the Fund&#8217;s benchmark falls.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Daily rebalancing and the compounding of each day&#8217;s return over time means that the return of each Geared Fund for a period longer than </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a single day will be the result of each day&#8217;s returns compounded over the period, which will very likely differ in amount and possibly even </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">direction from two times (2x), the inverse (-1x) or two times the inverse (-2x) of the return of the Geared Fund&#8217;s benchmark for the period. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">These differences can be significant. A Geared Fund will lose money if its benchmark&#8217;s performance is flat over time, and a Geared Fund can </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">lose money regardless of the performance of an underlying benchmark, as a result of daily rebalancing, the benchmark&#8217;s volatility </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and compounding.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-63</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_12">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The amount of exposure each Fund has to a specific combination of Financial Instruments differs with each particular Fund and may be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">changed without shareholder approval or advance notice at any given time. Currently, the Funds anticipate that, in the normal course of business </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and absent any unforeseen circumstances, they will be exposed to the specific Financial Instruments below as follows:</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:62.18%;"> <div style="line-height:0.5pt;"> <div style="margin-left:12.94%;margin-right:1.23%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:12.16%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:6.30%;margin-right:6.30%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Swaps</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.66%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:10.00%;margin-right:10.00%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Forwards</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:18.00%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.26%;margin-right:44.69%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Futures</font><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:62.18%;"> <div style="line-height:11pt;"> <div style="margin-left:12.94%;margin-right:1.23%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares VIX Mid-Term Futures ETF</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:12.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.30%;margin-right:6.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.66%;"> <div style="line-height:11pt;"> <div style="margin-left:10.00%;margin-right:10.00%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:18.00%;"> <div style="line-height:11pt;"> <div style="margin-left:4.26%;margin-right:44.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">100%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:62.18%;"> <div style="line-height:11pt;"> <div style="margin-left:12.94%;margin-right:1.23%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra Bloomberg Natural Gas</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:12.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.30%;margin-right:6.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.66%;"> <div style="line-height:11pt;"> <div style="margin-left:10.00%;margin-right:10.00%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:18.00%;"> <div style="line-height:11pt;"> <div style="margin-left:4.26%;margin-right:44.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">200%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:62.18%;"> <div style="line-height:11pt;"> <div style="margin-left:12.94%;margin-right:1.23%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Bloomberg Natural Gas</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:12.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.30%;margin-right:6.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.66%;"> <div style="line-height:11pt;"> <div style="margin-left:10.00%;margin-right:10.00%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:18.00%;"> <div style="line-height:11pt;"> <div style="margin-left:4.26%;margin-right:44.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-200%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:62.18%;"> <div style="line-height:11pt;"> <div style="margin-left:12.94%;margin-right:1.23%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Silver</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:12.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.30%;margin-right:6.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-75 to -200%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.66%;"> <div style="line-height:11pt;"> <div style="margin-left:10.00%;margin-right:10.00%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:18.00%;"> <div style="line-height:11pt;"> <div style="margin-left:4.26%;margin-right:44.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0 to -125%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:62.18%;"> <div style="line-height:11pt;"> <div style="margin-left:12.94%;margin-right:1.23%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Gold</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:12.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.30%;margin-right:6.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-75 to -200%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.66%;"> <div style="line-height:11pt;"> <div style="margin-left:10.00%;margin-right:10.00%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:18.00%;"> <div style="line-height:11pt;"> <div style="margin-left:4.26%;margin-right:44.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0 to -125%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:62.18%;"> <div style="line-height:11pt;"> <div style="margin-left:12.94%;margin-right:1.23%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Australian Dollar</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:12.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.30%;margin-right:6.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.66%;"> <div style="line-height:11pt;"> <div style="margin-left:10.00%;margin-right:10.00%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:18.00%;"> <div style="line-height:11pt;"> <div style="margin-left:4.26%;margin-right:44.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-200%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:62.18%;"> <div style="line-height:11pt;"> <div style="margin-left:12.94%;margin-right:1.23%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra Euro</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:12.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.30%;margin-right:6.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.66%;"> <div style="line-height:11pt;"> <div style="margin-left:10.00%;margin-right:10.00%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">200%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:18.00%;"> <div style="line-height:11pt;"> <div style="margin-left:4.26%;margin-right:44.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:62.18%;"> <div style="line-height:11pt;"> <div style="margin-left:12.94%;margin-right:1.23%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Short Euro</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:12.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.30%;margin-right:6.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.66%;"> <div style="line-height:11pt;"> <div style="margin-left:10.00%;margin-right:10.00%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:18.00%;"> <div style="line-height:11pt;"> <div style="margin-left:4.26%;margin-right:44.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-100%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:62.18%;"> <div style="line-height:11pt;"> <div style="margin-left:12.94%;margin-right:1.23%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Euro</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:12.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.30%;margin-right:6.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.66%;"> <div style="line-height:11pt;"> <div style="margin-left:10.00%;margin-right:10.00%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:18.00%;"> <div style="line-height:11pt;"> <div style="margin-left:4.26%;margin-right:44.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-200%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:62.18%;"> <div style="line-height:11pt;"> <div style="margin-left:12.94%;margin-right:1.23%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra Yen</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:12.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.30%;margin-right:6.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.66%;"> <div style="line-height:11pt;"> <div style="margin-left:10.00%;margin-right:10.00%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">200%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:18.00%;"> <div style="line-height:11pt;"> <div style="margin-left:4.26%;margin-right:44.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:62.18%;"> <div style="line-height:11pt;"> <div style="margin-left:12.94%;margin-right:1.23%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Yen Fund</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:12.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.30%;margin-right:6.30%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.66%;"> <div style="line-height:11pt;"> <div style="margin-left:10.00%;margin-right:10.00%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-200%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:18.00%;"> <div style="line-height:11pt;"> <div style="margin-left:4.26%;margin-right:44.69%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The amount of each Fund&#8217;s exposure should be expected to change from time to time at the discretion of the Sponsor based on market </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conditions and other factors.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, the Sponsor has the authority to change a Fund&#8217;s investment objective, benchmark or investment strategy, and may terminate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a Fund at any time, in each case, without shareholder approval or advance notice, subject to applicable regulatory requirements.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Swap Agreements</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund may enter into swaps referencing the Index or particular VIX futures contracts comprising the Index. Swaps are contracts that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">have traditionally been entered into primarily by institutional investors in OTC markets for a specified period ranging from a day to many years. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Certain types of swaps may be cleared, and certain types are, in fact, required to be cleared. The types of swaps that may be cleared are generally </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">limited to only swaps where the most liquidity exists and a clearinghouse is willing to clear the trade on standardized terms. Swaps with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">customized terms or those of which significant market liquidity does not exist are generally not able to be cleared.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In a standard swap transaction, the parties agree to exchange the returns on, among other things,
a particular predetermined security, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">commodity, interest rate, or index for a fixed or floating rate of return (the &#8220;interest rate leg,&#8221; which will also
include the cost of borrowing for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">short swaps) in respect of a predetermined notional amount. The notional amount of the swap reflects the basis upon which the returns are
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchanged (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., the returns are calculated by multiplying the reference rates or prices, as applicable, by the specific notional amount). In the case </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of indexes on which futures contracts are based, such as those used by the VIX Futures Fund and the Natural Gas Funds, the reference interest </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rate typically is zero, although a financing spread or fee is generally still applied. Transaction or commission costs are reflected in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to the notional amount </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the benchmark returns to which the swap is linked. Swaps are usually closed out on a net basis, i.e., the two payment streams are netted out </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in a cash settlement on the payment date specified in the agreement, with the parties receiving or paying, as the case may be, only the net amount </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the two payments. Thus, while the notional amount reflects the amount on which a Fund&#8217;s total investment exposure under the swap is based </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., the
entire face amount or principal of a swap), the net amount is a Fund&#8217;s current obligations (or rights) under the swap that is the amount </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to be paid or received under
the agreement based on the relative values of the positions held by each party to the agreement on any given </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">termination date.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Swaps may also expose the Funds to liquidity risk. Although a Fund and the swap counterparty has
the ability to terminate a swap at any </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">time and under certain other circumstances, doing so may subject the Fund to certain early termination charges. In addition, there
may not be a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">liquid market within which to dispose of an outstanding swap even if a permitted disposal might avoid an early termination charge. Swap </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreements that are not traded on an exchange or cleared by a clearinghouse generally are not assignable except by agreement between the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">parties to the swap, and generally no party or purchaser has any obligation to permit such assignments.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-64</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_13"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Swaps involve, to varying degrees,
elements of market risk and exposure to loss in excess of the amount which would be reflected on a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s Statement of Financial Condition. In addition to market
risk and other risks, the use of swaps also comes with counterparty credit risk &#8211; </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">i.e., the inability of a counterparty to a swap to perform its obligations. Each
Fund that invests in swaps bears the risk of loss of the net amount, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">if any, expected to be received under a swap agreement in the event of the default or bankruptcy of a
swap counterparty. Each such Fund enters </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or intends to enter into swaps only with major, global financial institutions. However, there are no limitations on the percentage
of its assets a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund may invest in swaps with a particular counterparty.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund that invests in swaps may use various techniques to minimize counterparty credit risk. Each Fund that invests in swaps </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">generally enters into arrangements with its counterparties whereby both sides exchange collateral on a mark-to-market basis. In addition, such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund may post margin to counterparties in swaps. Such collateral serves as protection for the counterparty in the event of a failure by a Fund and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is in addition to any mark-to-market collateral that (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., the Fund may post margin to the counterparty even where the counterparty would owe </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">money to the Fund if
the swap were to be terminated). The amount of margin posted by a Fund may vary depending on the risk profile of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">swap. The collateral, whether for mark-to-market or
for margin purposes, generally consists of cash and/or securities.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Collateral posted
by a Fund to a counterparty in connection with derivatives transactions that are not cleared by a clearinghouse is </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">generally held for the benefit of the counterparty in a
segregated tri-party account at the Custodian to protect the counterparty against </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">non-payment by the Fund. In the event of a default by a Fund, and the counterparty is
owed money in the transaction, such counterparty will </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">seek withdrawal of this collateral from the segregated account.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Collateral posted by the counterparty to a Fund is typically held for the benefit of the Fund in
a segregated tri-party account at a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">third-party custodian. In the event of a default by the counterparty, and the Fund is owed money in the transaction, such Fund will
seek </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">withdrawal of this collateral from the segregated account. A Fund may incur certain costs exercising its right with respect to the collateral.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Notwithstanding the use of collateral arrangements, to the extent any collateral provided to a
Fund is insufficient or there are delays in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">accessing the collateral, such Fund will be exposed to counterparty credit risk as described above, including possible delays
in recovering </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">amounts as a result of bankruptcy proceedings.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Futures Account Agreements</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund has entered into a written agreement (each, a &#8220;Futures Account
Agreement&#8221;) with one or more FCMs governing the terms of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures transactions of the Fund cleared by such FCM. Each FCM has its own agreement and other documentation
used for establishing </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">customer relationships. As such, the terms of the Futures Account Agreement and other documentation that a Fund has with a particular FCM </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may differ in material respects from that with another FCM.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Most Futures Account Agreements do not require the FCM to enter into new transactions or maintain existing transactions with a Fund. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">general, each FCM is permitted to terminate its agreement with a Fund at any time in its sole discretion. In addition, an FCM generally will have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the discretion to set margin requirements and/or position limits that would be in addition to any margin requirements and/or position limits </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">required by applicable law or set by the clearinghouse that clears, or the exchange that offers for trading, the futures contracts in which the Fund </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transacts. As a result, a Fund&#8217;s ability to engage in futures contracts or maintain open positions in such contracts will be dependent on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">willingness of its FCMs to continue to accept or maintain such transactions on terms that are economically appropriate for the Fund&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment strategy.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">When a Fund has an open futures contract position, it is subject to daily margin calls by an FCM
that could be substantial in the event of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">adverse price movements. Because futures contracts require only a small initial investment in the form of a deposit or margin,
they involve a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">high degree of leverage. A Fund with open positions is subject to margin on its open positions. If a Fund has insufficient cash to meet daily </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">margin requirements, it may need to sell Financial Instruments at a time when such sales are disadvantageous. Futures markets are highly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">volatile and the use of or exposure to futures contracts may increase volatility of a Fund&#8217;s NAV.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Margin posted by a Fund to an FCM typically will be held by relevant exchange&#8217;s clearinghouse (in the case of clearinghouse-required </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">margin) or the FCM (in the case of &#8220;house&#8221; margin requirements of the FCM). In the event that market movements favorable to a Fund result in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Fund having posted more margin than is required, the Fund typically would have a right to return of margin from the FCM. However, the </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-65</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_14"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">timing of such return may be uncertain. As a result, it
is possible that a Fund may face liquidity constraints including potential delays in its </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">ability to pay redemption proceeds, where margin is not immediately returned by an
FCM.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the event that a Fund fails to comply with its obligations under a Futures
Account Agreement (including, for example, failing to deliver </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the margin required by an FCM on a timely basis), the Futures Account Agreement typically will provide the
FCM with broad discretion to take </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">remedial action against the Fund. Among other things, the FCM typically will have the right, upon the occurrence of such a failure by the
Fund, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to terminate any or all futures contracts in the Fund&#8217;s account with that FCM, to sell the collateral posted as margin by the Fund, to close out any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">open positions of the Fund in whole or in part, and to cancel any or all pending transactions with the Fund. Futures Account Agreements </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">typically provide that a Fund will remain liable for paying to the relevant FCM, on demand, the amount of any deficiency in such Fund&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">account with that FCM.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Futures Account Agreement between a Fund and an FCM generally requires the Fund to indemnify and hold harmless the FCM, its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">directors, officers, employees, agents and affiliates (collectively, &#8220;indemnified persons&#8221;) from and against all claims, damages, losses and costs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(including reasonable attorneys&#8217; fees) incurred by the indemnified persons, in connection with: (1) any failure by the Fund to perform its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">obligations under the Futures Account Agreement and the FCM&#8217;s exercise of its rights and remedies thereunder; (2) any failure by a Fund to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">comply with applicable law; (3) any action reasonably taken by the indemnified persons pursuant to the Futures Account Agreement to comply </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with applicable law; and (4) any actions taken by the FCM in reliance on instructions, notices and other communications that the FCM and its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relevant personnel, as applicable, reasonably believes to originate from a person authorized to act on behalf of the Fund.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">To the extent that the Funds trade in futures contracts on U.S. exchanges, the assets deposited
by the Funds with the FCMs as margin </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">must be segregated pursuant to the regulations of the CFTC. Such segregated funds may be invested only in a limited range of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">instruments&#8212;principally U.S. government obligations.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund currently uses BofA Securities, Inc. (&#8220;BofAS&#8221;), RBC Capital Markets, LLC (&#8220;RBC&#8221;), ED&amp;F Man Capital Markets (&#8220;Man&#8221;),
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Deutsche Bank Securities Inc. (&#8220;DBSI&#8221;) SG Americas Securities, LLC (&#8220;SGAS&#8221;), Barclays Capital Inc. (&#8220;BCI&#8221;), UBS Securities LLC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(&#8220;UBSS&#8221;), Credit Suisse Securities USA LLC (&#8220;CSS&#8221;), StoneX Financial Inc. (&#8220;StoneX&#8221;), Goldman Sachs &amp; Co. LLC (&#8220;GS&#8221;), and Goldman
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sachs International (&#8220;GSI&#8221;) as an FCM. The FCMs used by a Fund may change from time to time. The above discussion relating to BofAS, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, and GSI also would apply to other firms that serve as an FCM to the Funds in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">future. Each of BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, and GSI in its capacity as a registered FCM, serves as a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">clearing broker to the Trust and the Funds and certain other funds of the Trust and as such arranges for the execution and clearing of the Funds&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures transactions. All of BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, and GSI acts as clearing broker for many other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">funds and individuals. A variety of executing brokers may execute futures transactions on behalf of the Funds. The executing brokers will </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">give-up all such transactions to BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, and GSI as applicable. Each of BofAS, RBC, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, and GS is registered as an FCM with the CFTC and is a member of the NFA. BofAS, RBC, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, and GS are clearing members of the CBOT, CME, NYMEX, and all other major U.S. futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchanges. None of BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, or GSI is affiliated with or acts as a supervisor of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trust, the Funds, the Sponsor, the Trustee or BNYM (the Administrator, Transfer Agent and the Custodian). None of BofAS, RBC, Man, DBSI, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SGAS, BCI, UBSS, CSS, StoneX, GS, or GSI in its capacity as FCM, is acting as an underwriter or sponsor of the offering of the Shares, or has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">passed upon the merits of participating in this offering. None of BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, or GSI has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">passed upon the adequacy of this Prospectus or on the accuracy of the information contained herein. None of BofAS, RBC, Man, DBSI, SGAS, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">BCI, UBSS, CSS, StoneX, GS, or GSI provides any commodity trading advice regarding the Funds&#8217; trading activities. Investors should not rely </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">upon BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, or GSI in deciding whether to invest in the Funds or retain their interests </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the Funds. Prospective investors should also note that the Sponsor may select additional clearing brokers or replace BofAS, RBC, Man, DBSI, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SGAS, BCI, UBSS, CSS, StoneX, GS, and/or GSI as the Funds&#8217; clearing broker.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">To the extent, if any, that a Fund enters into trades in futures on markets other than regulated U.S. futures exchanges, funds deposited to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">margin positions held on such exchanges are invested in bank deposits or in instruments of a credit standing generally comparable to those </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">authorized by the CFTC for investment of &#8220;customer segregated funds,&#8221; although applicable CFTC rules prohibit funds employed in trading on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">foreign exchanges from being deposited in &#8220;customer segregated fund accounts&#8221; for trading on domestic exchanges. Instead, funds employed in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading on foreign exchanges are deposited in &#8220;customer secured amount accounts.&#8221;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-66</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_15">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Forward Contracts</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A forward contract is a contractual obligation to purchase or sell a specified quantity of a
particular underlying asset at or before a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">specified date in the future at a specified price and, therefore, is economically similar to a futures contract. Unlike futures
contracts, however, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">forward contracts are typically traded in the OTC markets and are not standardized contracts. Forward contracts for a given commodity or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">currency are generally available for various amounts and maturities and are subject to individual negotiation between the parties involved. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Moreover, there is generally no direct means of offsetting or closing out a forward contract by taking an offsetting position as one would a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures contract on a U.S. exchange. If a trader desires to close out a forward contract position, he generally will establish an opposite position in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the contract but will settle and recognize the profit or loss on both positions simultaneously on the delivery date. Thus, unlike in the futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contract market where a trader who has offsetting positions will recognize profit or loss immediately, in the forward market a trader with a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">position that has been offset at a profit will generally not receive such profit until the delivery date, and likewise a trader with a position that has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">been offset at a loss will generally not have to pay money until the delivery date. In recent years, however, the terms of forward contracts have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">become more standardized, and in some instances such contracts now provide a right of offset or cash settlement as an alternative to making or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">taking delivery of the underlying commodity or currency. The primary risks associated with the use of forward contracts arise from the inability </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the counterparty to perform.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund that invests in forward contracts generally collateralizes forward contracts that are not cleared on an exchange with cash and/or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain securities. Such collateral is generally held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the counterparty against non-payment by the Fund. The counterparty also may collateralize such forward contracts with cash and/or certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities, which collateral is typically held for the benefit of the Fund in a segregated tri-party account at a third-party custodian. In the event of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a default by the counterparty, and the Fund is owed money in the forward transaction, such Fund will seek withdrawal of this collateral from the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">segregated account and may incur certain costs exercising its right with respect to the collateral. These Funds remain subject to credit risk with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">respect to the amount it expects to receive from OTC counterparties.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds have sought to mitigate these risks with respect to such forwards by generally requiring that the counterparties for each Fund </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds; however, there are no </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">limitations on the percentage of its assets each Fund may invest in forward contracts with a particular counterparty. To the extent any such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty credit risk as described above, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including possible delays in recovering amounts as a result of bankruptcy proceedings.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The forward markets provide what has typically been a highly liquid market for foreign exchange trading, and in certain cases the prices </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">quoted for foreign exchange forward contracts may be more favorable than the prices for foreign exchange futures contracts traded on U.S. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchanges. Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certain non-deliverable forward </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements and subject to certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">requirements under the Dodd-Frank Act. Changes in the forward markets may entail increased costs and result in burdensome reporting</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> requirements.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Commercial banks participating in trading OTC foreign exchange forward contracts often do not
require margin deposits, but rely upon </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however,
many OTC </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">market participants in foreign exchange trading have begun to require that their counterparties post margin.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Futures Contracts and Options</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A futures contract is a standardized contract traded on, or subject to the rules of, an exchange that calls for the future delivery of a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">specified quantity and type of a particular underlying asset at a specified time and place or alternatively may call for cash settlement. Futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts are traded on a wide variety of underlying assets, including bonds, interest rates, agricultural products, stock indexes, currencies, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">energy, metals, economic indicators and statistical measures. The notional size and calendar term futures contracts on a particular underlying </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">asset are identical and are not subject to any negotiation, other than with respect to price and the number of contracts traded between the buyer </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and seller. Each Fund generally deposits cash and/or securities with an FCM for its open positions in futures contracts, which may, in turn, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transfer such deposits to the clearinghouse to protect the clearinghouse against non-payment by the Fund. The clearinghouse becomes </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-67</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_16"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">substituted for each counterparty to a futures contract,
and, in effect, guarantees performance. In addition, the FCM may require the Funds to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">deposit collateral in excess of the clearinghouse&#8217;s margin requirements for the
FCM&#8217;s own protection.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Certain futures contracts, including VIX futures
contracts, stock index contracts and certain commodity futures contracts, settle in cash, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">reflecting the difference between the contract purchase/sale price and the
contract settlement price. The cash settlement amount reflects the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">difference between the contract purchase/sale price and the contract settlement price. The cash
settlement mechanism avoids the potential for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">either counterparty to be required to deliver the underlying asset. For other futures contracts, the contractual obligations
of a buyer or seller may </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">generally be satisfied by taking or making physical delivery of the underlying asset or by making an offsetting sale or purchase of an identical
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures contract on the same or linked exchange before the designated date of delivery. The difference between the price at which the futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contract is purchased or sold and the price paid for the offsetting sale or purchase, after allowance for brokerage commissions, constitutes the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">profit or loss to the trader.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Futures contracts involve, to varying degrees, elements of market risk and exposure to loss in excess of the amounts of margin, which are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the amounts of cash that the Funds agree to pay to or receive from FCMs equal to the daily fluctuation in the value of a futures contract. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the level of the underlying benchmark and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">but some counterparty credit risk to the Funds since futures contracts are exchange traded and the exchange&#8217;s clearinghouse, as counterparty to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">all exchange-traded futures contracts, effectively guarantees futures contracts against default. Many futures exchanges limit the amount of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible or if a Fund determines not to close a futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">position in anticipation of adverse price movements, the Fund may be required to make daily cash payments of margin.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a
specified quantity of a commodity or other </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that
instrument.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">There are two types of options: calls and puts. A call option conveys to
the option buyer the right to purchase a particular futures contract </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">at a stated price at any time during the life of the option. A put option conveys to the option buyer
the right to sell a particular futures contract at </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered
(meaning that the Fund </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor&#8217;s entire investment
(</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Where an option is written or granted (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">be significantly different from the market value.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Money Market Instruments</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Money market instruments are short-term debt instruments that have a remaining
maturity of 397 days or less and exhibit high quality </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">credit profiles. Money market instruments may include U.S. government securities, securities issued by governments of
other developed </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">countries and repurchase agreements.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">U.S. Derivatives Exchanges</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Derivatives exchanges, including swap execution facilities that are required under
the Dodd-Frank Act, provide centralized market </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">facilities for trading derivatives in which multiple persons have the ability to execute or trade contracts by accepting
bids and offers from </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">multiple participants. Members of, and trades executed on, a particular exchange are subject to the rules of that exchange. Among the principal
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchanges in the United States are those operated by the Cboe Group (which includes the Cboe Futures Exchange (the &#8220;CFE&#8221;)), those operated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by the CME Group (which includes, the Chicago Mercantile Exchange (&#8220;CME&#8221;), the Chicago Board of Trade (&#8220;CBOT&#8221;), and the New York </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Mercantile Exchange ( the &#8220;NYMEX&#8221;) and the Intercontinental Exchange (&#8220;ICE&#8221;) (which includes ICE Futures U.S.).</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-68</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_17"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each derivatives exchange in the United
States has an associated &#8220;clearinghouse.&#8221; Clearinghouses provide services designed to transfer </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">credit risk and ensure the integrity of trades. Once trades
between members of an exchange have been confirmed and/or cleared, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">clearinghouse becomes substituted for each buyer and each seller of contracts traded on the exchange
and, in effect, becomes the other party to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">each trader&#8217;s open position in the market. Thereafter, each party to a trade looks only to the clearinghouse for
performance. The clearinghouse </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">generally establishes some sort of security or guarantee fund to which all clearing members of the exchange must contribute. This fund acts
as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">an emergency buffer which is intended to enable the clearinghouse to meet its obligations with regard to the other side of an insolvent clearing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">member&#8217;s contracts. Furthermore, clearinghouses require margin deposits and continuously mark positions to market to provide some assurance </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that their members will be able to fulfill their contractual obligations. Thus, customers effecting derivatives transactions on an organized </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange or clearing an OTC derivatives transaction through a clearinghouse do not bear the risk of the insolvency of the party on the opposite </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">side of the trade; their credit risk is limited to the respective solvencies of their commodity broker and the clearinghouse. The clearinghouse </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;guarantee&#8221; of performance on open positions does not run to customers of a clearinghouse firm. If a member firm goes bankrupt, customers </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">could lose money.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If a Fund decides to execute derivatives transactions through such derivatives
exchanges&#8211;and especially if it decides to become a direct </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">member of one or more exchanges or swap execution facilities&#8211;a Fund would be subject to the rules of
the exchange or swap executive facility, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">which would bring additional risks and liabilities, and potential additional regulatory requirements.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Regulations</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Derivatives exchanges in the United States are subject to regulation under the CEA, by the CFTC, the governmental agency having </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">responsibility for regulation of derivatives exchanges and trading on those exchanges. Following the adoption of the Dodd-Frank Act, the CFTC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">also has authority to regulate certain OTC derivatives markets, including certain OTC foreign exchange markets.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The CFTC has exclusive authority to designate exchanges for the trading of specific futures
contracts and options on futures contracts and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to prescribe rules and regulations governing such exchanges. The CFTC also regulates the activities of &#8220;commodity pool
operators&#8221; and the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">CFTC has adopted regulations with respect to certain of such persons&#8217; activities. Pursuant to its authority, the CFTC requires a commodity
pool </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">operator, such as the Sponsor, to keep accurate, current and orderly records with respect to each pool it operates. The CFTC may suspend, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">modify or terminate the registration of any registrant for failure to comply with CFTC rules or regulations. Suspension, restriction or termination </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Sponsor&#8217;s registration as a commodity pool operator would prevent it, until such time (if any) as such registration were to be reinstated, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">from managing, and might result in the termination of, the Funds. If the Sponsor were unable to provide services and/or advice to the Funds, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Funds would be unable to pursue their investment objectives unless and until the Sponsor&#8217;s ability to provide services and advice to the Funds </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">was reinstated or a replacement for the Sponsor as commodity pool operator could be found. Such an event could result in termination of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Funds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The CEA
requires all FCMs to meet and maintain specified fitness and financial requirements, segregate customer funds from proprietary </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">funds and account separately for all
customers&#8217; funds and positions, and to maintain specified books and records open to inspection by the staff </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the CFTC. See &#8220;Risk Factors&#8212;Failure of the
FCMs to segregate assets may increase losses in the Funds.&#8221;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The CEA also gives the states certain powers to enforce its provisions and the regulations of the
CFTC.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Under certain circumstances, the CEA grants shareholders the right to
institute a reparations proceeding before the CFTC against the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor (as a registered commodity pool operator), an FCM, as well as those of their respective employees
who are required to be registered </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">under the CEA. Shareholders may also be able to maintain a private right of action for certain violations of the CEA.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to authority in the CEA, the NFA has been formed and registered with the CFTC as a
registered futures association. At the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">present time, the NFA is the only self-regulatory organization for derivatives professionals other than exchanges. As such, the NFA
promulgates </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">rules governing the conduct of derivatives professionals and disciplines those professionals that do not comply with such standards. The CFTC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">has delegated to the NFA responsibility for the registration of commodity pool operators, FCMs, swap dealers, commodity trading advisors, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">introducing brokers and their respective associated persons and floor brokers. The Sponsor is a member of the NFA (the Funds themselves are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">not required to become members of the NFA). As an NFA member, the Sponsor is subject to NFA standards relating to fair trade practices, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial condition, and consumer protection. The CFTC is prohibited by statute from regulating trading on foreign futures exchanges </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and markets.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-69</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_18">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The CEA and CFTC regulations prohibit market abuse and generally require that all futures exchange-based trading be conducted in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">compliance with rules designed to ensure the integrity of market prices and without any intent to manipulate prices. CFTC regulations and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures exchange rules also impose limits on the size of the positions that a person may hold or control as well as standards for aggregating </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain positions. The rules of the CFTC and the futures exchanges also authorize special emergency actions to halt, suspend or limit trading </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">overall or to restrict, halt, suspend or limit the trading of an individual trader or to otherwise impose special reporting or margin requirements.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund&#8217;s investments in Financial Instruments will be subject to regulation under the
CEA and traded pursuant to CFTC and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">applicable exchange regulations.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Non-U.S. Derivatives Exchanges</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Foreign derivatives exchanges differ in certain respects from their U.S.
counterparts. Non-U.S. derivatives exchanges are generally not </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">subject to regulation by the CFTC. In contrast to U.S. exchanges, certain foreign exchanges are
&#8220;principals&#8217; markets,&#8221; where trades remain the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">liability of the traders involved, and the exchange or an affiliated clearinghouse, if any, does not
become substituted for any party. Therefore, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">participants in such markets must often satisfy themselves as to the creditworthiness of their counterparty. Additionally, in
the event of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">insolvency or bankruptcy of a non-U.S. market or broker, the rights of market participants are likely to be more limited than the rights afforded </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by the U.S. derivatives exchanges. The Sponsor does not anticipate that the Funds will hold futures traded on foreign exchanges.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Daily Limits</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Most U.S. futures exchanges (but generally not foreign exchanges or banks or dealers in the cases of forward contracts, swap agreements </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and options on forward contracts) limit the amount of fluctuation in some futures contract or options on futures contract prices during a single </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">day by regulations. These regulations specify what are referred to as &#8220;daily price fluctuation limits&#8221; or more commonly &#8220;daily limits.&#8221; Once the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">daily limit has been reached in a particular futures contract, no trades may be made at a price beyond that limit.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Margin</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Initial margin is the minimum dollar amount that a counterparty to a derivatives contract that is cleared on an exchange must deposit with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its commodity broker in order to establish an open position. Variation margin is the amount (generally less than initial margin) to which a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s account may decline before the Fund must deliver additional margin so as to maintain open positions. A margin deposit is like a cash </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">performance bond. It helps assure each Fund&#8217;s performance of the futures contracts that it purchases or sells. The minimum amount of margin </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">required in connection with a particular futures contract is set by the clearinghouse that clears the futures contract and is subject to change at any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">time during the term of the contract. Futures contracts are customarily bought and sold on margins that typically represent a small percentage of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the aggregate purchase or sales price of the contract.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Brokerage firms may require higher amounts of margin than exchange minimums. These requirements may change without warning.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Margin requirements are computed at least each day by an FCM and the relevant clearinghouse. At
the close of each trading day, each </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">open futures contract is marked-to-market, that is, the gain or loss on the position is calculated from the prior day&#8217;s close.
When the market </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">value of a particular open futures contract position changes to a point where the margin on deposit does not satisfy maintenance margin </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">requirements, a margin call is made by the FCM. If the margin call is not met within a reasonable time, the FCM may close out the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">customer&#8217;s position.</font></div> <div style="line-height:15.0pt;margin-top:9pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PERFORMANCE OF THE OFFERED COMMODITY POOLS OPERATED BY THE COMMODITY POOL OPERATOR</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:15pt;"> </font></div> <div style="line-height:11.0pt;margin-top:7pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">The following performance information is presented in accordance with CFTC regulations. The performance of each Fund, which is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">presented herein, will differ materially from the performance of the other series of the Trust (the &#8220;Other Funds&#8221;) which is included in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">section entitled &#8220;Performance of the Other Commodity Pools Operated by the Commodity Pool Operator&#8221; in Part Two of this Prospectus.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">All summary performance information is as of November 30, 2021. Performance information is set
forth, in accordance with CFTC </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">regulations, since each Fund&#8217;s inception of trading.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-70</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_19">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares VIX Mid-Term Futures ETF</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January 3, 2011</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$824,553,711</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$287,832,170</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$132,856,724</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$32.91</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-15.88% (March 2021)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-94.26% (September 2011 - September 2018)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:9pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.14%;margin-right:9.14%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.72%;margin-right:49.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.60%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.29%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.14%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.93%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.69%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">16.15%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.89%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.69%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">16.38%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.36%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.48%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.19%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.06%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.39%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.55%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.62%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">65.97%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.88%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.55%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.88%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.16%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.44%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.82%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.39%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.30%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.44%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.04%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.13%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.78%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.71%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.36%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.53%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.37%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.98%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.06%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.54%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.17%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.61%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.09%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.80%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.86%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.56%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.85%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.45%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.33%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.33%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.71%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.24%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.77%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.95%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.75%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.96%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.61%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.07%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.44%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">21.33%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.45%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.64%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.88%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.58%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.65%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.13%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.19%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.82%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.51%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.41%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.22%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.55%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.16%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.28%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-21.91%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-49.47%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">25.17%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-20.21%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">72.71%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.39%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Ultra Bloomberg Natural Gas</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October 4, 2011</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$1,839,547,669</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$345,443,204</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$199,148,264</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$41.17</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-57.68% (December 2018)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-99.95% (Inception -December 2020)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:9pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.72%;margin-right:49.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.84%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-30.47%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.81%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.56%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-27.78%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.46%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-46.12%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-23.59%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-21.65%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-20.88%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.14%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">16.16%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">22.55%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.50%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.33%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.94%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.61%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">15.98%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.42%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.95%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.47%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">23.44%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.28%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.07%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-17.02%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.78%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.61%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-29.43%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.05%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">47.36%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.46%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.88%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.90%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-22.20%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">45.17%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.53%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.95%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.21%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.36%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.64%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">15.63%</font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-71</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_20">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:9pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.72%;margin-right:49.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.03%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.11%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.41%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.50%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">68.97%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">21.17%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.09%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.73%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.13%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.33%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-26.98%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">68.64%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.83%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-17.07%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.17%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.06%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">23.90%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-22.92%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.57%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.20%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">75.57%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-31.78%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-32.50%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-36.01%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">20.88%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.83%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-57.68%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.22%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-26.94%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.50%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-65.37%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-22.53%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-66.80%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-75.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">96.08%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Bloomberg Natural Gas</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October 4, 2011</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$1,293,358,217</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$260,734,769</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$232,035,816</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$9.11</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-63.45% (November 2018)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-91.31% (February 2016 - September 2021)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:9pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.14%;margin-right:9.14%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.72%;margin-right:49.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.27%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">29.38%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.49%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.09%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">34.40%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.11%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">71.49%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">23.73%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">24.33%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.36%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">20.18%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-21.75%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-17.44%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-20.93%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.50%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.30%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.86%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">13.10%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-19.84%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.34%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.55%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.26%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-28.73%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.02%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.52%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">15.56%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.06%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.49%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">26.90%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.17%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-35.93%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.52%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.64%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.46%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.25%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-33.75%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.13%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.05%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.99%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.50%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.93%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.32%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.35%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.95%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.74%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.67%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-49.67%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-21.57%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.33%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.07%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.38%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.19%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">24.38%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-50.38%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.38%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">18.01%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.86%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.90%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-23.92%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.01%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.71%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.35%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-63.45%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">35.41%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">36.88%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">23.56%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-24.57%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.21%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">92.78%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.78%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">19.29%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-50.35%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">70.91%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-45.27%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">78.32%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">23.56%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-80.87%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Silver</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December 1, 2008</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$2,699,775,226</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$272,673,517</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$41,034,073</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$28.47</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-44.81% (July 2020)</font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-72</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_21"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool: </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Silver</font></div> </div> </div> </td> </tr>
<tr style="height:10pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-99.79% (Inception - May 2021)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:9pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.72%;margin-right:49.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.29%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.52%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.21%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.80%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.04%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.22%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.36%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.09%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.56%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.50%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.73%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.80%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.47%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.26%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.93%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.31%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">18.38%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.06%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-27.13%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.04%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.41%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.60%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.92%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">22.15%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.55%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.14%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.22%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-36.62%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.28%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-24.93%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.89%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.22%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.65%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.45%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.25%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-18.65%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.92%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.90%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.11%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-44.81%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.70%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.60%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.78%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.68%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-19.88%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-35.87%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.59%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.04%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.97%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.91%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.25%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">39.57%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">15.59%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">16.98%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.11%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.59%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.99%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.55%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.31%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.18%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.91%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.20%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.60%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.08%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.80%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.60%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.73%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.29%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.59%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-29.38%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-42.24%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.97%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.05%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-27.94%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-74.10%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.68%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Gold</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December 1, 2008</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$1,013,222,995</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$122,268,937</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$35,334,156</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$33.75</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-20.47% (February 2016)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-94.08% (Inception - August 2020)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:39.86%;"> <div style="line-height:9pt;"> <div style="margin-left:20.19%;margin-right:1.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.72%;margin-right:49.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:39.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.19%;margin-right:1.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.65%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.36%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.80%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.65%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.46%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.16%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.19%;margin-right:1.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-20.47%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.93%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.22%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.21%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.68%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">13.47%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.19%;margin-right:1.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.45%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.41%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.85%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.49%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.76%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.20%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.19%;margin-right:1.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.04%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.59%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.81%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.87%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.77%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.19%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.19%;margin-right:1.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.92%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.13%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.31%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.14%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.94%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.14%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.19%;margin-right:1.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.76%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.71%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.25%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.44%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.07%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.49%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.19%;margin-right:1.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.43%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.01%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.18%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.85%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.62%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.85%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.19%;margin-right:1.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.85%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.83%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.26%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.09%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.03%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.81%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.19%;margin-right:1.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.22%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.45%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.74%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.21%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.19%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.32%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.19%;margin-right:1.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.78%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.40%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.71%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.08%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.42%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.19%;margin-right:1.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">15.76%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.48%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.23%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.48%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.58%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.43%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.19%;margin-right:1.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.16%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.62%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.98%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.65%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.24%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.19%;margin-right:1.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-21.19%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-22.83%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.98%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-27.67%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-40.72%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:39.86%;"> <div style="line-height:11pt;"> <div style="margin-left:20.19%;margin-right:1.92%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.35%</font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-73</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_22">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Australian Dollar</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July 17, 2012</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$42,781,314</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$(2,309,489)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$2,521,219</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$50.42</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-14.12% (March 2016)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-39.35% (March 2020 - May 2021)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:9pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.14%;margin-right:9.14%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.89%;margin-right:51.38%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.13%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.74%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.36%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.11%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.07%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.52%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.33%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.50%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.45%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.98%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.53%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.72%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.12%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.30%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.05%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.17%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.40%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.31%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.88%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.82%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.04%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.45%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.53%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.04%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.89%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.27%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.11%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.46%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.79%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.29%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.95%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.84%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.28%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.34%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.42%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.34%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.20%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.95%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.93%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.47%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.02%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.21%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.80%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.03%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.65%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.35%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.34%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.35%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.13%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.52%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.25%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.36%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.75%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.18%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.94%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.76%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.19%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.94%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.47%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.83%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.65%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.16%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.29%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.98%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.54%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.15%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.25%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.21%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.54%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.07%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.58%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.45%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-17.26%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">20.68%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.68%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-21.18%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">13.80%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Ultra Euro</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November 24, 2008</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$88,819,630</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$4,848,741</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$3,321,589</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$13.29</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-7.10% (November 2016)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-60.98% (November 2009 -April 2020)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:9pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.99%;margin-right:52.34%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:11pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.90%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.71%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.66%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.67%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.57%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.54%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:11pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.54%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.92%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.83%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.60%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.27%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.30%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:11pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.10%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.16%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.14%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.73%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.86%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:11pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.03%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.97%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.05%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.41%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.62%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.86%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:11pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.83%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.96%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.67%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.20%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.37%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.68%</font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-74</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_23">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:9pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.99%;margin-right:52.34%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:11pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.96%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.98%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.72%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.18%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.26%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.64%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:11pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.22%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.08%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.11%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.64%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.61%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.15%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:11pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.80%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.74%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.93%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.86%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.39%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.13%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:11pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.13%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.72%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.35%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.97%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.67%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.96%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:11pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.80%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.17%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.20%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.25%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.55%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.59%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:11pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.10%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.96%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.54%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.69%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.68%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.96%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:11pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.76%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.13%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.90%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.22%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.52%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:11pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.63%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">24.42%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.48%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.64%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.54%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:44.17%;"> <div style="line-height:11pt;"> <div style="margin-left:18.22%;margin-right:1.73%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.86%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Short Euro</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June 26, 2012</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$59,505,176</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$(928,722)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$2,253,776</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$45.08</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-4.67% (July 2020)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-14.14% (December 2016 -January 2018)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:43.31%;"> <div style="line-height:9pt;"> <div style="margin-left:18.58%;margin-right:1.77%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.99%;margin-right:52.34%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:43.31%;"> <div style="line-height:11pt;"> <div style="margin-left:18.58%;margin-right:1.77%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.24%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.43%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.26%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.43%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.40%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.66%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:43.31%;"> <div style="line-height:11pt;"> <div style="margin-left:18.58%;margin-right:1.77%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.51%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.93%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.88%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.96%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.66%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.55%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:43.31%;"> <div style="line-height:11pt;"> <div style="margin-left:18.58%;margin-right:1.77%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.43%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.66%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.63%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.70%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.08%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.89%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:43.31%;"> <div style="line-height:11pt;"> <div style="margin-left:18.58%;margin-right:1.77%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.64%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.08%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.36%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.73%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.50%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:43.31%;"> <div style="line-height:11pt;"> <div style="margin-left:18.58%;margin-right:1.77%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.92%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.95%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.52%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.77%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.39%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.42%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:43.31%;"> <div style="line-height:11pt;"> <div style="margin-left:18.58%;margin-right:1.77%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.18%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.53%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.31%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.47%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.21%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.74%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:43.31%;"> <div style="line-height:11pt;"> <div style="margin-left:18.58%;margin-right:1.77%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.76%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.43%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.11%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.06%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.67%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.05%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:43.31%;"> <div style="line-height:11pt;"> <div style="margin-left:18.58%;margin-right:1.77%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.25%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.44%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.99%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.05%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.38%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.46%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:43.31%;"> <div style="line-height:11pt;"> <div style="margin-left:18.58%;margin-right:1.77%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.69%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.80%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.20%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.16%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.78%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.91%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:43.31%;"> <div style="line-height:11pt;"> <div style="margin-left:18.58%;margin-right:1.77%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.39%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.57%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.81%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.89%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.64%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.18%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:43.31%;"> <div style="line-height:11pt;"> <div style="margin-left:18.58%;margin-right:1.77%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.58%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.02%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.36%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.45%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.38%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.93%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:43.31%;"> <div style="line-height:11pt;"> <div style="margin-left:18.58%;margin-right:1.77%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.71%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.54%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.85%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.57%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.41%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:43.31%;"> <div style="line-height:11pt;"> <div style="margin-left:18.58%;margin-right:1.77%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.04%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.24%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.58%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.05%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.17%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:43.31%;"> <div style="line-height:11pt;"> <div style="margin-left:18.58%;margin-right:1.77%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:15.37%;"> <div style="line-height:11pt;"> <div style="margin-left:4.99%;margin-right:52.34%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.45%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Ultra Yen</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November 24, 2008</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$30,492,596</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$4,371,389</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$2,455,000</font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-75</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_24"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool: </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Ultra Yen</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$49.13</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-16.28% (November 2016)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-67.44% (August 2011 - October 2021)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:42.45%;"> <div style="line-height:9pt;"> <div style="margin-left:18.96%;margin-right:1.81%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.72%;margin-right:49.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:42.45%;"> <div style="line-height:11pt;"> <div style="margin-left:18.96%;margin-right:1.81%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.64%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.67%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.19%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.85%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.25%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.98%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.45%;"> <div style="line-height:11pt;"> <div style="margin-left:18.96%;margin-right:1.81%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.96%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.80%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.26%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.85%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.79%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.57%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.45%;"> <div style="line-height:11pt;"> <div style="margin-left:18.96%;margin-right:1.81%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.08%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.38%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.02%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.80%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.34%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.49%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.45%;"> <div style="line-height:11pt;"> <div style="margin-left:18.96%;margin-right:1.81%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.41%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.44%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.66%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.55%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.04%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.47%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.45%;"> <div style="line-height:11pt;"> <div style="margin-left:18.96%;margin-right:1.81%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.91%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.96%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.56%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.34%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.07%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.09%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.45%;"> <div style="line-height:11pt;"> <div style="margin-left:18.96%;margin-right:1.81%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.33%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.38%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.90%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.67%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.47%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.37%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.45%;"> <div style="line-height:11pt;"> <div style="margin-left:18.96%;margin-right:1.81%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.96%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.81%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.31%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.22%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.83%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.38%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.45%;"> <div style="line-height:11pt;"> <div style="margin-left:18.96%;margin-right:1.81%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.10%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.20%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.83%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.35%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.25%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.68%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.45%;"> <div style="line-height:11pt;"> <div style="margin-left:18.96%;margin-right:1.81%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.70%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.86%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.75%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.74%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.69%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.44%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.45%;"> <div style="line-height:11pt;"> <div style="margin-left:18.96%;margin-right:1.81%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.77%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.33%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.15%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.31%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.76%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.45%;"> <div style="line-height:11pt;"> <div style="margin-left:18.96%;margin-right:1.81%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.28%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.76%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.54%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.93%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.39%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.49%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.45%;"> <div style="line-height:11pt;"> <div style="margin-left:18.96%;margin-right:1.81%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.62%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.67%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.54%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.94%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.97%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.45%;"> <div style="line-height:11pt;"> <div style="margin-left:18.96%;margin-right:1.81%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.24%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.42%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.35%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.96%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.17%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:42.45%;"> <div style="line-height:11pt;"> <div style="margin-left:18.96%;margin-right:1.81%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-17.88%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Yen</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November 24, 2008</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$1,968,312,649</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$(168,790,914)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$31,981,395</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$80.10</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-13.65% (February 2016)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-36.16% (May 2015 - September 2016)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:9pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.89%;margin-right:51.38%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:11pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.18%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.99%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.02%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.88%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.28%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.82%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:11pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.65%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.08%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.36%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.17%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.06%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.41%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:11pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.43%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.72%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.23%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.72%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.68%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.79%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:11pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.15%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.19%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.87%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.61%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.28%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.65%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:11pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.16%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.30%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.69%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.83%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.85%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:11pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.59%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.24%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.01%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.51%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.14%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.17%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:11pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.07%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.88%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.31%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.30%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.99%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.63%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:11pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.67%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.42%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.85%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.33%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.07%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.44%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:11pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.04%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.73%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.94%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.96%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.88%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.22%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:11pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.83%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.26%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.96%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.18%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.53%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.69%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:11pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">18.56%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.88%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.65%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.94%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.78%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.85%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:11pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.42%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.58%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.16%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.89%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.14%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-76</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_25">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:9pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.89%;margin-right:51.38%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:11pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.76%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.61%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.39%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.36%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.19%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:42.16%;"> <div style="line-height:11pt;"> <div style="margin-left:19.09%;margin-right:1.82%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">18.09%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Euro</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November 24, 2008</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$2,770,218,774</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$(126,400,289)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$51,991,348</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$26.00</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-9.10% (July 2020)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-26.84% (November 2015 - January 2018)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:41.58%;"> <div style="line-height:9pt;"> <div style="margin-left:19.35%;margin-right:1.84%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.14%;margin-right:9.14%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.14%;margin-right:9.14%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.89%;margin-right:51.38%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:41.58%;"> <div style="line-height:11pt;"> <div style="margin-left:19.35%;margin-right:1.84%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.51%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.87%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.44%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.67%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.68%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.29%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.58%;"> <div style="line-height:11pt;"> <div style="margin-left:19.35%;margin-right:1.84%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.04%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.89%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.78%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.72%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.25%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.05%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.58%;"> <div style="line-height:11pt;"> <div style="margin-left:19.35%;margin-right:1.84%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.72%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.32%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.30%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.28%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.19%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.85%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.58%;"> <div style="line-height:11pt;"> <div style="margin-left:19.35%;margin-right:1.84%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.26%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.03%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.20%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.55%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.29%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.91%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.58%;"> <div style="line-height:11pt;"> <div style="margin-left:19.35%;margin-right:1.84%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.90%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.89%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.39%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.62%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.90%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.58%;"> <div style="line-height:11pt;"> <div style="margin-left:19.35%;margin-right:1.84%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.28%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.09%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.53%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.52%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.65%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.58%;"> <div style="line-height:11pt;"> <div style="margin-left:19.35%;margin-right:1.84%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.42%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.81%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.11%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.04%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.10%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.09%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.58%;"> <div style="line-height:11pt;"> <div style="margin-left:19.35%;margin-right:1.84%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.51%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.92%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.84%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.96%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.62%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.91%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.58%;"> <div style="line-height:11pt;"> <div style="margin-left:19.35%;margin-right:1.84%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.32%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.57%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.31%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.09%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.51%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.89%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.58%;"> <div style="line-height:11pt;"> <div style="margin-left:19.35%;margin-right:1.84%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.77%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.10%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.54%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.98%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.27%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.35%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.58%;"> <div style="line-height:11pt;"> <div style="margin-left:19.35%;margin-right:1.84%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.26%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.99%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.51%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.79%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.72%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.85%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.58%;"> <div style="line-height:11pt;"> <div style="margin-left:19.35%;margin-right:1.84%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.38%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.19%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.82%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.11%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.65%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.58%;"> <div style="line-height:11pt;"> <div style="margin-left:19.35%;margin-right:1.84%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.05%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-21.69%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.41%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.39%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.89%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:41.58%;"> <div style="line-height:11pt;"> <div style="margin-left:19.35%;margin-right:1.84%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:15.66%;"> <div style="line-height:11pt;"> <div style="margin-left:4.89%;margin-right:51.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">15.36%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Footnotes to Performance Information</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div> <div style="clear:both;margin-top:6pt;position:relative;"> <div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.</font></div>
<div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Aggregate Gross Capital Subscriptions&#8221; is the aggregate of all amounts
ever contributed to the pool, including those of investors who subsequently</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> redeemed their investments.</font></div> </div> <div style="clear:both;position:relative;">
</div> </div> <div> <div style="clear:both;margin-top:6pt;position:relative;"> <div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.</font></div>
<div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Aggregate Net Capital Subscriptions&#8221; is the aggregate of all amounts
ever contributed to the pool, excluding those of investors who subsequently</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> redeemed their investments.</font></div> </div> <div style="clear:both;position:relative;">
</div> </div> <div> <div style="clear:both;margin-top:6pt;position:relative;"> <div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.</font></div>
<div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Net Asset Value per Share&#8221; is the net asset value, based on the pricing
policies of the Trust and determined in accordance with Generally </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Accepted Accounting Principles (&#8220;GAAP&#8221;), of the pool divided by the total number of Shares
outstanding as of November 30, 2021. Please </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">see &#8220;Description of the Shares; The Funds; Certain Material Terms of the Trust Agreement&#8212;Net Asset Value
(NAV)&#8221; for additional information</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> regarding the pricing policies of the Trust.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div>
<div style="clear:both;margin-top:6pt;position:relative;"> <div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.</font></div>
<div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Worst Monthly Loss&#8221; is the largest single month loss sustained during
the most recent five calendar years and year-to-date (or since inception</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> of the Fund, if the Fund has had less than five calendar years of performance), expressed as a
percentage. &#8220;Loss&#8221; as used in this section </font></div> </div> <div style="clear:both;position:relative;"> </div> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-77</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_de0eddbb-3981-45bc-8150-ed2445bf0702_26"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;margin-left:18pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.00%;">of the Prospectus means losses experienced by the relevant pool over the specified period
and is calculated on a rate of return basis, i.e., </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dividing net performance by beginning equity. Loss is measured on the basis of monthly returns only, and does not
reflect intra-month</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> figures.</font></div> <div> <div style="clear:both;margin-top:6pt;position:relative;">
<div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.</font></div>
<div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Worst Peak-to-Valley Loss&#8221; is the largest percentage decline in Net
Asset Value per Share over the most recent five calendar years and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">year-to-date (or since inception of the Fund, if the Fund has had less than five calendar years of
performance). This need not be a continuous </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">decline, but can be a series of positive and negative returns where the negative returns are larger than the positive returns.
Worst Peak-to-Valley</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Loss represents the greatest percentage decline from any month-end Net Asset Value per Share that occurs without such month-end </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Net Asset Value per Share being equaled or exceeded as of a subsequent month-end. A Peak-to-Valley loss that begins prior to the beginning</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> of the most recent five calendar years and ends within the most recent five calendar year period is deemed to have occurred during such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">five calendar year period.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:6pt;position:relative;">
<div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.</font></div>
<div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Based on the latest calculated net asset value, as applicable to creations and
redemptions of Creation Units, with respect to each period.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-78</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_1"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:15.0pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">MANAGEMENT&#8217;S DISCUSSION AND ANALYSIS OF</font> <br><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">FINANCIAL CONDITION AND RESULTS OF OPERATIONS</font></div> <div style="line-height:11.0pt;margin-top:7pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Investors should consider Management&#8217;s Discussion and Analysis of Financial Condition and Results of Operations with respect to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trust, which section is incorporated by reference to our Annual Report on Form 10-K for the year ended December 31, 2020, and our Quarterly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Report on Form 10-Q for the quarters ended March 31, 2021, June 30, 2021 and September 30, 2021.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Except as noted below, there has not been a material change to the financial statements or the notes to those financial statements in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trust&#8217;s Annual Report on Form 10-K for the year ended December 31, 2020, filed on February 19, 2021.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 11, 2021, the Trust announced a 1-for-10 reverse split of the Shares of beneficial interest of ProShares Ultra VIX Short-Term </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Futures ETF and a 1-for-4 reverse split of the Shares of beneficial interest of ProShares UltraShort Silver, ProShares UltraShort Bloomberg </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Crude Oil, and ProShares VIX Short-Term Futures ETF. The reverse stock split will increase the price per Share of each Fund with a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proportionate decrease in the number of Shares outstanding. For example, for a 1-for-10 reverse split, every 10 pre-split Shares will result in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">receipt of one post-split Share, which will be priced 10 times higher than the NAV of a pre-split Share. For a 1-for-4 reverse split, every 4 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pre-split Shares will result in the receipt of one post-split Share, which will be priced 4 times higher than the NAV of a pre-split Share. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reverse split was effective at the market open on May 25, 2021, when the Funds began trading at their post-split price. The ticker symbol for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">each Fund did not change. Each of the Funds undergoing a reverse split was issued a new CUSIP number, listed below.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:20.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.76%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:43.16%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Ticker</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.56%;margin-right:9.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Fund</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:23.66%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:14.37%;margin-right:14.37%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Split Ratio</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:23.51%;margin-right:23.51%;padding-bottom:1pt;"> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Old
Cusip</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:11.92%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:31.72%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">New Cusip</font></div> </div> </div> </td> </tr>
<tr style="height:13.5pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:1.5pt;vertical-align:Bottom;width:8.76%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:43.16%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">UVXY</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:1.5pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:9.56%;margin-right:9.56%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra VIX Short-Term Futures ETF</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:1.5pt;vertical-align:Bottom;width:23.66%;"> <div style="line-height:11pt;"> <div style="margin-left:43.53%;margin-right:43.53%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1:10</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:1.5pt;vertical-align:Bottom;width:16.09%;"> <div style="line-height:11pt;"> <div style="margin-left:23.51%;margin-right:23.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">74347W148</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:1.5pt;vertical-align:Bottom;width:11.92%;"> <div style="line-height:11pt;"> <div style="margin-left:31.72%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">74347Y839</font></div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:8.76%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:43.16%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ZSL</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:9.56%;margin-right:9.56%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Silver</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:23.66%;"> <div style="line-height:11pt;"> <div style="margin-left:43.53%;margin-right:43.53%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1:4</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:16.09%;"> <div style="line-height:11pt;"> <div style="margin-left:23.51%;margin-right:23.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">74347W114</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:11.92%;"> <div style="line-height:11pt;"> <div style="margin-left:31.72%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">74347Y847</font></div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:8.76%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:43.16%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">SCO</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:9.56%;margin-right:9.56%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Bloomberg Crude Oil</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:23.66%;"> <div style="line-height:11pt;"> <div style="margin-left:43.53%;margin-right:43.53%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1:4</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:16.09%;"> <div style="line-height:11pt;"> <div style="margin-left:23.51%;margin-right:23.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">74347W668</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:3pt;vertical-align:Bottom;width:11.92%;"> <div style="line-height:11pt;"> <div style="margin-left:31.72%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">74347Y862</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:0.5pt;padding-top:3pt;vertical-align:Bottom;width:8.76%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:43.16%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">VIXY</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:0.5pt;padding-top:3pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:9.56%;margin-right:9.56%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares VIX Short-Term Futures ETF</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:0.5pt;padding-top:3pt;vertical-align:Bottom;width:23.66%;"> <div style="line-height:11pt;"> <div style="margin-left:43.53%;margin-right:43.53%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1:4</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:0.5pt;padding-top:3pt;vertical-align:Bottom;width:16.09%;"> <div style="line-height:11pt;"> <div style="margin-left:23.51%;margin-right:23.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">74347W171</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:0.5pt;padding-top:3pt;vertical-align:Bottom;width:11.92%;"> <div style="line-height:11pt;"> <div style="margin-left:31.72%;margin-right:0%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">74347Y854</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Shares outstanding and related Share information disclosed in the financial statements and notes to the financial statements in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trust&#8217;s Annual Report on Form 10-K for the year ended December 31, 2020, filed on February 19, 2021, for the Funds listed above were </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">retroactively adjusted to give effect to the forward split or reverse splits, as permitted under applicable regulations. Presented below are pro </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">forma Shares outstanding after giving retroactive effect for the reverse splits.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Shares outstanding:</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:44.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:41.09%;"> <div style="line-height:0.5pt;"> <div style="margin-left:11.19%;margin-right:4.20%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:11.21%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:11.97%;margin-right:11.97%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Ultra VIX</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Short-Term</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Futures</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ETF</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.97%;margin-right:8.97%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">UltraShort</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Silver</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.97%;margin-right:8.97%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">UltraShort</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Bloomberg</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Crude Oil</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:7.53%;margin-right:23.66%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares VIX</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Short-Term</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Futures ETF</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:41.09%;"> <div style="line-height:11pt;"> <div style="margin-left:11.19%;margin-right:4.20%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Shares outstanding, at December 31, 2020</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:11.21%;"> <div style="line-height:11pt;"> <div style="margin-left:15.38%;margin-right:15.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12,713,091</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:26.92%;margin-right:26.92%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1,041,744</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:26.92%;margin-right:26.92%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2,084,971</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:30.65%;margin-right:30.65%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5,331,579</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:41.09%;"> <div style="line-height:11pt;"> <div style="margin-left:11.19%;margin-right:4.20%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Shares outstanding, at December 31, 2019</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:11.21%;"> <div style="line-height:11pt;"> <div style="margin-left:15.38%;margin-right:15.38%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4,163,091</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:26.92%;margin-right:26.92%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">129,244</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:14.94%;"> <div style="line-height:11pt;"> <div style="margin-left:26.92%;margin-right:26.92%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2,572,471</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:17.82%;"> <div style="line-height:11pt;"> <div style="margin-left:30.65%;margin-right:30.65%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5,687,829</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Selected data for a Share outstanding throughout the year-ended December 31:</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:44.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:0.5pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.82%;margin-right:9.82%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Net</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">asset</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">value,</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">beginning</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">of
period</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.84%;margin-right:9.84%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Net</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">investment</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">income</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">(loss)</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Net</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">realized</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">and</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">unrealized</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">gain
(loss)</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Change</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">in</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">net
asset</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">value from</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">operations</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.82%;margin-right:9.82%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Net</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">asset</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">value,</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">end of</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">period</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:6.58%;margin-right:39.51%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Market</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">value</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">per
share,</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">end of</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">period</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0.0%;">ProShares Ultra VIX Short-Term Futures ETF</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:0.5pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:0.5pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:0.5pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">For the Year Ended December 31, 2020</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">126.74</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:11pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(2.81)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(17.25)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(20.06)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">106.68</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:11pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">106.50</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">For the Year Ended December 31, 2019</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">814.56</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:11pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.05</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(687.87)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(687.82)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">126.74</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:11pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">128.90</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">For the Year Ended December 31, 2018</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">516.74</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:11pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(4.05)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">301.88</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">297.82</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">814.56</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:11pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">817.30</font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-79</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_2">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:44.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:0.5pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.82%;margin-right:9.82%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Net</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">asset</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">value,</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">beginning</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">of
period</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.84%;margin-right:9.84%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Net</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">investment</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">income</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">(loss)</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Net</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">realized</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">and</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">unrealized</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">gain
(loss)</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Change</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">in</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">net
asset</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">value from</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">operations</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.82%;margin-right:9.82%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Net</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">asset</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">value,</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">end of</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">period</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:6.58%;margin-right:39.51%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Market</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">value</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">per
share,</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">end of</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">period</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0.0%;">ProShares UltraShort Silver</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:0.5pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:0.5pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:0.5pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">For the Year Ended December 31, 2020</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">107.04</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:11pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(0.37)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(78.94)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(79.31)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">27.73</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:11pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">27.40</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">For the Year Ended December 31, 2019</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">148.51</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:11pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.22</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(42.69)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(41.47)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">107.04</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:11pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">107.20</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">For the Year Ended December 31, 2018</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">126.83</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:11pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.79</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">20.89</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">21.68</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">148.51</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:11pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">148.40</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0.0%;">ProShares UltraShort Bloomberg Crude Oil</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:0.5pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:0.5pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:0.5pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">For the Year Ended December 31, 2020</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">48.77</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:11pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(1.03)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(1.29)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(2.32)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">46.45</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:11pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">46.56</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">For the Year Ended December 31, 2019</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">119.15</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:11pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.57</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(70.95)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(70.38)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">48.77</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:11pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">48.60</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">For the Year Ended December 31, 2018</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">97.24</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:11pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.44</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">21.47</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">21.91</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">119.15</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:11pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">117.12</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0.0%;">ProShares VIX Short-Term Futures ETF</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:0.5pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:0.5pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:0.5pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">For the Year Ended December 31, 2020</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">49.19</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:11pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(0.56)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.40</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.84</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">55.03</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:11pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">54.96</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">For the Year Ended December 31, 2019</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">154.32</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:11pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.70</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(105.83)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(105.13)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">49.19</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:11pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">49.72</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:47.06%;"> <div style="line-height:11pt;"> <div style="margin-left:9.77%;margin-right:1.63%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">For the Year Ended December 31, 2018</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">93.36</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.78%;"> <div style="line-height:11pt;"> <div style="margin-left:9.84%;margin-right:9.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.34</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">60.62</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">60.96</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.81%;"> <div style="line-height:11pt;"> <div style="margin-left:9.82%;margin-right:9.82%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">154.32</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:11.64%;"> <div style="line-height:11pt;"> <div style="margin-left:6.58%;margin-right:39.51%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">154.44</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On December 22, 2021, the Trust announced a 1-for-5 reverse split of the Shares of beneficial interest of ProShares UltraShort </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bloomberg Natural Gas. The reverse stock split increased the price per Share of the Fund with a proportionate decrease in the number of Shares </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">outstanding. For example, for a 1-for-5 reverse split, every 5 pre-split Shares will result in the receipt of one post-split Share, which will be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">priced 5 times higher than the NAV of a pre-split Share. The reverse split was effective at the market open on January 14, 2022, when the Fund </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">began trading at its post-split price. The ticker symbol for the Fund did not change. The Fund was issued a new CUSIP number: 74347Y821. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The Fund&#8217;s previous CUSIP number was 74347W387.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Shares outstanding and related Share information disclosed in the financial statements and notes to the financial statements in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trust&#8217;s Annual Report on Form 10-K for the year ended December 31, 2020, filed on February 19, 2021, for ProShares UltraShort Bloomberg </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Natural Gas were retroactively adjusted to give effect to the reverse split, as permitted under applicable regulations. Presented below are pro </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">forma Shares outstanding after giving retroactive effect for the reverse splits.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:58.87%;"> <div style="line-height:0.5pt;"> <div style="margin-left:7.81%;margin-right:1.30%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:28.10%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:2.73%;margin-right:2.73%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Bloomberg Natural Gas</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:3.07%;"> <div style="line-height:0.5pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:25.00%;margin-right:25.00%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">&nbsp;</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:3.07%;"> <div style="line-height:0.5pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:25.00%;margin-right:25.00%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">&nbsp;</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:6.90%;"> <div style="line-height:0.5pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:11.11%;margin-right:66.67%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">&nbsp;</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:58.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.81%;margin-right:1.30%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Shares outstanding, at December 31, 2020</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:28.10%;"> <div style="line-height:11pt;"> <div style="margin-left:2.73%;margin-right:2.73%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">104,966</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:3.07%;"> <div style="line-height:0.5pt;"> <div style="margin-left:25.00%;margin-right:25.00%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:3.07%;"> <div style="line-height:0.5pt;"> <div style="margin-left:25.00%;margin-right:25.00%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:6.90%;"> <div style="line-height:0.5pt;"> <div style="margin-left:11.11%;margin-right:66.67%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:58.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.81%;margin-right:1.30%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Shares outstanding, at December 31, 2019</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:28.10%;"> <div style="line-height:11pt;"> <div style="margin-left:2.73%;margin-right:2.73%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">64,966</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:3.07%;"> <div style="line-height:0.5pt;"> <div style="margin-left:25.00%;margin-right:25.00%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:3.07%;"> <div style="line-height:0.5pt;"> <div style="margin-left:25.00%;margin-right:25.00%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:6.90%;"> <div style="line-height:0.5pt;"> <div style="margin-left:11.11%;margin-right:66.67%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Selected data for a Share outstanding throughout the year-ended December 31:</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:44.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:44.16%;"> <div style="line-height:0.5pt;"> <div style="margin-left:10.41%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.67%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.84%;margin-right:8.84%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Net</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">asset</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">value,</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">beginning</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">of
period</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Net</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">investment</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">income</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">(loss)</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Net</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">realized</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">and</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">unrealized</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">gain
(loss)</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Change</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">in</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">net
asset</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">value from</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">operations</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.67%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.84%;margin-right:8.84%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Net</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">asset</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">value,</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">end of</font></div>
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">period</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:12.50%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:6.13%;margin-right:36.78%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Market</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">value</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">per
share,</font></div> <div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">end of</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">period</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:44.16%;"> <div style="line-height:11pt;"> <div style="margin-left:10.41%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0.0%;">ProShares UltraShort Bloomberg Natural Gas</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.67%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.84%;margin-right:8.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:0.5pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.67%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.84%;margin-right:8.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:12.50%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.13%;margin-right:36.78%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.16%;"> <div style="line-height:11pt;"> <div style="margin-left:10.41%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">For the Year Ended December 31, 2020</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.67%;"> <div style="line-height:11pt;"> <div style="margin-left:8.84%;margin-right:8.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$192.65</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$(3.40)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$48.71</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$45.31</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.67%;"> <div style="line-height:11pt;"> <div style="margin-left:8.84%;margin-right:8.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$237.96</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:12.50%;"> <div style="line-height:11pt;"> <div style="margin-left:6.13%;margin-right:36.78%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$236.90</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.16%;"> <div style="line-height:11pt;"> <div style="margin-left:10.41%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">For the Year Ended December 31, 2019</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.67%;"> <div style="line-height:11pt;"> <div style="margin-left:8.84%;margin-right:8.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$108.06</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$0.42</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$84.17</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$84.59</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.67%;"> <div style="line-height:11pt;"> <div style="margin-left:8.84%;margin-right:8.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$192.65</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:12.50%;"> <div style="line-height:11pt;"> <div style="margin-left:6.13%;margin-right:36.78%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$194.10</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:44.16%;"> <div style="line-height:11pt;"> <div style="margin-left:10.41%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">For the Year Ended December 31, 2018</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.67%;"> <div style="line-height:11pt;"> <div style="margin-left:8.84%;margin-right:8.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$197.41</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$(0.06)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$(89.29)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$(89.35)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.67%;"> <div style="line-height:11pt;"> <div style="margin-left:8.84%;margin-right:8.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$108.06</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:12.50%;"> <div style="line-height:11pt;"> <div style="margin-left:6.13%;margin-right:36.78%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$106.10</font></div> </div> </td> </tr> </table> </div> <div style="line-height:15.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">CHARGES</font></div> <div style="line-height:11.0pt;margin-top:11pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Breakeven Table</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The projected twelve-month breakeven analysis for the Funds is set forth in the Breakeven Table
below. For purposes of calculating the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">amounts in the Breakeven Table for the Funds the analysis assumes that the constant NAV per Fund is equal to the amount
shown.</font><font style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-80</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_3"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:17.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:10.0pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Expenses</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">(1)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Dollar Amount and Percentage of</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Expenses per Fund</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
</tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares VIX Mid-Term Futures ETF</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Selling price per share</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">35.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:0.5pt;"> <div style="margin-left:33.39%;margin-right:33.39%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Management fee</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(2)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.30</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:33.39%;margin-right:33.39%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.85%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Brokerage commissions and fees</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.07</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:33.39%;margin-right:33.39%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.21%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Variable create/redeem fees</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(3)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">(0.03)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:33.39%;margin-right:33.39%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(0.08)%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Other expenses</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:33.39%;margin-right:33.39%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Total fees and expenses</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.34</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:33.39%;margin-right:33.39%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Interest income</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(4)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:33.39%;margin-right:33.39%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:20pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Amount of trading income required for the NAV at the end of one year to equal the initial </font></div>
<div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:2.19%;">selling price per share (12-Month breakeven)</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(5)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.34</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:33.39%;margin-right:33.39%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:1.0pt;margin-top:3.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;line-height:1pt;margin-left:1.53%;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:17.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:10.0pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Expenses</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">(1)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Dollar Amount and Percentage of</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Expenses per Fund</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
</tr>
<tr style="height:21pt;">
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Ultra Bloomberg</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Natural Gas</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Selling price per share</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">40.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:0.5pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Management fee</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(2)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.38</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.95%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Brokerage commissions and fees</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.26</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.66%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Other expenses</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Total fees and expenses</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.64</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.61%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Interest income</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(4)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:20pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Amount of trading income required for the NAV at the end of one year to equal the initial </font></div>
<div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:2.19%;">selling price per share (12-Month breakeven)</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(5)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.64</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.61%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:1.0pt;margin-top:3.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;line-height:1pt;margin-left:1.53%;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:17.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:10.0pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Expenses</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">(1)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Dollar Amount and Percentage of</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Expenses per Fund</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
</tr>
<tr style="height:21pt;">
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Bloomberg</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Natural Gas</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Selling price per share</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">10.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:0.5pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Management fee</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(2)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.10</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.95%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Brokerage commissions and fees</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.09</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.93%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Other expenses</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Total fees and expenses</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.19</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.88%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Interest income</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(4)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:20pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Amount of trading income required for the NAV at the end of one year to equal the initial </font></div>
<div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:2.19%;">selling price per share (12-Month breakeven)</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(5)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.19</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.88%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:1.0pt;margin-top:3.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;line-height:1pt;margin-left:1.53%;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:17.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:10.0pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Expenses</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">(1)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Dollar Amount and Percentage of</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Expenses per Fund</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
</tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Silver</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Selling price per share</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 30.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:0.5pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Management fee</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(2)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.29</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.95%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Brokerage commissions and fees</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.16</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.54%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Other expenses</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Total fees and expenses</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.45</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.49%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Interest income</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(4)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:20pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Amount of trading income required for the NAV at the end of one year to equal the initial </font></div>
<div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:2.19%;">selling price per share (12-Month breakeven)</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(5)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:13.42%;margin-right:13.42%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.45</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.49%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:1.0pt;margin-top:3.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;line-height:1pt;margin-left:1.53%;">&#8195;</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-81</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_4">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:17.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:10.0pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Expenses</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">(1)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Dollar Amount and Percentage of</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Expenses per Fund</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
</tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Gold</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Selling price per share</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">35.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:0.5pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Management fee</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(2)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.33</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.95%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Brokerage commissions and fees</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.15</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.42%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Other expenses</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Total fees and expenses</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.48</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.37%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Interest income</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(4)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:20pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Amount of trading income required for the NAV at the end of one year to equal the initial </font></div>
<div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:2.19%;">selling price per share (12-Month breakeven)</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(5)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.48</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.37%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:1.0pt;margin-top:3.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;line-height:1pt;margin-left:1.53%;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:17.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:10.0pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Expenses</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">(1)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Dollar Amount and Percentage of</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Expenses per Fund</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
</tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Ultra Euro</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Selling price per share</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">15.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:0.5pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Management fee</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(2)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.14</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.95%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Brokerage commissions and fees</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.01</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.03%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Other expenses</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Total fees and expenses</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.15</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Interest income</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(4)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:20pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Amount of trading income required for the NAV at the end of one year to equal the initial </font></div>
<div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:2.19%;">selling price per share (12-Month breakeven)</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(5)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.15</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:1.0pt;margin-top:3.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;line-height:1pt;margin-left:1.53%;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:17.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:10.0pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Expenses</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">(1)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Dollar Amount and Percentage of</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Expenses per Fund</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
</tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Short Euro</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Selling price per share</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">45.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:0.5pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Management fee</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(2)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.43</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.95%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Brokerage commissions and fees</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.01</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.02%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Other expenses</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Total fees and expenses</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.44</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.97%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Interest income</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(4)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:20pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Amount of trading income required for the NAV at the end of one year to equal the initial </font></div>
<div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:2.19%;">selling price per share (12-Month breakeven)</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(5)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.44</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.97%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:1.0pt;margin-top:3.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;line-height:1pt;margin-left:1.53%;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:17.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:10.0pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Expenses</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">(1)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Dollar Amount and Percentage of</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Expenses per Fund</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
</tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Euro</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Selling price per share</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">25.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:0.5pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Management fee</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(2)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.24</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.95%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Brokerage commissions and fees</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.01</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.03%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Other expenses</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Total fees and expenses</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.25</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Interest income</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(4)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:20pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Amount of trading income required for the NAV at the end of one year to equal the initial </font></div>
<div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:2.19%;">selling price per share (12-Month breakeven)</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(5)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.25</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:1.0pt;margin-top:3.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;line-height:1pt;margin-left:1.53%;">&#8195;</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-82</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_5">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:17.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:10.0pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Expenses</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">(1)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Dollar Amount and Percentage of</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Expenses per Fund</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
</tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Australian Dollar</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Selling price per share</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">50.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:0.5pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Management fee</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(2)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.48</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.95%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Brokerage commissions and fees</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.04</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.08%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Other expenses</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Total fees and expenses</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.52</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.03%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Interest income</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(4)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:20pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Amount of trading income required for the NAV at the end of one year to equal the initial </font></div>
<div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:2.19%;">selling price per share (12-Month breakeven)</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(5)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.52</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.03%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:1.0pt;margin-top:3.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;line-height:1pt;margin-left:1.53%;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:17.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:10.0pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Expenses</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">(1)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Dollar Amount and Percentage of</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Expenses per Fund</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
</tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Ultra Yen</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Selling price per share</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">50.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:0.5pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Management fee</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(2)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.47</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.95%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Brokerage commissions and fees</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.02</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.03%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Other expenses</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Total fees and expenses</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.49</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Interest income</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(4)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:20pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Amount of trading income required for the NAV at the end of one year to equal the initial </font></div>
<div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:2.19%;">selling price per share (12-Month breakeven)</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(5)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.49</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:1.0pt;margin-top:3.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;line-height:1pt;margin-left:1.53%;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:17.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:10.0pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Expenses</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">(1)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Dollar Amount and Percentage of</font></div> <div style="text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Expenses per Fund</font><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;"> </font></div> </div> </div> </td>
</tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:3.5pt;padding-top:1.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:0.5pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:29.89%;" colspan="2"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:1.28%;margin-right:14.10%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Yen</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Selling price per share</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;">80.00</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:0.5pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Management fee</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(2)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.76</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.95%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Brokerage commissions and fees</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.02</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.03%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Other expenses</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Total fees and expenses</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.78</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Interest income</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(4)</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.00</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.00%</font></div> </div> </td> </tr>
<tr style="height:20pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:70.11%;"> <div style="line-height:11pt;"> <div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Amount of trading income required for the NAV at the end of one year to equal the initial </font></div>
<div style="margin-left:6.56%;margin-right:1.09%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:2.19%;">selling price per share (12-Month breakeven)</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">(5)</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:13.03%;"> <div style="line-height:11pt;"> <div style="margin-left:11.76%;margin-right:11.76%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$</font><font style="color:#000000;float:right;font-family:Times New Roman;font-size:9pt;"> 0.78</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:16.86%;"> <div style="line-height:11pt;"> <div style="margin-left:36.80%;margin-right:36.80%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.98%</font></div> </div> </td> </tr> </table> </div> <div> <div style="clear:both;margin-top:7pt;position:relative;">
<div style="float:left;line-height:11pt;text-align:left;width:48pt;"> <hr style="background-color:#000000;height:0.5pt;margin-left:0%;text-align:left;width:48pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.</font></div>
<div style="float:left;line-height:11pt;text-align:left;width:469.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">The breakeven analysis set forth in this table assumes that the Shares have a constant NAV equal to the
amount shown. This amount </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximates the NAV of such Shares as of November 30, 2021, rounded to the nearest $5. The actual NAV of each Fund differs and is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">likely to change on a daily basis. The numbers provided in this chart have been rounded to the nearest 0.01. The breakeven analysis reflects </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">all fees and expenses, including estimated rebalancing expenses that are anticipated to be incurred by each Fund during a year of an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investor&#8217;s investment.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:6pt;position:relative;">
<div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.</font></div>
<div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">From the Management Fee, the Sponsor, though not contractually required, is
responsible for paying the fees and expenses of the Administrator,</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Custodian, Distributor, ProFunds Distributors, Inc. (&#8220;PDI&#8221;), Transfer Agent and all routine
operational, administrative and other ordinary</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> expenses of each Fund, including fees payable to index providers. These fees and expenses are not included in the Breakeven
Table.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:6pt;position:relative;"> <div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.</font></div> <div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">The
Sponsor is currently paying brokerage commissions on VIX futures contracts that exceed variable create/redeem fees collected by more </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">than 0.02% of the VIX Mid-Term Futures
ETF&#8217;s average net assets annually.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:6pt;position:relative;">
<div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.</font></div>
<div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Due to current market conditions interest income is assumed to be zero.</font></div>
</div> <div style="clear:both;position:relative;"> </div> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-83</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_6">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div> <div style="clear:both;position:relative;"> <div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.</font></div> <div style="float:left;line-height:12pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">The
breakeven amount reflected in the Breakeven Table does not reflect brokerage commissions or transaction fees paid by individual </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investors who purchased Fund shares in the
secondary market or Authorized Participants when creating or redeeming a Creation Unit.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> </div>
<div style="clear:both;position:relative;"> </div> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Management
Fee</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund pays the Sponsor a management fee (the &#8220;Management Fee&#8221;), monthly in arrears, in an amount equal to 0.95% (0.85% for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ProShares VIX Mid-Term Futures ETF) per annum of its average daily net assets. &#8220;Average daily net assets&#8221; is calculated by dividing the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">month-end net assets of a Fund by the number of calendar days in such month. No other Management Fee are paid by the Funds. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Management Fee is paid in consideration of the Sponsor&#8217;s trading advisory services and the other services provided to the Funds that the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor pays directly.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Licensing Fee</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor pays S&amp;P a licensing fee for use of the Mid-Term VIX Index as the benchmark for
the VIX Futures Fund. The Sponsor pays </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bloomberg a licensing fee for the Bloomberg Natural Gas Subindex</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">SM</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">, which serves as the benchmark for each Natural Gas Fund. The Sponsor
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">pays Bloomberg a licensing fee for the Bloomberg Silver
Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">SM</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">, which serves as the benchmark for the UltraShort
Silver Fund. The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor pays Bloomberg a licensing fee for the Bloomberg Gold Subindex</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">SM</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">, which serves as the benchmark for the UltraShort Gold
Fund.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Routine Operational, Administrative and Other Ordinary
Expenses</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally, as determined by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor, including, but not limited to, fees and expenses of the Administrator, Custodian, Distributor, PDI and Transfer Agent, licensors, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accounting and audit fees and expenses, tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">not exceeding 0.021% per annum of the net assets of the Funds, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">annum of the net assets of the Funds, and report preparation and mailing expenses.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Non-Recurring Fees and Expenses</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds pay all of their non-recurring and unusual fees and expenses, if any, as
determined by the Sponsor. Non-recurring and unusual </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">fees and expenses are fees and expenses which are unexpected or unusual in nature, such as legal claims and
liabilities and litigation costs or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">indemnification or other unanticipated expenses. Extraordinary fees and expenses also include material expenses which are not currently
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">anticipated obligations of the Funds. Routine operational, administrative and other ordinary expenses are not deemed extraordinary expenses.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Selling Commission</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Retail investors may purchase and sell Shares through traditional brokerage accounts. Investors are expected to be charged a customary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">commission by their brokers in connection with purchases of Shares that will vary from investor to investor. Investors are encouraged to review </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the terms of their brokerage accounts for applicable charges. The price at which an Authorized Participant sells a Share may be higher or lower </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">than the price paid by such Authorized Participant in connection with the creation of such Share in a Creation Unit.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Brokerage Commissions and Fees</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each of the Geared Funds pays all of its respective brokerage commissions, including applicable exchange fees, NFA fees and give-up </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund&#8217;s investments </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in CFTC regulated investments. On average, total charges paid to FCMs are expected to be less than $7.00 per round-turn trade, although </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">brokerage commissions and trading fees are determined on a contract-by-contract basis. The Sponsor is currently paying brokerage commissions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on VIX futures contracts for the VIX Mid-Term Futures ETF in amounts that exceed variable create/redeem fees collected by more than 0.02% </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the VIX Mid-Term Futures ETF&#8217;s average net assets annually. The Funds bear other transaction costs including the effects of trading spreads </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and financing costs/fees, if any, associated with the use of Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">similar high credit quality, short-term fixed-income or similar securities (such as shares of money market funds).</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-84</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_7">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:15.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">MATERIAL U.S. FEDERAL INCOME TAX CONSIDERATIONS</font></div> <div style="line-height:11.0pt;margin-top:7pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The following discussion describes the material U.S. federal (and certain state and local) income tax considerations associated with the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purchase, ownership and disposition of Shares as of the date hereof by U.S. Shareholders (as defined below) and non-U.S. Shareholders (as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defined below). Except where explicitly noted, this discussion deals only with Shares held as capital assets by shareholders who acquired Shares </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by purchase and does not address special situations, such as those of:</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">dealers in securities, currencies or commodities;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">financial institutions;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">regulated investment companies (&#8220;RICs&#8221;);</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">real estate investment trusts;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">partnerships and persons in their capacity as partners;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">tax-exempt organizations;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">insurance companies;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">persons holding Shares as a part of a hedging, integrated or
conversion transaction or a straddle;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">accrual method taxpayers subject to special tax accounting rules
as a result of their use of financial statements;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">traders in securities or commodities that elect to use a mark-to-market method of accounting for their securities or commodities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">holdings; or</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">persons liable for the federal alternative minimum tax.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Furthermore, the discussion below is based upon the provisions of the Code, the Regulations, and administrative and judicial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">interpretations thereof, all as of the date hereof, and such authorities may be repealed, revoked, modified or subject to differing interpretations, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">possibly on a retroactive basis, so as to result in U.S. federal income tax consequences different from those described below and which may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">adversely affect a Fund and/or its shareholders.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A &#8220;U.S. Shareholder&#8221; of Shares means a beneficial owner of Shares that is for U.S. federal income tax purposes:</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">an individual that is a citizen or resident of the United States;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">a corporation (or other entity taxable as a corporation)
created or organized in or under the laws of the United States, any state </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">thereof or the District of Columbia;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">an estate the income of which is subject to U.S. federal income
taxation regardless of its source; or</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">a trust if it (1) is subject to the primary supervision of a court within the United States and one or more U.S. persons have the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">authority to control all substantial decisions of such trust or (2) has a valid election in effect under applicable Regulations to be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">treated as a U.S. person.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A &#8220;non-U.S. Shareholder&#8221; of Shares means a beneficial owner of Shares that is not a U.S. Shareholder.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If a partnership or other entity or arrangement treated as a partnership for U.S. federal income tax purposes holds Shares, the tax treatment </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of a partner will generally depend upon the status of the partner and the activities of the partnership. If an investor is a partner of a partnership </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">holding Shares, the Trust urges such investor to consult its own tax advisor.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">No statutory, administrative or judicial authority directly addresses the treatment of Shares or instruments similar to Shares for U.S. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">federal income tax purposes. As a result, the Trust cannot assure investors that the IRS or the courts will agree with the tax consequences </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-85</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_8"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">described herein. A different treatment from that
described below could adversely affect the amount, timing and character of income, gain or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">loss in respect of an investment in the Shares.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">If an investor is considering the purchase of Shares, the Trust urges investors
to consult their own tax advisor concerning the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">particular U.S. federal income tax consequences to investors of the purchase, ownership and disposition of
Shares, as well as any </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">consequences to investors arising under the laws of any other taxing jurisdiction.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Status of the Funds</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Under Section 7704 of the Code, unless certain exceptions apply, a publicly traded partnership is
generally treated and taxed as a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">corporation, and not as a partnership, for U.S. federal income tax purposes. A partnership is a publicly traded partnership if (1)
interests in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">partnership are traded on an established securities market or (2) interests in the partnership are readily tradable on a secondary market or the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">substantial equivalent thereof. Each Fund is a publicly traded partnership. If 90% or more of the income of a publicly traded partnership during </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">each taxable year consists of &#8220;qualifying income&#8221; and the partnership is not required to register under the 1940 Act, it will be treated as a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">partnership or publicly traded partnership taxable as a corporation, for U.S. federal income tax purposes (the &#8220;Qualifying Income Exception&#8221;). </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Qualifying income includes dividends, interest, capital gains from the sale or other disposition of stocks and debt instruments and, in the case of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a partnership a principal activity of which is the buying and selling of commodities or certain positions with respect to commodities, income and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">gains derived from certain swap agreements or regulated futures or forward contracts with respect to commodities. Each Fund anticipates that at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">least 90% of its gross income for each taxable year will constitute qualifying income within the meaning of Section 7704(d) of the Code.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Morgan, Lewis &amp; Bockius LLP has acted as counsel to the Trust in connection with this
registration statement. Under current law and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">assuming full compliance with the terms of the Trust Agreement (and other relevant documents) and based on factual
representations made by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">each Fund, in the opinion of Morgan, Lewis &amp; Bockius LLP, each Fund is classified as a partnership, for U.S. federal income tax purposes, and
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">not as an association or publicly traded partnership taxable as a corporation. The opinion of Morgan, Lewis &amp; Bockius LLP, is based on various </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">assumptions relating to each Fund&#8217;s organization, operation, assets and activities, including assumptions that each Fund will not invest in any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">assets except those specifically provided for currently in this Prospectus, and that neither the Trust Agreement nor any other relevant document </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">will be otherwise amended. The opinion of Morgan, Lewis &amp; Bockius, LLP further assumes that all factual representations and statements set </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">forth in all relevant documents, records, and instruments are true and correct, all actions described in this Prospectus are completed in a timely </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">fashion and that each Fund will at all times operate in accordance with the method of operation described in the Trust Agreement and this </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Prospectus, and is conditioned upon factual representations and covenants made by the Fund and the Sponsor regarding the Fund&#8217;s organization, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">operation, assets, activities and the conduct of each Fund&#8217;s operations, and assumes that such representations and covenants are accurate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and complete.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Shareholders should be aware that opinions of counsel are not binding on the IRS, and no
assurance can be given that the IRS will not </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">challenge the conclusions set forth in such opinion. The Sponsor will use its best efforts to operate each Fund in such manner
as is necessary for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">a Fund to continue to meet the Qualifying Income Exception.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">While it is expected that each Fund will operate so that it will qualify to be treated for U.S. federal income tax purposes as a partnership, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and not as an association or a publicly traded partnership taxable as a corporation, given the highly complex nature of the rules governing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">partnerships, the ongoing importance of factual determinations, the lack of direct guidance with respect to the application of tax laws to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">activities a Fund is undertaking and the possibility of future changes in a Fund&#8217;s circumstances, it is possible that a Fund will not so qualify for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">any particular year. Morgan, Lewis &amp; Bockius LLP has no obligation to advise a Fund or its shareholders of any subsequent change in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">matters stated, represented or assumed, or of any subsequent change in the applicable law. A Fund&#8217;s taxation as a partnership will depend on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">such Fund&#8217;s ability to meet, on a continuing basis, through actual operating results, the Qualifying Income Exception, the compliance of which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">will not be reviewed by Morgan, Lewis &amp; Bockius LLP. Accordingly, no assurance can be given that the actual results of a Fund&#8217;s operations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for any taxable year will satisfy the Qualifying Income Exception.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If for any reason a Fund becomes taxable as a corporation for U.S. federal income tax purposes, such Fund&#8217;s items of income and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">deduction would not pass through to the Fund&#8217;s shareholders and shareholders would be treated for U.S. federal income tax purposes as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">stockholders in a corporation. The Fund would be required to pay income tax at the regular corporate rate (currently 21%) on its net income. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Distributions by the Fund to the shareholders would constitute dividend income taxable to such shareholders, to the extent of the Fund&#8217;s </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-86</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_9"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">earnings and profits, and the payment of these
distributions would not be deductible by the Fund. These consequences would have a material </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">adverse effect on the Fund, the Fund&#8217;s shareholders and the value of the
Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If at the end of any taxable year a Fund fails to meet the Qualifying Income
Exception, the Fund may still qualify as a partnership if the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund is entitled to relief under the Code for an inadvertent termination of partnership status. This relief
will be available if (1) the failure is cured </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">within a reasonable time after discovery, (2) the failure is determined by the IRS to be inadvertent, and (3) the Fund agrees
to make such </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">adjustments or to pay such amounts as are determined by the IRS. It is not possible to state whether a Fund would be entitled to this relief in any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or all circumstances. It is also not clear under the Code whether this relief is available for the Fund&#8217;s first taxable year as a publicly traded </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">partnership. If this relief provision is not applicable to a particular set of circumstances involving a Fund, it will not qualify as a partnership for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. federal income tax purposes. Even if this relief provision applies and a Fund retains its partnership qualification, the Fund or its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholders (during the failure period) will be required to pay such amounts as determined by the IRS.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The remainder of this discussion assumes that each Fund is taxed as a partnership for U.S. federal income tax purposes.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">U.S. Shareholders</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Treatment of Fund Income</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A partnership generally does not incur U.S. federal income tax liability. Instead,
each partner of a partnership is required to take into </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">account its share of items of income, gain, loss, deduction and other items of the partnership. Accordingly, each
shareholder in a Fund is </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">required to include in income its allocable share of the Fund&#8217;s income, gain, loss, deduction and other items for the Fund&#8217;s taxable
year ending </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">with or within its taxable year. In computing a partner&#8217;s U.S. federal income tax liability, such items must be included, regardless of whether </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cash distributions are made by the partnership. Thus, shareholders in a Fund may be required to take into account taxable income without a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">corresponding current receipt of cash if the Fund generates taxable income but does not make cash distributions in an amount equal to, or if the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholder is not able to deduct, in whole or in part, such shareholder&#8217;s allocable share of a Fund&#8217;s expenses or capital losses. Each Fund&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">taxable year ends on December 31 unless otherwise required by law. Each Fund uses the accrual method of accounting.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">For taxable years beginning before January 1, 2026, a 20% deduction is available to non-corporate
shareholders for &#8220;qualified publicly </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">traded partnership income&#8221; within the meaning of Section 199A(e)(4) of the Code. Qualified publicly traded partnership
income includes a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s income effectively connected with the Fund&#8217;s trade or business, but does not include certain investment income. In light of the
expected </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">character of the income of the Funds, it is unclear whether any of a Fund&#8217;s income will be eligible for the deduction. Potential investors should </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consult their tax advisors regarding the availability of such deduction for their allocable share of a Fund&#8217;s items of income, gain, deduction </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and loss.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Shareholders must take into account their share of ordinary income realized by the respective
Fund&#8217;s investments, including from accruals </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of interest on the U.S. Treasury securities or other cash and cash equivalents held in a Fund&#8217;s portfolio. Each
Fund may hold U.S. Treasury </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities or other debt instruments with &#8220;acquisition discount&#8221; or &#8220;original issue discount,&#8221; in which case
shareholders in such Fund are </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">required to include accrued amounts in taxable income on a current basis even though receipt of those amounts may occur in a subsequent year.
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Each Fund may also acquire U.S. Treasury securities with &#8220;market discount.&#8221; Upon disposition of such obligations, gain would generally be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">required to be treated as interest income to the extent of the market discount, and shareholders in such Fund would be required to include as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ordinary income their share of such market discount that accrued during the period the obligations were held by such Fund. Income or loss from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions involving certain derivative instruments, such as periodic and certain non-periodic payments in swap transactions, will also </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">generally constitute ordinary income or loss and may result in recognition of taxable income to a U.S. Shareholder on a current basis even </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">though receipt of those amounts may occur in a subsequent year.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The character and timing of income that a Fund earns from the positions in its investment strategy depends on the particular U.S. federal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">income tax treatment of each such position. The U.S. federal income tax treatment of certain positions is not always clear, and the IRS, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Treasury Department and the U.S. Congress sometimes take steps which change the manner in which certain positions are taxed. For example, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the IRS has issued guidance indicating that a position that certain taxpayers were previously accounting for as prepaid forward contracts for U.S. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">federal income tax purposes should, instead, be accounted for under the U.S. federal income tax rules for non-dollar denominated debt </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">instruments. The IRS has also released a Notice (the &#8220;IRS Notice&#8221;) seeking comments from practitioners about the application of U.S. federal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">income tax rules to certain derivative positions, including derivative positions in commodities. The IRS Notice asks for comments about, among </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-87</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_10"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">other questions, when investors in these positions
should have income, the character of income and gain or loss from these positions and whether </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the U.S. federal &#8220;constructive ownership&#8221; rules should apply to
these positions. It is not possible to predict what changes, if any, will be adopted </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or when any such changes would take effect. However, any such changes could affect the
amount, timing and character of income, gain and loss </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in respect of a Fund&#8217;s investments, possibly with retroactive effect. As the Funds pass through their items of
income, gain and loss to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholders, any change in the manner in which a Fund accounts for these items could have an adverse impact on the shareholders of that
Fund.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Code generally applies a &#8220;mark-to-market&#8221; system of taxing
unrealized gains and losses on, and otherwise provides for special rules </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of taxation with respect to certain regulated futures contracts, certain non-equity options and
certain non-U.S. currency forward contracts subject </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to Section 1256 of the Code (&#8220;Section 1256 Contracts&#8221;). The Sponsor expects substantially all of a
Fund&#8217;s futures contracts and non-U.S. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">currency forward contracts to qualify as Section 1256 Contracts. Swap agreements and non-currency forward contracts are
generally not </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Section 1256 Contracts. Cleared swaps and other commodity swaps will most likely not qualify as Section 1256 Contracts. If a commodity swap </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is not treated as a Section 1256 Contract, any gain or loss on the swap recognized at the time of disposition or termination will be long-term or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">short-term capital gain or loss depending on the holding period of the swap. Section 1256 Contracts held by the Funds at the end of a taxable </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">year of the Funds will be treated for U.S. federal income tax purposes as if they were sold by the Funds at their fair market value on the last </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">business day of the taxable year. The net gain or loss, if any, resulting from these deemed sales (known as &#8220;marking-to-market&#8221;), together with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">any gain or loss resulting from any actual sales of Section 1256 Contracts (or other termination of a Fund&#8217;s obligations under such contracts), </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">must be taken into account by a Fund in computing its taxable income for the year. If a Section 1256 Contract held by a Fund at the end of a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">taxable year is sold in the following year, the amount of any gain or loss realized on the sale will be adjusted to reflect the gain or loss </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">previously taken into account under the mark-to-market rules.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Capital gains and losses from Section 1256 Contracts generally are characterized as short-term capital gains or losses to the extent of 40% </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the gains or losses and as long-term capital gains or losses to the extent of 60% of the gains or losses. Shareholders of a Fund will generally </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">take into account their pro rata share of the long-term capital gains and losses and short-term capital gains and losses from Section 1256 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Contracts held by a Fund. If a non-corporate taxpayer incurs a net capital loss for a year, the portion of the loss, if any, which consists of a net </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">loss on Section 1256 Contracts may, at the election of the taxpayer, be carried back three years. A loss carried back to a year by a non-corporate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">taxpayer may be deducted only to the extent (1) the loss does not exceed the net gain on Section 1256 Contracts for the year and (2) the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">allowance of the carryback does not increase or produce a net operating loss for the year. Due to the Funds&#8217; investment strategy, it is also likely </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that a significant portion of any capital gain or loss realized by the Funds with respect to non-Section 1256 Contracts will be short-term.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A Fund may enter into certain over-the-counter options that do not qualify as Section 1256
Contracts under the Code and which will </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">generally be treated as options governed by Code Section 1234. Pursuant to Code Section 1234, if a written option expires
unexercised, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">premium received is short-term capital gain to a Fund. If a Fund enters into a closing transaction, the difference between the premium received </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for writing the option, and the amount paid to close out its position generally is short-term capital gain or loss.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Allocation of the Funds&#8217; Gains and Losses</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">For U.S. federal income tax purposes, a shareholder&#8217;s distributive share of a Fund&#8217;s income, gain, loss, deduction and other items is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">determined by the Trust Agreement, unless an allocation under the agreement does not have &#8220;substantial economic effect,&#8221; in which case the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">allocations will be determined in accordance with the &#8220;partners&#8217; interests in the partnership.&#8221; Subject to the discussions below under &#8220;Monthly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Allocation and Revaluation Conventions&#8221; and &#8220;Section 754 Election,&#8221; the allocations pursuant to the Trust Agreement should be considered to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">have substantial economic effect or deemed to be made in accordance with the partners&#8217; interests in the partnership.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If the allocations provided by the Trust Agreement were successfully challenged by the IRS, the
amount of income or loss allocated to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholders for U.S. federal income tax purposes under the agreement could be increased or reduced, or the character of the income
or loss </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">could be modified.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As described in more detail below, the U.S. tax rules that apply to partnerships are complex and their application is not always clear. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Additionally, the rules generally were not written for, and in some respects are difficult to apply to, publicly traded partnerships. Each Fund </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">applies certain assumptions and conventions intended to comply with the intent of the rules and to report income, gain, deduction, loss and credit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to shareholders in a manner that reflects the economic gains and losses, but these assumptions and conventions may not comply with all aspects </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the applicable Regulations. It is possible, therefore, that the IRS will successfully assert that assumptions made and/or conventions used do </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-88</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_11"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">not satisfy the technical requirements of the Code or
the Regulations and will require that tax items be adjusted or reallocated in a manner that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">could adversely impact an investor.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Monthly Allocation and Revaluation Conventions</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In general, each Fund&#8217;s taxable income and losses are determined monthly and are apportioned among the shareholders of the Fund in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proportion to the number of Shares treated as owned by each of them as of the close of the last trading day of the preceding month. By investing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in Shares, a U.S. Shareholder agrees that, in the absence of an administrative determination or judicial ruling to the contrary, it will report </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">income and loss under the monthly allocation and revaluation conventions described below.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Under the monthly allocation convention, whoever is treated for U.S. federal income tax purposes as holding Shares as of the close of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">last trading day of the preceding month will be treated as continuing to hold the Shares until immediately before the close of the last trading day </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the following month. With respect to any Shares that were not treated as outstanding as of the close of the last trading day of the preceding </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">month, the first person that is treated as holding such Shares (other than an underwriter or other person holding in a similar capacity) for U.S. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">federal income tax purposes will be treated as holding such Shares for this purpose as of the close of the last trading day of the preceding month. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">As a result, a shareholder who has disposed of Shares prior to the close of the last trading day of a month may be allocated income, gain, loss </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and deduction realized after the date of transfer. For the initial month of a Fund&#8217;s operations, the shareholders at the close of trading at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">month-end received that month&#8217;s allocation.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Code generally requires that items of partnership income and deductions be allocated between transferors and transferees of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">partnership interests on a daily basis. It is possible that a transfer of Shares could be considered to occur for U.S. federal income tax purposes </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">when the transfer is completed without regard to a Fund&#8217;s monthly convention for allocating income and deductions. If this were to occur, a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s allocation method might be deemed to violate that requirement.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, for any month in which a creation or redemption of Shares takes place, a Fund generally credits or debits, respectively, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;book&#8221; capital accounts of the shareholders of existing Shares with any unrealized gain or loss in that Fund&#8217;s assets. This results in the allocation </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of items of a Fund&#8217;s income, gain, loss, deduction and credit to existing shareholders of Shares to account for the difference between the tax </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">basis and fair market value of property owned by such Fund at the time new Shares are issued or old Shares are redeemed, or reverse </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Section 704(c) allocations (described below). The intended effect of these allocations is to allocate any built-in gain or loss in a Fund&#8217;s assets at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the time of a creation or redemption of Shares to the investors that economically have earned such gain or loss.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As with the other allocations described above, each Fund generally uses a monthly convention for
purposes of so-called reverse </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Section 704(c) allocations. More specifically, each Fund generally credits or debits, respectively, the &#8220;book&#8221; capital accounts
of the shareholders </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of existing Shares with any unrealized gain or loss in a Fund&#8217;s assets based on a calculation utilizing the creation/redemption price of a
Fund&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Shares during the month in which the creation or redemption transaction takes place, rather than the fair market value of its assets at the time of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">such creation or redemption (the &#8220;revaluation convention&#8221;). As a result, it is possible that, for U.S. federal income tax purposes, (1) a purchaser </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of newly issued Shares will be allocated some or all of the unrealized gain in a Fund&#8217;s assets at the time it acquires the Shares or (2) a purchaser </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of newly issued Shares will not be allocated its entire share in the loss in a Fund&#8217;s assets accruing after the time of such acquisition.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Code and applicable Regulations generally require that items of partnership income and
deductions be allocated between transferors </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and transferees of partnership interests on a daily basis, and that adjustments to &#8220;book&#8221; capital accounts be made
based on the fair market value </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of partnership property on the date of adjustment. The Code and Regulations do not contemplate monthly allocation or revaluation
conventions. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">The Sponsor, in an attempt to eliminate book-tax disparities, allocates items of income, gain, or loss for U.S. federal income tax purposes among </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the shareholders under the principles of the remedial method of Section 1.704-3(d) of the Regulations.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If the IRS does not accept a Fund&#8217;s monthly allocation or revaluation convention, the IRS may contend that taxable income or losses of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Funds must be reallocated among the shareholders. If such a contention were sustained, the shareholders&#8217; respective tax liabilities would be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">adjusted to the possible detriment of certain shareholders. The Sponsor is authorized to revise the Funds&#8217; allocation and revaluation methods in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">order to comply with applicable law or to allocate items of partnership income and deductions in a manner that reflects more accurately the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholders&#8217; interests in the Funds.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-89</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_12"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Section 754 Election</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund has made the election permitted by Section 754 of the Code. Such an election, once made, is irrevocable without the consent </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the IRS. The making of such election by a Fund generally has the effect of requiring a purchaser of Shares in that Fund to adjust, utilizing the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">lowest closing price during the month, its proportionate share of the basis in that Fund&#8217;s assets, or the inside basis, pursuant to Section 743(b) of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Code to fair market value (as reflected in the purchase price for the purchaser&#8217;s Shares), as if it had acquired a direct interest in that Fund&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">assets. The Section 743(b) adjustment is attributed solely to a purchaser of Shares and is not added to the basis of a Fund&#8217;s assets associated with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">all of the other shareholders. Depending on the relationship between a shareholder&#8217;s purchase price for Shares and its unadjusted share of a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s inside basis at the time of the purchase, the Section 754 election may be either advantageous or disadvantageous to the shareholder as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">compared to the amount of gain or loss a shareholder would be allocated absent the Section 754 election.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The calculations under Section 754 of the Code are complex, and there is little legal authority concerning the mechanics of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">calculations, particularly in the context of publicly traded partnerships. Therefore, in making the election under Section 754 of the Code, a Fund </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">applies certain conventions in determining and allocating the Section 743 basis adjustments to help reduce the complexity of those calculations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the resulting administrative costs to a Fund. It is possible that the IRS will successfully assert that some or all of such conventions utilized </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by a Fund do not satisfy the technical requirements of the Code or the Regulations and, thus, will require different basis adjustments to be made. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">If the IRS were to sustain such a position, a shareholder may have adverse tax consequences.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In order to make the basis adjustments permitted by Section 754, each Fund is required to obtain information regarding each </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholder&#8217;s secondary market transactions in Shares, as well as creations and redemptions of Shares. Each Fund seeks such information from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the record holders of Shares, and, by purchasing Shares, each beneficial owner of Shares will be deemed to have consented to the provision of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">such information by the record owner of such beneficial owner&#8217;s Shares. Notwithstanding the foregoing, however, there can be no guarantee that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a Fund will be able to obtain such information from record owners or other sources, or that the basis adjustments that a Fund makes based on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">information it is able to obtain will be effective in eliminating disparity between a shareholder&#8217;s outside basis in its share of the Fund interests </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and its share of inside basis.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Treatment of Distributions</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Distributions of cash by a partnership are generally not taxable to the distributee
to the extent the amount of cash does not exceed the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">distributee&#8217;s tax basis in its partnership interest. Thus, any cash distributions made by a Fund will be taxable
to a shareholder only to the extent </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">such distributions exceed the shareholder&#8217;s tax basis in the partnership interests it is treated as owning. See &#8220;Tax Basis
in Shares&#8221; below. Any </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">cash distributions in excess of a shareholder&#8217;s tax basis generally will be considered to be gain from the sale or exchange of the
Shares. See </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Disposition of Shares&#8221; below. The Funds do not currently expect to make any cash distributions.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Creation and Redemption of Creation Units</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Shareholders, other than Authorized Participants (or holders for which an Authorized Participant is acting), generally will not recognize </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">gain or loss as a result of an Authorized Participant&#8217;s creation or redemption of a Creation Unit. If a Fund disposes of assets in connection with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the redemption of a Creation Unit, however, the disposition may give rise to gain or loss that will be allocated in part to investors. An </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authorized Participant&#8217;s creation or redemption of a Creation Unit may also affect an investor&#8217;s share of a Fund&#8217;s tax basis in its assets, which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">could affect the amount of gain or loss allocated to an investor on the sale or disposition of portfolio assets by a Fund.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Disposition of Shares</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If a U.S. Shareholder transfers Shares of a Fund, in a sale or other taxable disposition, the U.S. Shareholder will generally be required to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">recognize gain or loss measured by the difference between the amount realized on the sale and the U.S. Shareholder&#8217;s adjusted tax basis in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Shares. The amount realized will include the U.S. Shareholder&#8217;s share of a Fund&#8217;s liabilities, as well as any proceeds from the sale. The gain or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">loss recognized will generally be taxable as capital gain or loss.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Capital gain of non-corporate U.S. Shareholders is eligible to be taxed at reduced rates when the Shares are held for more than one year. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The maximum rate is currently 20%. Capital gain of corporate U.S. Shareholders is taxed at the same rate as ordinary income. Any capital loss </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-90</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_13"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">recognized by a U.S. Shareholder on a sale of Shares
will generally be deductible only against capital gains, except that a non-corporate </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Shareholder may generally also offset up to $3,000 per year of ordinary
income.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Tax on Investment Income</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Certain U.S. Shareholders that are individuals, estates or trusts must pay an additional 3.8% tax on their &#8220;net investment income.&#8221; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Shareholders should consult their own tax advisors regarding the effect, if any, of this tax on their investment in the Funds.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Tax Basis in Shares</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A U.S. Shareholder&#8217;s initial tax basis in the partnership interests it is treated as holding will equal the sum of (1) the amount of cash paid </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by such U.S. Shareholder for its Shares and (2) such U.S. Shareholder&#8217;s share of a Fund&#8217;s liabilities. A U.S. Shareholder&#8217;s tax basis in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Shares will be increased by (1) the U.S. Shareholder&#8217;s share of a Fund&#8217;s taxable income, including capital gain, (2) the U.S. Shareholder&#8217;s share </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of a Fund&#8217;s income, if any, that is exempt from tax and (3) any increase in the U.S. Shareholder&#8217;s share of a Fund&#8217;s liabilities. A U.S. Shareholder&#8217;s</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> tax basis in Shares will be decreased (but not below zero) by (1) the amount of any cash distributed (or deemed distributed) to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Shareholder, (2) the U.S. Shareholder&#8217;s share of a Fund&#8217;s losses and deductions, (3) the U.S. Shareholder&#8217;s share of a Fund&#8217;s expenditures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that is neither deductible nor properly chargeable to its capital account and (4) any decrease in the U.S. Shareholder&#8217;s share of a Fund&#8217;s liabilities.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Limitations on Deductibility of Certain Losses and Expenses</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The deductibility for U.S. federal income tax purposes of a U.S. Shareholder&#8217;s share of losses and expenses of a Fund is subject to certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">limitations, including, but not limited to, rules providing that: (1) a U.S. Shareholder may not deduct a Fund&#8217;s losses that are allocated to it in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">excess of its adjusted tax basis in its Shares; (2) individuals and personal holding companies may not deduct the losses allocable to a particular </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;activity&#8221; in excess of the amount that they are considered to have &#8220;at risk&#8221; with respect to the activity; and (3) the ability of individuals to take </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain miscellaneous itemized deductions (including management fees) is suspended for the taxable years beginning before January 1, 2026. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">addition, expenses that are miscellaneous itemized deductions are also not deductible in determining the alternative minimum tax liability of a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">non-corporate U.S. shareholder. Each Fund will report its expenses on a pro rata basis to the shareholders, and each U.S. Shareholder will </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">determine separately to what extent they are deductible on the U.S. Shareholder&#8217;s tax return. It is anticipated that management fees the Funds </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">will pay will constitute miscellaneous itemized deductions. To the extent that a loss or expense that cannot be deducted currently is allocated to a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Shareholder, such U.S. Shareholder may be required to report taxable income in excess of its economic income or cash distributions on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The
deductibility of a non-corporate U.S. Shareholder&#8217;s &#8220;investment interest expense&#8221; is generally limited to the amount of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Shareholder&#8217;s
&#8220;net investment income.&#8221; Investment interest expense will generally include interest expense incurred by a Fund, if any, and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment interest expense
incurred by the U.S. Shareholder on any margin account borrowing or other loan incurred to purchase or carry </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Shares. Net investment income includes gross income from
property held for investment and amounts treated as portfolio income, such as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dividends and interest, less deductible expenses, other than interest, directly connected
with the production of investment income. For this </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">purpose, any long-term capital gain or qualifying dividend income that is taxable at long-term capital gains rates is
excluded from net investment </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">income unless the U.S. Shareholder elects to pay tax on such capital gain or dividend income at ordinary income rates. A U.S.
Shareholder&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">distributive share of certain interest paid or accrued by a Fund, or certain entities in which such Fund invests may be treated as &#8220;business
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">interest,&#8221; which is subject to separate limitations on deductibility.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Under Section 709(b) of the Code, amounts paid or incurred to organize a partnership may, at the election of the partnership, be treated as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">deferred expenses, which are allowed as a deduction ratably over a period of not less than 180 months. Each Fund has elected to treat such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">expenses as ratably deductible over 180 months, beginning with the month the Fund is considered to have started its investment activities for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">federal tax purposes. A non-corporate U.S. Shareholder&#8217;s allocable share of such organizational expenses would constitute miscellaneous </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">itemized deductions, which are not deductible for taxable years beginning before January 1, 2026. Expenditures in connection with the issuance </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and marketing of Shares (so-called &#8220;syndication fees&#8221;) are not eligible for the 180-month amortization provision and are not deductible.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Prospective shareholders are urged to consult their own tax advisors with regard to these and
other limitations on the ability to deduct </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">losses or expenses with respect to an investment in a Fund.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-91</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_14"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The deductibility of a non-corporate
U.S. Shareholder&#8217;s &#8220;investment interest expense&#8221; is generally limited to the amount of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Shareholder&#8217;s &#8220;net investment income.&#8221;
Investment interest expense will generally include interest expense incurred by a Fund, if any, and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment interest expense incurred by the U.S. Shareholder on any
margin account borrowing or other loan incurred to purchase or carry </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Shares. Net investment income includes gross income from property held for investment and amounts
treated as portfolio income, such as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dividends and interest, less deductible expenses, other than interest, directly connected with the production of investment income.
For this </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">purpose, any long-term capital gain or qualifying dividend income that is taxable at long-term capital gains rates is excluded from net investment </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">income unless the U.S. Shareholder elects to pay tax on such capital gain or dividend income at ordinary income rates. A U.S. Shareholder&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">distributive share of certain interest paid or accrued by a Fund, or certain entities in which such Fund invests may be treated as &#8220;business </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">interest,&#8221; which is subject to separate limitations on deductibility.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The deductibility of a non-corporate U.S. Shareholder&#8217;s &#8220;investment interest expense&#8221; is generally limited to the amount of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Shareholder&#8217;s &#8220;net investment income.&#8221; Investment interest expense will generally include interest expense incurred by a Fund, if any, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment interest expense incurred by the U.S. Shareholder on any margin account borrowing or other loan incurred to purchase or carry </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Shares. Net investment income includes gross income from property held for investment and amounts treated as portfolio income, such as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dividends and interest, less deductible expenses, other than interest, directly connected with the production of investment income. For this </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purpose, any long-term capital gain or qualifying dividend income that is taxable at long-term capital gains rates is excluded from net investment </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">income unless the U.S. Shareholder elects to pay tax on such capital gain or dividend income at ordinary income rates. A U.S. Shareholder&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">distributive share of certain interest paid or accrued by a Fund, or certain entities in which such Fund invests may be treated as &#8220;business </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">interest,&#8221; which is subject to separate limitations on deductibility.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Transferor/Transferee Allocations</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In general, a Fund&#8217;s taxable income and losses are determined monthly as
described under &#8220;Monthly Allocation and Revaluation </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Conventions.&#8221; As a result, a shareholder transferring its Shares may be allocated income, gain, loss and
deduction realized after the date </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of transfer.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Section 706 of the Code generally requires that items of partnership income and deductions be allocated between transferors and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transferees of partnership interests on a daily basis. It is possible that transfers of Shares could be considered to occur for U.S. federal income </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">tax purposes when the transfer is completed without regard to a Fund&#8217;s convention for allocating income and deductions. In that event, a Fund&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">allocation method might be considered a monthly convention that does not literally comply with that requirement.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If the IRS treats transfers of Shares as occurring throughout each month and a monthly convention
is not allowed by the Regulations (or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">only applies to transfers of less than all of a shareholder&#8217;s Shares), or if the IRS otherwise does not accept a Fund&#8217;s
convention, the IRS may </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contend that taxable income or losses of a Fund must be reallocated among the shareholders. If such a contention were sustained, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholders&#8217; respective tax liabilities would be adjusted to the possible detriment of certain shareholders. Each Fund&#8217;s Sponsor is authorized to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">revise a Fund&#8217;s methods of allocation between transferors and transferees (as well as among shareholders whose interests otherwise vary during </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a taxable period).</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Tax Reporting by Each Fund</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund will file a partnership tax return with the IRS and will deliver a
Schedule K-1 to the shareholders. Accordingly, tax </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">information will be provided to shareholders on a Schedule K-1 for each calendar year as soon as practicable after the
end of such taxable year </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">but generally not later than March 15. Each Schedule K-1 provided to a shareholder will set forth the shareholder&#8217;s share of such
Fund&#8217;s tax </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">items (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., income, gain, loss, deduction and other items) in a manner sufficient for a shareholder to complete its tax return with respect to its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment in the Fund&#8217;s Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each shareholder, by its acquisition of Shares, will be deemed to agree to allow brokers and nominees to provide to a Fund its name and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">address and the other information and forms as may be reasonably requested by a Fund for purposes of complying with their tax reporting and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">withholding obligations (and to waive any confidentiality rights with respect to the information and forms for this purpose) and to provide </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">information or forms upon request.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-92</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_15">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Given the lack of authority addressing structures similar to that of the Funds, it is not certain that the IRS will agree with the manner in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which tax reporting by a Fund will be undertaken. Therefore, shareholders should be aware that future IRS interpretations or revisions to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Regulations could alter the manner in which tax reporting by a Fund and any nominee will be undertaken.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Treatment of Securities Lending Transactions Involving Shares</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A shareholder whose Shares are loaned to a &#8220;short seller&#8221; to cover a short sale of Shares may be considered as having disposed of those </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Shares. If so, such shareholder would no longer be a beneficial owner of a pro rata portion of the partnership interests with respect to those </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Shares during the period of the loan and may recognize gain or loss from the disposition. As a result, during the period of the loan, (1) any of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relevant Fund&#8217;s income, gain, loss, deduction or other items with respect to those Shares would not be reported by the shareholder, and (2) any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cash distributions received by the shareholder as to those Shares could be fully taxable, likely as ordinary income. Accordingly, shareholders </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">who desire to avoid the risk of income recognition from a loan of their Shares to a short seller are urged to modify any applicable brokerage </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">account agreements to prohibit their brokers from borrowing their Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">These rules, however, should not affect the amount or timing of income, gain, deduction or loss reported by a taxpayer that is a dealer in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities that marks the Shares to market for U.S. federal income tax purposes, or a trader in securities that has elected to use the mark-to-market</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> method of tax accounting with respect to the Shares.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Audits and Adjustments to Tax
Liability</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor is expected to be designated as the &#8220;partnership representative&#8221; (within the meaning of Section 6223 of the Code) of each </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund to act on their behalf in connection with IRS audits and related proceedings.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The partnership representative&#8217;s actions, including the partnership representative&#8217;s agreement to adjustments of a Fund&#8217;s income in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement of an IRS audit of such Fund, will bind all Shareholders. Shareholders will not be required to receive notice of any audit of a Fund tax </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">return and will not be entitled to participate in any such audit. A Fund may be liable for U.S. federal income tax on any imputed underpayment </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of tax resulting from an adjustment as a result of an IRS audit. The amount of the imputed underpayment generally includes increases in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">allocations of items of income or gains to any shareholder and decreases in allocations of items of deduction, loss, or credit to any shareholder </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">without any offset for any corresponding reductions in allocations of items of income or gain to any shareholder or increases in allocations of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">items of deduction, loss, or credit to any shareholder. If a Fund is required to pay any U.S. federal income taxes on any imputed underpayment, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the resulting tax liability would reduce the net assets of the Fund and would likely have an adverse impact on the value of the Shares. Under </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain circumstances, a Fund may be eligible to make an election to cause the shareholders to take into account the amount of any imputed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">underpayment, including any interest and penalties. However, there can be no assurance that such election will be made or effective. If the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">election is made, the Fund would be required to provide shareholders who owned beneficial interests in the Shares in the year to which the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">adjusted allocations relate with Adjustment Statements. Those shareholders would be required to take the adjustment into account in the taxable </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">year in which the Adjustment Statements are issued.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In general, if a Fund pays the tax resulting from the adjustment, the amount will be determined by applying the highest rate of tax in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">effect for the audited year to the net adjustment amount, subject to possible reduction, with the approval of the IRS, to account for certain types </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of income and for tax-exempt Shareholders.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Shareholders should discuss with their own tax advisors the possible implications of these rules with respect to an investment in a Fund.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Foreign Tax Credits</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Subject to generally applicable limitations, U.S. Shareholders will be able to claim foreign tax credits with respect to certain foreign </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">income taxes paid or incurred by a Fund, withheld on payments made to the Trust or paid by the Trust on behalf of Fund shareholders (if any of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">such foreign income taxes are so paid, incurred or withheld). U.S. Shareholders must include in their gross income, for U.S. federal income tax </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purposes, both their share of a Fund&#8217;s items of income and gain and also their share of the amount which is deemed to be the shareholder&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">portion of foreign income taxes paid with respect to, or withheld from interest or other income derived by, a Fund. U.S. Shareholders may then </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">subtract from their U.S. federal income tax the amount of such taxes withheld, or elect to treat such foreign taxes as deductions from gross </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">income; however, as in the case of investors receiving income directly from foreign sources, the tax credit or deduction described above is </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-93</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_16"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">subject to certain limitations. Even if the shareholder
is unable to claim a credit, he or she must include all amounts described above in income. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Shareholders are urged to consult their tax advisors regarding this
election and its consequences to them.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Tax Shelter Disclosure
Rules</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">There are circumstances under which certain transactions must be disclosed to the IRS in a disclosure statement attached to a taxpayer&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. federal income tax return. (A copy of such statement must also be sent to the IRS Office of Tax Shelter Analysis.) In addition, the Code </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">imposes a requirement on certain &#8220;material advisors&#8221; to maintain a list of persons participating in such transactions, which list must be furnished </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the IRS upon written request. These provisions can apply to transactions not conventionally considered to involve abusive tax planning. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Consequently, it is possible that such disclosure could be required by a Fund or the shareholders (1) if a shareholder incurs a loss (in each case, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in excess of a threshold computed without regard to offsetting gains or other income or limitations) from the disposition (including by way of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">withdrawal) of Shares, or (2) possibly in other circumstances. Furthermore, a Fund&#8217;s material advisors could be required to maintain a list of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">persons investing in that Fund pursuant to the Code. While the tax shelter disclosure rules generally do not apply to a loss recognized on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">disposition of an asset in which the taxpayer has a qualifying basis (generally a basis equal to the amount of cash paid by the taxpayer for such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">asset), such rules will apply to a taxpayer recognizing a loss with respect to interests in a pass-through entity (such as the Shares) even if its basis </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in such interests is equal to the amount of cash it paid. In addition, significant penalties may be imposed in connection with a failure to comply </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with these reporting requirements. U.S. Shareholders are urged to consult their tax advisors regarding the tax shelter disclosure rules and their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">possible application to them.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">U.S. Shareholders should consult their own tax advisors regarding any tax reporting or filing obligations they may have as a result of their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">acquisition, ownership or disposition of Shares.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Non-U.S. Shareholders</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Except as described below, each Fund anticipates that a non-U.S. Shareholder will not be subject
to U.S. federal income tax on such </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholder&#8217;s distributive share of a Fund&#8217;s income, provided that such income is not considered to be income of the
shareholder that is </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">effectively connected with the conduct of a trade or business within the United States. The Funds have not sought a ruling from the IRS or an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">opinion of counsel as to whether they will be engaged in the conduct of a trade or business within the United States, but there are no assurances </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that the IRS will agree with the Funds&#8217; determination in this regard. In the case of an individual non-U.S. Shareholder, such shareholder will be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">subject to U.S. federal income tax on gains on the sale of Shares in a Fund&#8217;s or such shareholder&#8217;s distributive share of capital gains if such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholder is present in the United States for 183 days or more during a taxable year and certain other conditions are met.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If the income from a Fund is &#8220;effectively connected&#8221; with a U.S. trade or business
carried on by a non-U.S. Shareholder (and, if certain </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">income tax treaties apply, is attributable to a U.S. permanent establishment), then such shareholder&#8217;s share of
any income and any gains realized </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">upon the sale or exchange of Shares will be subject to U.S. federal income tax at the graduated rates applicable to U.S. citizens and
residents and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">domestic corporations. Non-U.S. Shareholders that are corporations may also be subject to a 30% U.S. branch profits tax (or lower treaty rate, if </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">applicable) on their effectively connected earnings and profits that are not timely reinvested in a U.S. trade or business. If a Fund has any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;effectively connected income,&#8221; then the purchaser or transferee of Shares would be generally required to withhold a 10% tax on the &#8220;amount </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">realized&#8221; by the non-U.S. Shareholder on the sale or exchange of Shares, unless the transferor certifies that it is not a non-U.S. person. However, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the U.S. Department of the Treasury and the IRS have suspended these rules for transfers of certain publicly traded partnership interests, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including transfers of our common units, that occur before January 1, 2023. Such withholding will be required on open market transactions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">occurring on or after January 1, 2023, but in the case of a transfer made through a broker, the obligation to withhold is generally imposed on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transferor&#8217;s broker.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">To the extent any interest income allocated to a non-U.S. Shareholder is considered &#8220;portfolio interest,&#8221; generally neither the allocation of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">such interest income to the non-U.S. Shareholder nor a subsequent distribution of such interest income to the non-U.S. Shareholder will be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">subject to withholding, provided that the non-U.S. Shareholder is not otherwise engaged in a trade or business in the United States and provides </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the relevant Fund with a timely and properly completed and executed IRS Form W-8BEN, Form W-8BEN-E or other applicable form. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">general, &#8220;portfolio interest&#8221; is interest paid on debt obligations issued in registered form, unless the &#8220;recipient&#8221; owns 10% or more of the voting </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">power of the issuer.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-94</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_17">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Non-U.S. Shareholders that are individuals will be subject to U.S. federal estate tax on the value of U.S. situs property owned at the time </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of their death (unless a statutory exemption or tax treaty exemption applies). It is unclear whether partnership interests such as the Shares will be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">considered U.S. situs property. Accordingly, non-U.S. Shareholders may be subject to U.S. federal estate tax on all or part of the value of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Shares owned at the time of their death.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Non-U.S. Shareholders are advised to consult their own tax advisors with respect to the particular tax consequences to them of an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment in the Shares.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Foreign Account Tax Compliance</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Foreign Account Tax Compliance provisions of the Hiring Incentives to Restore
Employment Act (&#8220;FATCA&#8221;) generally impose a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">reporting and 30% withholding tax regime with respect to certain items of U.S. source income (including dividends
and interest) (&#8220;Withholdable </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Payments&#8221;). While the 30% withholding tax would have applied also to payments of gross proceeds from the sale or other disposition
on or after </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">January 1, 2019 of property that would give rise to U.S. source interest or dividends, proposed Regulations eliminate such withholding on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">payments of gross proceeds entirely. The U.S. Treasury Department has indicated that taxpayers may rely on these proposed Regulations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pending their finalization. As a general matter, the rules are designed to require U.S. persons&#8217; direct and indirect ownership of non-U.S. accounts </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and non-U.S. entities to be reported to the IRS. The 30% withholding tax regime applies if there is a failure to provide required information </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">regarding U.S. ownership. The withholding rules generally apply to Withholdable Payments.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The rules may subject a non-U.S. Shareholder&#8217;s share of Withholdable Payments received by a Fund to 30% withholding tax unless such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholder provides information, representations and waivers of non-U.S. law as may be required to comply with the provisions of the rules, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including information regarding certain U.S. direct and indirect owners of such non-U.S. Shareholder. A non-U.S. Shareholder that is treated as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a &#8220;foreign financial institution&#8221; will generally be subject to withholding unless it agrees to report certain information to the IRS regarding its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. accountholders and those of its affiliates.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Prospective shareholders should consult their own advisors regarding the requirements under FATCA with respect to their own situation.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Regulated Investment Companies</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The treatment of a RIC&#8217;s investment in a Fund will depend, in part, on whether a Fund is classified as a qualified publicly traded </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">partnership within the meaning of Section 851(h) of the Code (a &#8220;qualified PTP&#8221;). RICs are only allowed to invest up to 25% of their assets in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">qualified PTPs and to treat gross income and gross gains derived from such investments as qualifying income for purposes of certain rules </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relevant to determining whether an entity qualifies as a RIC. A RIC is not required to look through to the underlying qualified PTP&#8217;s assets </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">when testing compliance with certain asset diversification or gross income tests applicable to determining whether an entity qualified as a RIC. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">A RIC, however, may be required to look through a qualified publicly traded partnership when testing compliance with the asset diversification </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">tests. A RIC will also be required to look through corporations in which the RIC owns a 20% or more voting stock interest in determining </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">whether a RIC has invested up to 25% of its assets in qualified PTPs, including other issuers, when testing compliance with the asset </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">diversification tests applicable to RICs under the Code. On the other hand, an investment by a RIC in a publicly traded partnership that is not a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">qualified PTP is not counted against the 25% limit on a RIC&#8217;s investments in qualified PTPs and the RIC is treated as earning its proportionate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">share of the partnership&#8217;s gross income and gross gains for purposes of the asset and income tests relevant to determining whether an entity </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">qualifies as a RIC.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">It is intended that the VIX Futures Fund, the Natural Gas Funds, and the Precious Metals Funds
are and will continue to be qualified PTPs </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for any taxable year in which such a Fund realizes sufficient gross income from its commodity futures transactions. However,
qualification of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">such Funds as qualified PTPs depends on performance of a Fund for the particular tax year and there is no assurance that it will qualify in a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">given year or that future results of a Fund will conform to prior experience. In addition, there is, to date, no regulatory guidance on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">application of these rules, and it is possible that future guidance may adversely affect qualification of such a Fund as a qualified PTP. RIC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investors are urged to monitor their investment in such Funds and consult with a tax advisor concerning the impact of such an investment on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">their compliance with the income source and asset diversification requirements applicable to RICs.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">It is intended that the Currency Funds are not and will not be qualified PTPs. Prospective RIC investors should consult a tax advisor </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">regarding the treatment of an investment in a Fund under current tax rules and in light of their particular circumstances. Under current </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-95</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_18"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">interpretation of the RIC qualification rules, a
RIC&#8217;s allocable share of income from a Currency Fund is expected to be treated as qualifying </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">income. The U.S. Treasury has specific statutory authority to promulgate
regulations excluding from the definition of qualifying income foreign </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">currency gains which are not directly related to a RIC&#8217;s principal business of investing in
stock or securities (or options and futures with respect </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to stock or securities), although to date no such regulations have been issued or proposed. RIC investors in a
Currency Fund face a risk that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">future Regulations will recharacterize foreign currency gains received by them as non-qualifying income and be retroactive in application.
In </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">addition, because most RICs test their compliance under the RIC asset diversification test by looking through partnerships such as the Currency </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Funds, there is a risk that a RIC that invests in the Currency Funds could fail to satisfy the applicable asset diversification tests. RIC investors </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">are urged to monitor their investment in the Currency Funds and consult with their tax advisor concerning the impact of such an investment on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">their compliance with the income source and asset diversification requirements applicable to RICs.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Tax-Exempt Organizations</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">An organization that is otherwise exempt from U.S. federal income tax is
nonetheless subject to taxation with respect to its &#8220;unrelated </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">business taxable income,&#8221; (&#8220;UBTI&#8221;), to the extent that its UBTI from all sources
exceeds $1,000 in any taxable year. Except as noted below with </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">respect to certain categories of exempt income, UBTI generally includes income or gain derived (either
directly or through a partnership) from a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">trade or business, the conduct of which is substantially unrelated to the exercise or performance of the organization&#8217;s
exempt purpose or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">function. UBTI is computed separately with respect to each trade or business of a tax-exempt entity. However, a tax-exempt investor may, if a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund has multiple unrelated trades or businesses, aggregate its UBTI, deductions and losses in respect of such trades or businesses to the extent </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its interest in the Fund meets either a de minimis test (generally, if the tax-exempt investor owns no more than 2% of the Fund&#8217;s capital and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">profits) or a participation test (generally, if the tax-exempt investor owns no more than 20% of the Fund&#8217;s capital and does not significantly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">participate in the Fund). Additionally, a tax-exempt investor may be permitted to treat certain investment activities (e.g., its investment in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund as well as other similar investments) as a single trade or business and thus permit gross income, deductions and losses with respect to such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment activities to be aggregated for purposes of calculating UBTI.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBTI generally does not include passive investment income, such as dividends, interest and capital gains, whether realized by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">organization directly or indirectly through a partnership (such as the Funds) in which it is a partner. This type of income is exempt, subject to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">discussion of &#8220;unrelated debt-financed income&#8221; below, even if it is realized from securities-trading activity that constitutes a trade or business.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBTI includes not only trade or business income or gain as described above, but also
&#8220;unrelated debt-financed income.&#8221; This latter type </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of income generally consists of (1) income derived by an exempt organization (directly or through a
partnership) from income producing </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">property with respect to which there is &#8220;acquisition indebtedness&#8221; at any time during the taxable year and (2) gains derived
by an exempt </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">organization (directly or through a partnership) from the disposition of property with respect to which there is acquisition indebtedness at any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">time during the twelve-month period ending with the date of the disposition. Each Fund does not expect to incur a significant amount of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">acquisition indebtedness with respect to its assets.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">To the extent a Fund recognizes gain from property with respect to which there is &#8220;acquisition indebtedness,&#8221; the portion of the gain that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">will be treated as UBTI will be equal to the amount of the gain multiplied by a fraction, the numerator of which is the highest amount of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;acquisition indebtedness&#8221; with respect to the property during the twelve-month period ending with the date of their disposition, and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">denominator of which is the &#8220;average amount of the adjusted basis&#8221; of the property during the period that such property is held by a Fund during </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the taxable year. In determining the unrelated debt-financed income of a Fund, an allocable portion of deductions directly connected with a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s debt-financed property will be taken into account. In making such a determination, for instance, a portion of losses from debt-financed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities (determined in the manner described above for evaluating the portion of any gain that would be treated as UBTI) would offset gains </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">treated as UBTI. Any tax-exempt shareholder that recognizes UBTI will be required to compute such UBTI separately for each line of unrelated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">business if such shareholder has more than one unrelated trade or business. A charitable remainder trust is subject to a 100% federal excise tax </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on any UBTI that it earns; in view of the potential for UBTI, the Shares may not be a suitable investment for a charitable remainder trust.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Certain tax-exempt shareholders that are private educational institutions will be subject to a
1.4% excise tax on their net investment</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> income.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-96</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_5e455e80-bef3-41f7-a296-98b379e95734_19"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Certain State and Local Taxation Matters</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Prospective shareholders should consider, in addition to the U.S. federal income tax consequences described above, the potential state and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">local tax consequences of investing in the Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">State and local laws often differ from U.S. federal income tax laws with respect to the treatment of specific items of income, gain, loss, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">deduction and credit. A shareholder&#8217;s distributive share of the taxable income or loss of a Fund generally will be required to be included in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">determining the shareholder&#8217;s reportable income for state and local tax purposes in the jurisdiction in which the shareholder is a resident. A </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund may conduct business in one or more jurisdictions that will subject a shareholder to tax (and require a shareholder to file an income tax </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">return with the jurisdiction with respect to the shareholder&#8217;s share of the income derived from that business). A prospective shareholder should </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consult its tax advisor with respect to the availability of a credit for such tax in the jurisdiction in which the shareholder is resident.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Backup Withholding</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In certain circumstances, shareholders may be subject to backup withholding on certain payments paid to them if they do not establish </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that they are exempt from the backup withholding rules or if they do not furnish their correct taxpayer identification number (in the case of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">individuals, their social security number) and certain certifications, or who are otherwise subject to backup withholding. Backup withholding is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">not an additional tax. Any amounts withheld from payments made to an investor may be refunded or credited against an investor&#8217;s U.S. federal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">income tax liability, if any, provided that the required information is furnished to the IRS.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Shareholders should be aware that certain aspects of the U.S. federal, state and local income tax treatment regarding the purchase, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ownership and disposition of Shares are not clear under existing law. Thus, shareholders are urged to consult their own tax advisors to determine </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the tax consequences of ownership of the Shares in their particular circumstances, including the application of U.S. federal, state, local and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">foreign tax laws.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Euroclear System</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Any participant of the Euroclear System that holds Shares in the Euroclear System will be deemed
to have represented to and agreed with </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Funds and Euroclear Bank as a condition to Shares being in the Euroclear System to furnish to the Euroclear Bank (a) its tax
identification </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">number, (b) notice of whether it is (i) a person who is not a United States person, (ii) a foreign government, an international organization or any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">wholly owned agency or instrumentality of either of the foregoing or (iii) a tax exempt identity, and (c) such other information as the Euroclear </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bank may request from time to time in order to comply with its United States tax reporting obligations. If a participant in the Euroclear System </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">fails to provide such information, Euroclear Bank may, amongst other courses of action, block trades in the Shares and related income </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">distributions of such participant.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-97</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_e3536362-ecd5-4014-89e5-f4dec0067f29_1">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PART TWO:</font></div> <div style="line-height:11.0pt;margin-top:3.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">GENERAL POOL DISCLOSURE</font></div> <div style="line-height:11.0pt;margin-top:7pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">This Prospectus has two parts: the offered series disclosure and the general pool disclosure. These parts are bound together and are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">incomplete if not distributed together to prospective participants.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-98</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_1"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:13.0pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PERFORMANCE OF THE OTHER COMMODITY POOLS</font> <br><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">OPERATED BY THE COMMODITY POOL OPERATOR</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">The following performance information is presented in accordance with CFTC regulations. The performance of each Fund will differ </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">materially from the performance of the following commodity pools operated by the Sponsor (the &#8220;Other Funds&#8221;) which is included herein. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">performance of the Other Funds which is summarized herein is materially different from the Funds and the past performance summaries of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Other Funds below are generally not representative of how the Funds might perform in the future.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">All summary performance information is as of November 30, 2021, except as noted. Performance information is set forth, in accordance </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with CFTC regulations, since each Fund&#8217;s inception of
trading.</font><font style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Short VIX Short-Term Futures ETF</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October 3, 2011</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$14,117,045,679</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$457,637,303</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$343,736,136</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$53.84</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-89.59% (February 2018)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-93.91% (December 2017-March 2020)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:9pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.29%;margin-right:8.29%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.72%;margin-right:49.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-22.30%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">29.23%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.82%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">13.90%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.78%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.91%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.58%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.35%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-89.59%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.11%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-17.55%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.24%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">37.26%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.69%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.11%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.17%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-39.79%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">16.42%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.22%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.04%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.43%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.59%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.11%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.70%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">20.79%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.44%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.45%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.42%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.76%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.11%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-20.28%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.53%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.86%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.13%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.93%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.23%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">32.73%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.75%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.40%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.47%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.92%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.42%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.27%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.55%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.03%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.81%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.36%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.77%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.33%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">16.54%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.56%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.05%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.96%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.92%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.36%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.64%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-18.15%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.63%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.62%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">13.03%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.32%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.39%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.39%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.89%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">22.61%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.52%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.55%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">13.56%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.11%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.84%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.12%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">79.54%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">179.12%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-91.68%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">54.92%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-36.89%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">30.02%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Ultra Bloomberg Crude Oil</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;position:relative;top:-2.75pt;">&#8224;</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November 24, 2008</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$16,052,404,815</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$1,255,706,413</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$950,647,565</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$67.85</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-85.06% (March 2020)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-99.94% (Inception -April 2020)</font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-99</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_2"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:9pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.72%;margin-right:49.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-24.75%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.28%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.44%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">37.17%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-28.51%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.58%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.75%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.10%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.64%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.52%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-26.25%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">35.90%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.14%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.18%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.06%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.71%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-85.06%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.74%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">31.14%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.77%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.67%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.78%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-63.40%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.07%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.78%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.09%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.72%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-30.81%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">70.27%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.69%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.05%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.82%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.42%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">16.85%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.42%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">20.06%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-28.95%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">16.64%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.52%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.54%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.91%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.83%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.10%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.36%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.71%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.95%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.49%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.33%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.46%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">15.62%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.19%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.39%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.36%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.09%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.66%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.73%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-20.14%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.73%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-20.52%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.45%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.48%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.15%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-40.66%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.59%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">42.35%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-29.81%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.93%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.42%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-22.95%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">22.63%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.90%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.23%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.42%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-44.82%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">55.99%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-92.86%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:39.00%;"> <div style="line-height:11pt;"> <div style="margin-left:20.63%;margin-right:1.96%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">86.49%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Ultra Gold</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December 1, 2008</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$969,593,689</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$211,517,983</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$217,361,732</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$56.46</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-14.67% (November 2016)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-70.62% (August 2011 -September 2018)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:9pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.14%;margin-right:9.14%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.14%;margin-right:9.14%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.72%;margin-right:49.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.75%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.40%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.07%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.88%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.74%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.54%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">22.46%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.82%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.34%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.41%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.01%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.04%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.20%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.09%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.49%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.69%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.93%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.14%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.59%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.15%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.03%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.98%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.92%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.95%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.52%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.44%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.61%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.03%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.16%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">15.64%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">18.01%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.11%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.63%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">16.14%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.31%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.92%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.86%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.76%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.06%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.59%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.50%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.56%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.20%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.64%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.42%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.99%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.41%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.23%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.70%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.68%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.90%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.40%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.52%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.90%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.84%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.41%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.15%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.73%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.89%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.87%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.67%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.25%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.01%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.44%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.42%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.36%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.81%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.36%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.73%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.92%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.92%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.68%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">21.19%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.90%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">32.56%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">37.32%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.45%</font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-100</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_3">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Ultra Silver</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December 1, 2008</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$3,825,882,286</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$1,483,941,555</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$499,815,823</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$33.44</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-34.13% (September 2020)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-97.51% (April 2011 - March 2020)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:9pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.14%;margin-right:9.14%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.72%;margin-right:49.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.96%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.62%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.85%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.81%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.67%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.86%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.87%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.21%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.39%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.68%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-18.09%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.37%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.86%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.08%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.37%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.79%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-29.61%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.52%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">33.68%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.53%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.65%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.92%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.86%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.41%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-19.67%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.72%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.56%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.62%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">51.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">16.47%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">29.58%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.94%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.78%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.58%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.37%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.54%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.59%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.62%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.87%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.13%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">65.32%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.39%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.33%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.18%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.29%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">22.48%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">31.26%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.73%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.61%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.06%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.18%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.15%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-34.13%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.45%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.49%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.01%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.15%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.79%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.07%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.43%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.12%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.35%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.05%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.10%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.20%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.20%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.94%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.12%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.23%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.49%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">35.08%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">23.57%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.34%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-21.34%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">20.10%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">59.97%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:39.57%;"> <div style="line-height:11pt;"> <div style="margin-left:20.33%;margin-right:1.94%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.38%;"> <div style="line-height:11pt;"> <div style="margin-left:9.14%;margin-right:9.14%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-34.06%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Ultra VIX Short-Term Futures ETF</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October 3, 2011</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$27,443,632,332</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$7,662,531,394</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$917,153,016</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$20.55</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-51.67% (March 2016)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-100.00% (Inception - October 2021)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:9pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.29%;margin-right:8.29%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.72%;margin-right:49.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">34.25%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-42.60%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.20%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-35.48%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.33%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">36.42%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.64%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.29%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">48.44%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-17.46%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">58.78%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-34.87%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-51.67%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-26.86%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.39%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.08%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">165.90%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-40.58%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.26%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.79%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-20.67%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-18.62%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-27.02%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-17.77%</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-36.41%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-23.70%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.23%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">25.96%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-22.77%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-22.08%</font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-101</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_4">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:9pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.29%;margin-right:8.29%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.72%;margin-right:49.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.07%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.79%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.98%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-24.06%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.13%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-22.66%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-45.21%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-25.99%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-23.74%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.46%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-24.15%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.35%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-21.67%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.75%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.63%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.21%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.21%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-23.68%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.70%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-28.54%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.59%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-21.26%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.13%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.07%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.25%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-26.02%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">67.32%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-23.74%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.28%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-32.63%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-35.39%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.74%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.43%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-23.67%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-48.56%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">24.85%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-19.36%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-24.16%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">59.59%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.19%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.09%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-93.81%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-94.06%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">57.60%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-84.44%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.84%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-80.74%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Bloomberg Crude Oil</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;position:relative;top:-2.75pt;">&#8224;</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November 24, 2008</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$7,115,722,027</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$74,278,774</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$108,705,108</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$16.90</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-50.78% (May 2020)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-96.78% (February 2009 - October 2021)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:9pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.29%;margin-right:8.29%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.72%;margin-right:49.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.85%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.18%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.38%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-29.89%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">36.14%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.92%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.14%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.06%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.43%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.14%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">30.49%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-28.34%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-18.27%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">13.56%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.79%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">126.55%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.78%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-29.23%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.81%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.16%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.55%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.34%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.89%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.42%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.69%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.56%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">38.83%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-50.78%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.32%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.72%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.90%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.97%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-17.80%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-19.95%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-17.59%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">33.66%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.58%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.02%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.51%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.74%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.87%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.03%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.88%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.01%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.76%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.90%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.81%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.03%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.83%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.15%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.54%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.25%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.01%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.69%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.51%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">21.99%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.22%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">18.70%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.75%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.39%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.56%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">56.22%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.59%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-33.10%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">29.46%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.41%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.59%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">15.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-19.44%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.00%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-52.41%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-23.30%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">22.52%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-59.07%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.76%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-63.62%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;line-height:9pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares VIX Short-Term Futures ETF</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div>
</td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January 3, 2011</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$5,024,137,090</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
November 30, 2021</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$1,334,082,950</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$360,553,193</font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-102</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_5"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool: </font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares VIX Short-Term Futures ETF</font></div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of November 30, 2021</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$20.83</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-35.26% (November 2020)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-99.96% (September 2011 - October 2021)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:9pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.29%;margin-right:8.29%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:4.72%;margin-right:49.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">19.62%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-23.72%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.70%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-24.67%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.12%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">24.81%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.01%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.32%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">47.34%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.73%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">38.55%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-23.96%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-29.41%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.98%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">9.38%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.13%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">107.86%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-28.60%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.45%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.35%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.62%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.54%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-17.16%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.87%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-19.23%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.71%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.45%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">18.61%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.30%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.59%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.63%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.18%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.11%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.49%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.69%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.18%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-25.53%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.63%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.10%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.94%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.22%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.81%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.04%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.95%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.34%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">13.97%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.91%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.95%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.60%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.03%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.58%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.19%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-6.72%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.99%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.02%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.61%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">42.86%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.80%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.88%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-22.88%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-17.88%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-5.09%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.42%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.26%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-35.26%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">19.08%</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.47%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-12.58%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">37.96%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.11%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.25%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-67.96%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-72.49%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">65.26%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-68.12%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">11.87%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:38.71%;"> <div style="line-height:11pt;"> <div style="margin-left:20.79%;margin-right:1.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:9.24%;"> <div style="line-height:11pt;"> <div style="margin-left:8.29%;margin-right:8.29%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:16.23%;"> <div style="line-height:11pt;"> <div style="margin-left:4.72%;margin-right:49.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-62.14%</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Ultra Bloomberg Commodity</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;position:relative;top:-2.75pt;">a</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November 24, 2008</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
September 1, 2016</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$57,464,446</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
September 1, 2016</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$1,435,107</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of September 1, 2016</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$&#8212;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of September 1, 2016</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$&#8212;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-10.28% (July 2016)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-84.25% (April 2011&#8212;February 2016)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:9pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.64%;margin-right:9.64%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.64%;margin-right:9.64%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.64%;margin-right:9.64%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.64%;margin-right:9.64%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:5.03%;margin-right:52.84%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.71%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.64%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.39%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.25%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.72%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.02%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.28%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.62%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-103</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_6">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:9pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.64%;margin-right:9.64%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.64%;margin-right:9.64%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.64%;margin-right:9.64%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.64%;margin-right:9.64%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:5.03%;margin-right:52.84%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14.23%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares Managed Futures Strategy</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;position:relative;top:-2.75pt;">a</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;"> </font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception Trading:</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October 1, 2014</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of March
30, 2016</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$19,699,612</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of March
30, 2016</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$7,378,135</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of March 30, 2016</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$&#8212;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of March 30, 2016</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$&#8212;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-2.42% (March 2016)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-7.96% (January 2015&#8212;March 2016)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:54.47%;"> <div style="line-height:9pt;"> <div style="margin-left:14.77%;margin-right:1.41%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.47%;margin-right:9.47%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:12.70%;margin-right:12.70%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:12.70%;margin-right:12.70%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:12.70%;margin-right:12.70%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:12.70%;margin-right:12.70%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:13.31%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:5.76%;margin-right:60.44%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:54.47%;"> <div style="line-height:11pt;"> <div style="margin-left:14.77%;margin-right:1.41%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-1.53%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:13.31%;"> <div style="line-height:11pt;"> <div style="margin-left:5.76%;margin-right:60.44%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:54.47%;"> <div style="line-height:11pt;"> <div style="margin-left:14.77%;margin-right:1.41%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.62%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.31%;"> <div style="line-height:11pt;"> <div style="margin-left:5.76%;margin-right:60.44%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:54.47%;"> <div style="line-height:11pt;"> <div style="margin-left:14.77%;margin-right:1.41%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.42%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.31%;"> <div style="line-height:11pt;"> <div style="margin-left:5.76%;margin-right:60.44%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:54.47%;"> <div style="line-height:11pt;"> <div style="margin-left:14.77%;margin-right:1.41%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.31%;"> <div style="line-height:11pt;"> <div style="margin-left:5.76%;margin-right:60.44%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:54.47%;"> <div style="line-height:11pt;"> <div style="margin-left:14.77%;margin-right:1.41%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.31%;"> <div style="line-height:11pt;"> <div style="margin-left:5.76%;margin-right:60.44%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:54.47%;"> <div style="line-height:11pt;"> <div style="margin-left:14.77%;margin-right:1.41%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.31%;"> <div style="line-height:11pt;"> <div style="margin-left:5.76%;margin-right:60.44%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:54.47%;"> <div style="line-height:11pt;"> <div style="margin-left:14.77%;margin-right:1.41%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.31%;"> <div style="line-height:11pt;"> <div style="margin-left:5.76%;margin-right:60.44%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:54.47%;"> <div style="line-height:11pt;"> <div style="margin-left:14.77%;margin-right:1.41%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.31%;"> <div style="line-height:11pt;"> <div style="margin-left:5.76%;margin-right:60.44%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:54.47%;"> <div style="line-height:11pt;"> <div style="margin-left:14.77%;margin-right:1.41%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.31%;"> <div style="line-height:11pt;"> <div style="margin-left:5.76%;margin-right:60.44%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:54.47%;"> <div style="line-height:11pt;"> <div style="margin-left:14.77%;margin-right:1.41%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.31%;"> <div style="line-height:0.5pt;"> <div style="margin-left:5.76%;margin-right:60.44%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:54.47%;"> <div style="line-height:11pt;"> <div style="margin-left:14.77%;margin-right:1.41%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.31%;"> <div style="line-height:0.5pt;"> <div style="margin-left:5.76%;margin-right:60.44%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:54.47%;"> <div style="line-height:11pt;"> <div style="margin-left:14.77%;margin-right:1.41%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.31%;"> <div style="line-height:0.5pt;"> <div style="margin-left:5.76%;margin-right:60.44%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:54.47%;"> <div style="line-height:11pt;"> <div style="margin-left:14.77%;margin-right:1.41%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:13.31%;"> <div style="line-height:11pt;"> <div style="margin-left:5.76%;margin-right:60.44%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:54.47%;"> <div style="line-height:11pt;"> <div style="margin-left:14.77%;margin-right:1.41%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.09%;"> <div style="line-height:11pt;"> <div style="margin-left:9.47%;margin-right:9.47%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.36%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:13.31%;"> <div style="line-height:11pt;"> <div style="margin-left:5.76%;margin-right:60.44%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraPro 3x Crude Oil ETF</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;position:relative;top:-2.75pt;">a</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March 24, 2017</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of April
3, 2020</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$891,992,538</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of April
3, 2020</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$376,396,221</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of April 3, 2020</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$&#8212;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of April 3, 2020</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$&#8212;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-97.33% (March 2020)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-99.67% (September 2018&#8212;March 2020)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-104</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_7">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:9pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:12.70%;margin-right:12.70%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:10.87%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:7.05%;margin-right:7.05%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:5.03%;margin-right:52.84%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:0.5pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">21.88%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">58.31%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:10.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.05%;margin-right:7.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-40.24%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:0.5pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.37%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">15.30%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.05%;margin-right:7.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-37.70%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">b</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:0.5pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">16.98%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">16.04%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.85%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.05%;margin-right:7.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-97.33%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:0.5pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.47%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.06%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">19.04%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.05%;margin-right:7.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:0.5pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-10.32%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.95%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-43.50%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.05%;margin-right:7.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:0.5pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.85%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">25.86%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">24.34%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.05%;margin-right:7.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:0.5pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">24.62%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.39%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.06%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.05%;margin-right:7.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:0.5pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.97%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.39%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-21.33%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.05%;margin-right:7.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:0.5pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">23.61%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">16.64%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-11.23%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.05%;margin-right:7.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:0.5pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.65%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-29.41%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.44%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.05%;margin-right:7.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:0.5pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">15.00%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-55.93%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.64%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.05%;margin-right:7.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:0.5pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">15.42%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-35.43%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">35.12%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.05%;margin-right:7.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:0.5pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">51.15%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-65.37%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">64.10%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:10.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.05%;margin-right:7.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:41.01%;"> <div style="line-height:11pt;"> <div style="margin-left:19.62%;margin-right:1.87%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:6.03%;"> <div style="line-height:11pt;"> <div style="margin-left:12.70%;margin-right:12.70%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:10.87%;"> <div style="line-height:11pt;"> <div style="margin-left:7.05%;margin-right:7.05%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-99.01%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraPro 3x Short Crude Oil ETF</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;position:relative;top:-2.75pt;">a</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March 24, 2017</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of April
13, 2020</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$464,876,088</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of April
13, 2020</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$(81,065,469)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of April 13, 2020</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$&#8212;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of April 13, 2020</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$&#8212;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-42.29% (January 2019)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-89.93% (June 2017&#8212;December 2019)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:42.54%;"> <div style="line-height:9pt;"> <div style="margin-left:18.91%;margin-right:1.80%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:4.21%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:18.18%;margin-right:18.18%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:11.16%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:6.87%;margin-right:6.87%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:5.03%;margin-right:52.84%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:42.54%;"> <div style="line-height:11pt;"> <div style="margin-left:18.91%;margin-right:1.80%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:4.21%;"> <div style="line-height:0.5pt;"> <div style="margin-left:18.18%;margin-right:18.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-19.72%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-42.29%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:11.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.87%;margin-right:6.87%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">57.34%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.54%;"> <div style="line-height:11pt;"> <div style="margin-left:18.91%;margin-right:1.80%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.21%;"> <div style="line-height:0.5pt;"> <div style="margin-left:18.18%;margin-right:18.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:0.5pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.44%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.88%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.87%;margin-right:6.87%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">47.11%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.54%;"> <div style="line-height:11pt;"> <div style="margin-left:18.91%;margin-right:1.80%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">b</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.21%;"> <div style="line-height:0.5pt;"> <div style="margin-left:18.18%;margin-right:18.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.37%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-17.91%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-13.66%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.87%;margin-right:6.87%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">84.56%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.54%;"> <div style="line-height:11pt;"> <div style="margin-left:18.91%;margin-right:1.80%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.21%;"> <div style="line-height:0.5pt;"> <div style="margin-left:18.18%;margin-right:18.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">8.31%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-18.40%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-18.72%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.87%;margin-right:6.87%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.54%;"> <div style="line-height:11pt;"> <div style="margin-left:18.91%;margin-right:1.80%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.21%;"> <div style="line-height:0.5pt;"> <div style="margin-left:18.18%;margin-right:18.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.69%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.79%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">61.35%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.87%;margin-right:6.87%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.54%;"> <div style="line-height:11pt;"> <div style="margin-left:18.91%;margin-right:1.80%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.21%;"> <div style="line-height:0.5pt;"> <div style="margin-left:18.18%;margin-right:18.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.44%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-25.26%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-26.77%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.87%;margin-right:6.87%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.54%;"> <div style="line-height:11pt;"> <div style="margin-left:18.91%;margin-right:1.80%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.21%;"> <div style="line-height:0.5pt;"> <div style="margin-left:18.18%;margin-right:18.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-24.62%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.74%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-4.90%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.87%;margin-right:6.87%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.54%;"> <div style="line-height:11pt;"> <div style="margin-left:18.91%;margin-right:1.80%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.21%;"> <div style="line-height:0.5pt;"> <div style="margin-left:18.18%;margin-right:18.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">12.49%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.50%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7.38%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.87%;margin-right:6.87%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.54%;"> <div style="line-height:11pt;"> <div style="margin-left:18.91%;margin-right:1.80%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.21%;"> <div style="line-height:0.5pt;"> <div style="margin-left:18.18%;margin-right:18.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-21.91%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-16.69%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.78%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.87%;margin-right:6.87%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.54%;"> <div style="line-height:11pt;"> <div style="margin-left:18.91%;margin-right:1.80%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.21%;"> <div style="line-height:0.5pt;"> <div style="margin-left:18.18%;margin-right:18.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-14.52%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">33.47%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-3.92%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.87%;margin-right:6.87%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.54%;"> <div style="line-height:11pt;"> <div style="margin-left:18.91%;margin-right:1.80%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.21%;"> <div style="line-height:0.5pt;"> <div style="margin-left:18.18%;margin-right:18.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.95%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">90.61%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-9.40%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.87%;margin-right:6.87%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.54%;"> <div style="line-height:11pt;"> <div style="margin-left:18.91%;margin-right:1.80%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.21%;"> <div style="line-height:0.5pt;"> <div style="margin-left:18.18%;margin-right:18.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.95%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">19.22%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-28.09%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.87%;margin-right:6.87%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:42.54%;"> <div style="line-height:11pt;"> <div style="margin-left:18.91%;margin-right:1.80%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:4.21%;"> <div style="line-height:0.5pt;"> <div style="margin-left:18.18%;margin-right:18.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-57.67%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17.63%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-78.59%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:11.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.87%;margin-right:6.87%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:42.54%;"> <div style="line-height:11pt;"> <div style="margin-left:18.91%;margin-right:1.80%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:4.21%;"> <div style="line-height:0.5pt;"> <div style="margin-left:18.18%;margin-right:18.18%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:11.16%;"> <div style="line-height:11pt;"> <div style="margin-left:6.87%;margin-right:6.87%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">327.18%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-105</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_8">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.87%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name of Pool:</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.13%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:2.44%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">ProShares UltraShort Bloomberg Commodity</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;position:relative;top:-2.75pt;">a</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </div> </td> </tr>
<tr style="height:12pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Type of Pool:</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Public, Exchange-listed Commodity Pool</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Date of Inception of Trading:</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November 24, 2008</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Gross Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">1</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
September 1, 2016</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$95,173,249</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Aggregate Net Capital
Subscriptions</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">2</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of
September 1, 2016</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$1,803,800</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value as of September 1, 2016</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$&#8212;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value per Share</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">3</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;"> as of September 1, 2016</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">$&#8212;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Monthly Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">4</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-15.82% (April 2016)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:52.87%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:2.17%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Worst Peak-to-Valley Loss:</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;margin-left:0.0%;position:relative;top:-3.75pt;">5</font>
<div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Top;width:47.13%;"> <div style="line-height:11pt;"> <div style="margin-left:2.44%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">-29.14% (February 2016&#8212;June 2016)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:3.5pt;padding-top:3.5pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:9pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Rate of Return:</font><font
style="color:#000000;font-family:Times New Roman;font-size:4.5pt;font-weight:bold;margin-left:0.0%;position:relative;top:-2.75pt;">6</font> <div style="clear:both;font-size:12pt;"> </div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:8.56%;margin-right:8.56%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2016</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.64%;margin-right:9.64%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2017</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.64%;margin-right:9.64%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2018</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.64%;margin-right:9.64%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2019</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:9.64%;margin-right:9.64%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2020</font></div> </div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:10.0pt;">
<div style="border-bottom:0.5pt solid #000000;margin-left:5.03%;margin-right:52.84%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">2021</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">January</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.68%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:3.5pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">February</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.49%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">March</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-7.86%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">April</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-15.82%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">May</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-0.22%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">June</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-8.44%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">July</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10.33%</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">August</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-2.25%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">September</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">October</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">November</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">December</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:0.5pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&nbsp;</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Annual</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:44.03%;"> <div style="line-height:11pt;"> <div style="margin-left:18.27%;margin-right:1.74%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Year-to-Date</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:8.95%;"> <div style="line-height:11pt;"> <div style="margin-left:8.56%;margin-right:8.56%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">-19.58%</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:7.95%;"> <div style="line-height:11pt;"> <div style="margin-left:9.64%;margin-right:9.64%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:3pt;padding-top:2pt;vertical-align:Bottom;width:15.23%;"> <div style="line-height:11pt;"> <div style="margin-left:5.03%;margin-right:52.84%;text-align:right;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">N/A</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">See accompanying Footnotes to Performance Information.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Footnotes to Performance Information</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div> <div style="clear:both;margin-top:7pt;position:relative;"> <div style="float:left;line-height:11pt;text-align:left;width:48pt;"> <hr style="background-color:#000000;height:0.5pt;margin-left:0%;text-align:left;width:48pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a.</font></div> <div style="float:left;line-height:11pt;text-align:left;width:469.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">ProShares Managed
Futures Strategy, ProShares Ultra Bloomberg Commodity, ProShares UltraPro 3x Crude Oil ETF, ProShares UltraPro </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">3x Short Crude Oil ETF, and ProShares UltraShort Bloomberg
Commodity were terminated on March 30, 2016, September 1, 2016, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">April 3, 2020, April 13, 2020, and September 1, 2016, respectively and are no longer in
operations.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:6pt;position:relative;"> <div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">b.</font></div>
<div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Represents rate of return from inception to March 31, 2017, as the inception of
trading date for the pool was after March 1, 2017.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:6pt;position:relative;">
<div style="float:left;line-height:11pt;text-align:left;width:4.5pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8224;</font></div>
<div style="float:left;line-height:11pt;margin-left:13.5pt;text-align:left;width:499.0pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">As of June 30, 2020 the Fund&#8217;s benchmark was the Bloomberg WTI Crude Oil
Subindex</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">SM</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">. The Fund changed its benchmark from the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Prior Oil Benchmark to the New Oil Index on September 17, 2020.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div>
<div style="clear:both;margin-top:6pt;position:relative;"> <div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">1.</font></div>
<div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Aggregate Gross Capital Subscriptions&#8221; is the aggregate of all amounts
ever contributed to the pool, including those of investors who subsequently</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> redeemed their investments.</font></div> </div> <div style="clear:both;position:relative;">
</div> </div> <div> <div style="clear:both;margin-top:6pt;position:relative;"> <div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2.</font></div>
<div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Aggregate Net Capital Subscriptions&#8221; is the aggregate of all amounts
ever contributed to the pool, excluding those of investors who subsequently</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> redeemed their investments.</font></div> </div> <div style="clear:both;position:relative;">
</div> </div> <div> <div style="clear:both;margin-top:6pt;position:relative;"> <div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">3.</font></div>
<div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Net Asset Value per Share&#8221; is the net asset value, based on the pricing
policies of the Trust and determined in accordance with GAAP, of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the pool divided by the total number of Shares outstanding as of November 30, 2021. Please see
&#8220;Description of the Shares; The Funds; Certain</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Material Terms of the Trust Agreement&#8212;Net Asset Value (NAV)&#8221; for additional information regarding the
pricing policies of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Trust.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-106</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_9"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div> <div style="clear:both;position:relative;"> <div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.</font></div>
<div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Worst Monthly Loss&#8221; is the largest single month loss sustained during
the most recent five calendar years and year-to-date (or since inception</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> of the Fund, if the Fund has had less than five calendar years of performance), expressed as a
percentage. &#8220;Loss&#8221; as used in this section </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Prospectus means losses experienced by the relevant pool over the specified period and is calculated on a
rate of return basis, i.e., </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dividing net performance by beginning equity. Loss is measured on the basis of monthly returns only, and does not reflect intra-month</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> figures.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:6pt;position:relative;">
<div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">5.</font></div>
<div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Worst Peak-to-Valley Loss&#8221; is the largest percentage decline in Net
Asset Value per Share over the most recent five calendar years and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">year-to-date (or since inception of the Fund, if the Fund has had less than five calendar years of
performance). This need not be a continuous </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">decline, but can be a series of positive and negative returns where the negative returns are larger than the positive returns.
Worst Peak-to-Valley</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Loss represents the greatest percentage decline from any month-end Net Asset Value per Share that occurs without such month-end </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Net Asset Value per Share being equaled or exceeded as of a subsequent month-end. A Peak-to-Valley loss that begins prior to the beginning</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> of the most recent five calendar years and ends within the most recent five calendar year period is deemed to have occurred during such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">five calendar year period.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:6pt;position:relative;">
<div style="float:left;line-height:11pt;text-align:left;width:6.75pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">6.</font></div>
<div style="float:left;line-height:11pt;margin-left:11.25pt;text-align:left;width:499.00pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Based on the latest calculated net asset value, as applicable to creations and
redemptions of Creation Units, with respect to each period.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">USE OF PROCEEDS</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund seeks to use substantially all of the proceeds of the offering of Shares of the Funds to make portfolio investments in a manner </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consistent with its investment objective. Each Fund also holds cash or cash equivalents such as U.S. Treasury securities or other high credit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">quality, short-term fixed-income or similar securities (such as shares of money market funds) as collateral for Financial Instruments and pending </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment in Financial Instruments. To the extent that the Funds do not invest the proceeds of the offering of the Shares in the manner </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">described above on the day such proceeds are received, such proceeds may be deposited with the Custodian.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor, a registered commodity pool operator, is responsible for the cash management activities of the Funds, including investing in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cash equivalents that may be used as margin for the applicable Fund&#8217;s portfolio holdings.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">WHO MAY SUBSCRIBE</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Only Authorized Participants may create or redeem Creation Units. Each Authorized Participant must (1) be a registered broker-dealer or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other securities market participant such as a bank or other financial institution which is not required to register as a broker-dealer to engage in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities transactions, (2) be a participant in DTC, and (3) have entered into an agreement with the Trust and the Sponsor (an Authorized </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Participant Agreement).</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">CREATION AND REDEMPTION OF SHARES</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund creates and redeems Shares from time to time, but only in large blocks of Shares known as &#8220;Creation Units&#8221;, each of which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consists of 50,000 Shares (25,000 Shares with respect to the VIX Futures Fund). Except when aggregated in Creation Units, the Shares are not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">redeemable securities.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The manner by which Creation Units are purchased and redeemed is governed by the terms of the Authorized Participant Agreement and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authorized Participant Procedures Handbook, and all such procedures are at the discretion of the Sponsor. By placing a purchase order, an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authorized Participant agrees to deposit cash with the Custodian of the Funds (unless as provided otherwise in this Prospectus).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If permitted by the Sponsor in its sole discretion with respect to a Fund, an Authorized
Participant may also agree to enter into or arrange </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for an exchange of a futures contract for related position (&#8220;EFCRP&#8221;) or block trade with the relevant Fund
whereby the Authorized Participant </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts on the purchase order date. Similarly, the Sponsor in its sole discretion may agree with an Authorized Participant to use an EFCRP to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">effect an order to redeem Creation Units.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">An EFCRP is a technique permitted by the rules of certain futures exchanges that, as utilized by a Fund in the Sponsor&#8217;s discretion, would </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">allow such Fund to take a position in a futures contract from an Authorized Participant, or give futures contracts to an Authorized Participant, in </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-107</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_10"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the case of a redemption, rather than to enter the
futures exchange markets to obtain such a position. An EFCRP by itself will not change either </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">party&#8217;s net risk position materially. Because the futures position that
a Fund would otherwise need to take in order to meet its investment </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">objective can be obtained without unnecessarily impacting the financial or futures markets or their
pricing, EFCRPs can generally be viewed as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions beneficial to a Fund. A block trade is a technique that permits certain Funds to obtain a futures position without
going through the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">market auction system and can generally be viewed as a transaction beneficial to the Fund.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Authorized Participants pay a fixed transaction fee of up to $250 in connection with each order
to create or redeem a Creation Unit in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">order to compensate BNYM, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in
processing </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">also may pay a variable transaction fee to the Funds of up to 0.10% (and a variable transaction fee to the VIX Futures Fund of 0.05%) of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The form of Authorized Participant Agreement and the related Authorized Participant Procedures
Handbook set forth the procedures for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the creation and redemption of Creation Units and for the payment of cash required for such creations and redemptions. The Sponsor
may </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">delegate its duties and obligations under the form of Authorized Participant Agreement to SEI or the Administrator without consent from any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholder or Authorized Participant. The form of Authorized Participant Agreement, the related procedures attached thereto and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authorized Participant Procedures Handbook may be amended by the Sponsor without the consent of any shareholder or Authorized Participant. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authorized Participants who purchase Creation Units from the Funds receive no fees, commissions or other form of compensation or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inducement of any kind from either the Sponsor or the Funds, and no such person has any obligation or responsibility to the Sponsor or the Fund </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to effect any sale or resale of Shares.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Authorized Participants are cautioned that some of their activities may result in their being deemed participants in a distribution in a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">manner which would render them statutory underwriters and subject them to the prospectus delivery and liability provisions of the 1933 Act, as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">described in &#8220;Plan of Distribution.&#8221;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Authorized Participant must be registered as a broker-dealer under the 1934 Act and
regulated by the Financial Industry Regulatory </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authority (&#8220;FINRA&#8221;), or exempt from being, or otherwise not required to be, so regulated or registered, and must
be qualified to act as a broker </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or dealer in the states or other jurisdictions where the nature of its business so requires. Certain Authorized Participants may be
regulated under </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">federal and state banking laws and regulations. Each Authorized Participant must have its own set of rules and procedures, internal controls and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">information barriers as it determines is appropriate in light of its own regulatory regime.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Authorized Participants may act for their own accounts or as agents for broker-dealers, custodians and other securities market participants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that wish to create or redeem Creation Units.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Persons interested in purchasing Creation Units should contact the Sponsor or the Administrator to obtain the contact information for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authorized Participants. Shareholders who are not Authorized Participants are only able to redeem their Shares through an Authorized</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Participant.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to the Authorized Participant Agreement, the Sponsor agreed to indemnify the Authorized
Participants against certain liabilities, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">including liabilities under the 1933 Act, and to contribute to the payments the Authorized Participants may be required to make
in respect of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">those liabilities.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The following description of the procedures for the creation and redemption of Creation Units is only a summary and an investor should </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">refer to the relevant provisions of the Trust Agreement and the form of Authorized Participant Agreement for more detail. The Trust Agreement </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the form of Authorized Participant Agreement are filed as exhibits to the Registration Statement of which this Prospectus is a part.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Creation Procedures</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On any Business Day (as defined below), an Authorized Participant may place an order with the Distributor to create one or more </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Creation Units. For purposes of processing both purchase and redemption orders, a &#8220;Business Day&#8221; for each Fund means any day on which the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">NAV of such Fund is determined.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-108</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_11">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Purchase orders must be placed by the cut-off time shown above in the Summary section titled &#8220;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Creation and Redemption Transactions</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">.&#8221; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The cut-off time may be earlier if, for example, the Exchange or other exchange material to the valuation or operation of such Fund closes </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">before the cut-off time. If a purchase order is received prior to the applicable cut-off time, the day on which SEI receives a valid purchase order </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is the purchase order date. If the purchase order is received after the applicable cut-off time, the purchase order date will be the next business </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">day. Purchase orders are irrevocable. By placing a purchase order, and prior to delivery of such Creation Units, an Authorized Participant&#8217;s DTC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">account will be charged the non-refundable transaction fee due for the purchase order.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Determination of Required Payment</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The total payment required to create each Creation Unit is the NAV of a block of
Shares, each of which consists of 50,000 Shares (25,000 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Shares with respect to the VIX Futures Fund), on the purchase order date plus the applicable transaction
fee.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Delivery of Cash</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Cash required for settlement will typically be transferred to the Custodian through: (1) the Continuous Net Settlement (&#8220;CNS&#8221;) clearing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">process of NSCC, as such processes have been enhanced to effect creations and redemptions of Creation Units; or (2) the facilities of DTC on a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Delivery Versus Payment (&#8220;DVP&#8221;) basis, which is the procedure in which the buyer&#8217;s payment for securities is due at the time of delivery. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Security delivery and payment are simultaneous. If the Custodian does not receive the cash by the market close on the first Business Day </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">following the purchase order date (&#8220;T+1&#8221;), such order may be charged interest for delayed settlement or cancelled. The Sponsor reserves the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">right to extend the deadline for the Custodian to receive the cash required for settlement up to the second Business Day following the purchase </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">order date (&#8220;T+2&#8221;). In the event a purchase order is cancelled, the Authorized Participant will be responsible for reimbursing the Fund for all </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">costs associated with cancelling the order including costs for repositioning the portfolio. At its sole discretion, the Sponsor may agree to a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">delivery date other than T+2. Additional fees may apply for special settlement. The Creation Unit will be delivered to the Authorized Participant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">upon the Custodian&#8217;s receipt of the purchase amount.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Delivery of Exchange of Futures Contract for Related Position (&#8220;EFCRP&#8221;) Futures Contracts or Block Trades</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the event that the Sponsor shall have determined to permit the Authorized Participant to transfer futures contracts pursuant to an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">EFCRP or to engage in a block trade purchase of futures contracts from the Authorized Participant with respect to a Fund, as well as to deliver </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cash, in the creation process, futures contracts required for settlement must be transferred directly to the Fund&#8217;s account at its FCM. If the cash is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">not received by the market close on the second Business Day following the purchase order date (T+2); such order may be charged interest for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">delayed settlements or cancelled. In the event a purchase order is cancelled, the Authorized Participant will be responsible for reimbursing a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund for all costs associated with cancelling the order including costs for repositioning the portfolio. At its sole discretion, the Sponsor may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agree to a delivery date other than T+2. The Creation Unit will be delivered to the Authorized Participant upon the Custodian&#8217;s receipt of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cash purchase amount and the futures contracts.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Limitation, Suspension or Rejection of Purchase Orders</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In respect of any Fund, the Sponsor may, in its sole discretion, limit or suspend the right to purchase, or postpone the purchase settlement </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">date. For example, the Sponsor may limit or suspend purchases or postpone settlement for (1) any period during which the Exchange or any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other exchange, marketplace or trading center, deemed to affect the normal operations (e.g., valuation) of such Fund, is closed, or when trading </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is restricted or suspended on such exchanges in any of the Funds&#8217; Financial Instruments or underlying Reference Assets; (2) any period during </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which an emergency exists as a result of which the fulfillment of a purchase order is not reasonably practicable; or (3) such other period as the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor determines, in its sole discretion, to be appropriate for the protection of the Fund, the shareholders of the Fund or otherwise in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">interest of such Fund (for example, in response to, or anticipation of, a period of significant and/or rapid increases in the size of a Fund as a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">result of an increase in creation activity). The Sponsor will not be liable to any person or in any way for any loss or damages that may result </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">from any such suspension or postponement.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor also may reject a purchase order if:</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">It determines that the purchase order is not in proper
form;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-109</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_12"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The
Sponsor believes that the purchase order would have adverse tax consequences to a Fund or its shareholders;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The order would be illegal; or</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Circumstances outside the control of the Sponsor make it, in the Sponsor&#8217;s sole discretion, not feasible to process creations of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Creation Units.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">None of the Sponsor, the Administrator or the Custodian will be liable for the suspension or
rejection of any purchase order.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Redemption Procedures</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The procedures by which an Authorized Participant can redeem one or more Creation Units mirror the procedures for the creation of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Creation Units. On any Business Day, an Authorized Participant may place an order with the Distributor to redeem one or more Creation Units. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Redemption Orders must be received prior to the applicable cut-off time shown above in the Summary section titled &#8220;Creation and Redemption </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Transactions.&#8221; The cut-off time may be earlier if, for example, the Exchange or other exchange material to the valuation or operation of such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund closes before the cut-off time. If a redemption order is received prior to the applicable cut-off time, the day on which SEI receives a valid </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">redemption order is the redemption order date. If the redemption order is received after the applicable cut-off time, the redemption order date </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">will be the next day. Redemption orders are irrevocable. Individual shareholders may not redeem directly from a Fund.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">By placing a redemption order, an Authorized Participant agrees to deliver the Creation Units to
be redeemed through DTC&#8217;s book-entry </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">system to the applicable Fund not later than noon (Eastern Time), on the first Business Day immediately following the redemption
order date </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(T+1). The Sponsor reserves the right to extend the deadline for the Fund to receive the Creation Units required for settlement up to the second </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Business Day following the redemption order date (T+2). By placing a redemption order, and prior to receipt of the redemption proceeds, an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authorized Participant must wire to the Custodian the non-refundable transaction fee due for the redemption order or any proceeds due will be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reduced by the amount of the fee payable. At its sole discretion, the Sponsor may agree to a delivery date other than T+2. Additional fees may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">apply for special settlement.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Upon request of an Authorized Participant made at the time of a redemption order, the Sponsor at its sole discretion may determine, in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">addition to delivering redemption proceeds, to transfer futures contracts to the Authorized Participant pursuant to an EFCRP or to a block trade </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sale of futures contracts to the Authorized Participant.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Determination of Redemption Proceeds</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The redemption proceeds from a Fund consist of the cash redemption amount and, if
permitted by the Sponsor in its sole discretion with </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">respect to a Fund, an EFCRP or block trade with the relevant Fund as described in &#8220;Creation and Redemption of
Shares&#8221; above. The cash </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">redemption amount is equal to the NAV of the number of Creation Unit(s) of such Fund requested in the Authorized Participant&#8217;s
redemption </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">order as of the time of the calculation of such Fund&#8217;s NAV on the redemption order date, less transaction fees and any amounts attributable to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">any applicable EFCRP or block trade.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Delivery of Redemption Proceeds</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The redemption proceeds due from a Fund are delivered to the Authorized Participant
at noon (Eastern Time), on the second Business </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Day immediately following the redemption order date if, by such time on such Business Day immediately following the
redemption order date, a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s DTC account has been credited with the Creation Units to be redeemed. The Fund should be credited through: (1) the CNS clearing
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">process of NSCC, as such processes have been enhanced to effect creations and redemptions of Creation Units; or (2) the facilities of DTC on a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">DVP basis. If a Fund&#8217;s DTC account has not been credited with all of the Creation Units to be redeemed by such time, the redemption </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">distribution is delivered to the extent whole Creation Units are received. Any remainder of the redemption distribution is delivered on the next </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Business Day to the extent any remaining whole Creation Units are received if: (1) the Sponsor receives the fee applicable to the extension of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the redemption distribution date which the Sponsor may, from time to time, determine, and (2) the remaining Creation Units to be redeemed are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">credited to the Fund&#8217;s DTC account by noon (Eastern Time), on such next Business Day. Any further outstanding amount of the redemption </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">order may be cancelled. The Authorized Participant will be responsible for reimbursing a Fund for all costs associated with cancelling the order </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including costs for repositioning the portfolio.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-110</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_13"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor is also authorized to deliver the redemption distribution notwithstanding that the Creation Units to
be redeemed are not </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">credited to a Fund&#8217;s DTC account by noon (Eastern Time), on the second Business Day immediately following the redemption order date if the
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authorized Participant has collateralized its obligation to deliver the Creation Units through DTC&#8217;s book-entry system on such terms as the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor may determine from time to time.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the event that the Authorized Participant shall have requested, and the Sponsor shall have determined to permit the Authorized </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Participant to receive futures contracts pursuant to an EFCRP, as well as the cash redemption proceeds, in the redemption process, futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts required for settlement shall be transferred directly from the Fund&#8217;s account at its FCM to the account of the Authorized Participant at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its FCM.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Suspension or Rejection of Redemption Orders</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In respect of any Fund, the Sponsor may, in its sole discretion, limit or suspend the right of redemption, or postpone the redemption </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement date. For example, the Sponsor may limit or suspend redemptions or postpone settlement for: (1) any period during which the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Exchange or any other exchange, marketplace or trading center, deemed to affect the normal operations (e.g., valuation) of such Fund, is closed, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or when trading is restricted or suspended on such exchanges in any of the Funds&#8217; Financial Instruments or underlying Reference Assets; (2) any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">period during which an emergency exists as a result of which the redemption distribution is not reasonably practicable; or (3) such other period </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as the Sponsor determines, in its sole discretion, to be appropriate for the protection of the Fund, the shareholders of the Fund or otherwise in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">interest of such Fund. The Sponsor will not be liable to any person or in any way for any loss or damages that may result from any such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">suspension or postponement.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor will reject a redemption order if the order is not in proper form as described in the form of Authorized Participant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Agreement or if the fulfillment of the order might be unlawful.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Creation and Redemption Transaction Fee</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">To compensate BNYM for services in processing the creation and redemption of Creation Units and
to offset some or all of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">transaction costs, an Authorized Participant may be required to pay a fixed transaction fee to BNYM of up to $250 per order to create or
redeem </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Creation Units and may pay a variable transaction fee to a Fund of up to 0.10% (and a variable transaction fee to the VIX Futures Fund of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">0.05%) of the value of a Creation Unit. An order may include multiple Creation Units. The transaction fee(s) may be reduced, increased or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">otherwise changed by the Sponsor at its sole discretion.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Special Settlement</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor may allow for early settlement of purchase or redemption orders. Such arrangements
may result in additional charges to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authorized Participant.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">LITIGATION</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor and the Trust were named as defendants in the following purported class action lawsuits filed in the United States District </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Court for the Southern District of New York on the following dates: (i) on January 29, 2019 and captioned Ford v. ProShares Trust II et al.; (ii) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on February 27, 2019 and captioned Bittner v. ProShares Trust II, et al.; and (iii) on March 1, 2019 and captioned Mareno v. ProShares Trust II, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">et al. The allegations in the complaints were substantially the same, namely that the defendants violated Sections 11 and 15 of the 1933 Act, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sections 10(b) and 20(a) and Rule 10b-5 of the 1934 Act, and Items 303 and 105 of Regulation S-K, 17 C.F.R. Section 229.303(a)(3)(ii), </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">229.105 by issuing untrue statements of material fact and omitting material facts in the prospectus for ProShares Short VIX Short-Term Futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ETF, and allegedly failing to state other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Officers of the Trust were also defendants in the actions, along with a number of others. The Court consolidated the three actions under the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">caption In re ProShares Trust II Securities Litigation and appointed lead plaintiffs and lead counsel. On January 3, 2020, the Court granted </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants&#8217; motion to dismiss the consolidated class action in its entirety and ordered the case closed. On January 31, 2020, the plaintiffs filed a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">notice of appeal to the Second Circuit Court of Appeals. On March 4, 2021, the Second Circuit Court of Appeals heard oral argument. On </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-111</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_14"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">March 15, 2021, the Second Circuit Court of Appeals
found the plaintiffs&#8217; arguments to be without merit and affirmed the District Court&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgment. No further appeals are pending, and this matter is now
closed.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 28, 2020, the Sponsor, the Trust, and ProShares Ultra Bloomberg
Crude Oil (&#8220;UCO&#8221;), a series of the Trust, were named as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants in a purported class action lawsuit filed in the United States District Court for the
Southern District of New York, captioned </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Di Scala </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">v.
ProShares Ultra Bloomberg Crude Oil, et al</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">. The allegations in the complaint claim that the defendants violated Sections 10(b) and 20(a) and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Rule 10b-5 of the 1934 Act as well as Items 303 and 105 of Regulation S-K, 17 C.F.R. &#167;&#167; 229.303(a)(ii), 229.105, by issuing untrue statements </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of material fact and omitting material facts in the prospectus disclosures for ProShares Ultra Bloomberg Crude Oil, and allegedly failing to state </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and Officers of the Trust were also </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants in the action. After the Court appointed a lead plaintiff and lead counsel and entered a scheduling order for filing an amended </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint and motion to dismiss briefing, the lead plaintiff decided to voluntarily dismiss the lawsuit. On February 22, 2021, the parties filed a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">stipulation of voluntary dismissal, and the case was closed. The parties have not exchanged monetary consideration and each party will bear its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">own costs and attorneys&#8217; fees.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, and GS are clearing members of the CBOT, CME, NYMEX, and all other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">major U.S. commodity exchanges. From time to time, each of BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, and GSI (in its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">capacity as a commodities broker) and its respective principals may be involved in numerous legal actions, some of which individually and all of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which in the aggregate, seek significant or indeterminate damages. However, except for the actions described in the section entitled &#8220;Futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commission Merchants&#8212;Litigation and Regulatory Disclosure Relating to FCMs&#8221; beginning on page
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">131</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">, each of BofAS, RBC, Man, DBSI, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SGAS, BCI, UBSS, CSS, StoneX, GS, and GSI has advised that during the five years preceding the date of this Prospectus there has been no </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">material administrative, civil, or criminal action against it or any of its respective principals.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">DESCRIPTION OF THE SHARES; THE FUNDS; CERTAIN MATERIAL</font>
<br><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">TERMS OF THE TRUST AGREEMENT</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The following summary describes in brief the Shares and certain aspects of the operation of the Trust, the Funds, and the respective </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">responsibilities of the Trustee and the Sponsor concerning the Trust and the material terms of the Trust Agreement. Prospective investors should </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">carefully review the Trust Agreement filed as an exhibit to the Registration Statement of which this Prospectus is a part and consult with their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">own advisors concerning the implications to such prospective investors of investing in a series of a Delaware statutory trust. Capitalized terms </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">used in this section and not otherwise defined shall have such meanings assigned to them under the Trust Agreement.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Description of the Shares</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund issues common units of beneficial interest, or Shares, which represent units of fractional undivided beneficial interest in and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ownership of the Funds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Shares may be purchased from the Funds or redeemed on a continuous basis, but only by Authorized Participants and only in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Creation Units. Individual Shares may not be purchased or redeemed from the Funds. Shareholders that are not Authorized Participants may not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purchase or redeem any Shares or Creation Units from the Funds.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Principal Office; Location of Records; Fiscal Year</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Trust is organized as a statutory trust under the DSTA. The Trust is managed by
the Sponsor, whose office is located at 7272 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Wisconsin Avenue, 21</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">st</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Floor, Bethesda, Maryland 20814.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The books and records of the Funds are maintained as follows: all marketing materials are
maintained at the offices of SEI, One Freedom </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Valley Drive, Oaks, Pennsylvania 19456. Creation Unit creation and redemption books and records, certain financial books and
records and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain trading and related documents received from FCMs are maintained by BNYM, 225 Liberty Street, New York, New York 10286.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">All other books and records of the Funds are maintained at the Funds&#8217; principal office, c/o
ProShare Capital Management LLC, 7272 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Wisconsin Avenue,
21</font><font style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">st</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Floor, Bethesda, Maryland 20814.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-112</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_15"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Certain Trust books and records are
available for inspection and copying (upon payment of reasonable reproduction costs) by Fund </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholders or their representatives for purposes reasonably related to such
shareholder&#8217;s interest as a beneficial owner during regular business </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">hours as provided in the Trust Agreement. The Sponsor will maintain and preserve the
Trust&#8217;s books and records for a period of not less than </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">six years.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The fiscal year of each Fund ends on December 31 of each year.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">The Funds</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Trust is formed and operated in a manner such that each Fund is liable only for obligations
attributable to such Fund and shareholders </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of a Fund are not subject to the losses or liabilities of any other series of the Trust. If any creditor or shareholder in a
Fund asserted against a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund a valid claim with respect to its indebtedness or Shares, the creditor or shareholder would only be able to recover money from that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">particular Fund and its assets. Accordingly, the debts, liabilities, obligations and expenses, or collectively, claims, incurred, contracted for or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">otherwise existing solely with respect to a particular Fund are enforceable only against the assets of that Fund, and not against any other series of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Trust or the Trust generally, or any of their respective assets. The assets of each Fund include only those funds and other assets that are paid </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to, held by or distributed to a Fund on account of and for the benefit of that Fund, including, without limitation, funds delivered to the Trust for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the purchase of Shares or Creation Units in a Fund. This limitation on liability is referred to as the &#8220;Inter-Series Limitation on Liability.&#8221; The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Inter-Series Limitation on Liability is expressly provided for under the DSTA, which provides that if certain conditions (as set forth in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Section 3804(a)) are met, then the debts of any particular series will be enforceable only against the assets of such series and not against the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">assets of any other series of the Trust or the Trust generally.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">The Trustee</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Wilmington Trust Company, a Delaware trust company, is the sole Trustee of the Trust. The rights
and duties of the Trustee and the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor with respect to the offering of the Shares and Fund management and the shareholders are governed by the provisions of the DSTA
and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">by the Trust Agreement. The Trustee will accept service of legal process on the Trust in the State of Delaware and will make certain filings </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">under the DSTA. The Trustee does not owe any other duties to the Trust, the Sponsor or the shareholders of a Fund. The Trustee&#8217;s principal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">offices are located at 1100 North Market Street, Wilmington, Delaware 19890. The Trustee is unaffiliated with the Sponsor.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Trustee is permitted to resign upon at least sixty (60) days&#8217; notice to the Trust,
provided, that any such resignation will not be </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">effective until a successor Trustee is appointed by the Sponsor. The Trustee is compensated by the Funds, as appropriate,
and is indemnified by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Funds, as appropriate, against any expenses it incurs relating to or arising out of the formation, operation or termination of such Fund, as
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">appropriate, or the performance of its duties pursuant to the Trust Agreement, except to the extent that such expenses result from the gross </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">negligence or willful misconduct of the Trustee. The Sponsor has the discretion to replace the Trustee.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Only the assets of the Trust and the Sponsor are subject to issuer liability under the federal securities laws for the information contained in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">this Prospectus and under federal securities laws with respect to the issuance and sale of the Shares. Under such laws, neither the Trustee, either </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in its capacity as Trustee or in its individual capacity, nor any director, officer or controlling person of the Trustee is, or has any liability as, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">issuer or a director, officer or controlling person of the issuer of the Shares. The Trustee&#8217;s liability in connection with the issuance and sale of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Shares is limited solely to the express obligations of the Trustee set forth in the Trust Agreement.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Under the Trust Agreement, the Sponsor has exclusive management and control of all aspects of the Trust&#8217;s business. The Trustee has no </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">duty or liability to supervise the performance of the Sponsor, nor will the Trustee have any liability for the acts or omissions of the Sponsor. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholders have no voice in the day-to-day management of the business and operations of the Funds and the Trust, other than certain limited </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">voting rights as set forth in the Trust Agreement. In the course of its management of the business and affairs of the Funds and the Trust, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor may, in its sole and absolute discretion, appoint an affiliate or affiliates of the Sponsor as additional sponsors and retain such persons, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including affiliates of the Sponsor, as it deems necessary to effectuate and carry out the purposes, business and objectives of the Trust.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Because the Trustee has no authority over the Trust&#8217;s operations, the Trustee itself is not
registered in any capacity with the CFTC.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-113</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_16">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">The Sponsor</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">ProShare Capital Management LLC is the Sponsor of the Trust, the Funds and the other series of
the Trust. As noted above, the Sponsor </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">has exclusive management and control of all aspects of the business of the Funds. The Trustee has no duty or liability to supervise
the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">performance of the Sponsor, nor will the Trustee have any liability for the acts or omissions of the Sponsor.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor serves as the Trust&#8217;s commodity pool operator.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Specifically, with respect to the Trust, the Sponsor:</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">selects the Funds&#8217; service providers;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">negotiates various agreements and fees;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">performs such other services as the Sponsor believes that the Trust may require from time to time;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">selects the FCM and Financial Instrument counterparties, if
any;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">manages the Funds&#8217; portfolio of other assets, including
cash equivalents; and</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">manages the Funds with a view toward achieving the Funds&#8217;
investment objectives.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Shares are not deposits or other obligations of the
Sponsor, the Trustee or any of their respective subsidiaries or affiliates or any other </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">bank, are not guaranteed by the Sponsor, the Trustee or any of their respective
subsidiaries or affiliates or any other bank and are not insured by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Federal Deposit Insurance Corporation (&#8220;FDIC&#8221;) or any other governmental agency. An
investment in the Shares of the Funds offered </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">hereby is speculative and involves a high degree of risk.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The principal office of the Sponsor is located at 7272 Wisconsin Avenue, 21</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">st</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Floor, Bethesda, Maryland 20814. The telephone number </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Sponsor is (240) 497-6400.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:7pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Background and Principals</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:7pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor currently serves as the commodity pool operator of the Trust and the Funds, and previously also served as the commodity </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading advisor to the Trust and the Funds. The Sponsor is registered as a commodity pool operator with the CFTC and is a member in good </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">standing of the NFA. The Sponsor&#8217;s membership with the NFA was originally approved on June 11, 1999. It withdrew its membership with the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">NFA on August 31, 2000 but later re-applied and had its membership subsequently approved on January 8, 2001. Its membership with the NFA </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is currently effective. The Sponsor&#8217;s registration as a commodity trading advisor was approved on June 11, 1999. On February 17, 2013, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor&#8217;s commodity trading advisor registration was withdrawn. The Sponsor&#8217;s registration as a commodity pool operator was originally </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approved on June 11, 1999. It withdrew its registration as a commodity pool operator on August 30, 2000 but later re-applied and had its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">registration subsequently approved on November 28, 2007. Its registration as a commodity pool operator is currently effective. As a registered </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">commodity pool operator, with respect to the Trust, the Sponsor must comply with various regulatory requirements under the CEA, and the rules </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and regulations of the CFTC and the NFA, including investor protection requirements, antifraud prohibitions, disclosure requirements, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reporting and recordkeeping requirements. The NFA approved the Sponsor as a Swaps Firm on January 4, 2013. The Sponsor is also subject to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">periodic inspections and audits by the CFTC and NFA. Its principal place of business is 7272 Wisconsin Avenue, 21</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;position:relative;top:-3.75pt;">st</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Floor, Bethesda, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Maryland 20814 and its telephone number is (240) 497-6400. The registration of the Sponsor with the CFTC and its membership in the NFA </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">must not be taken as an indication that either the CFTC or the NFA has recommended or approved the Sponsor, the Trust and the Funds.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In its capacity as a commodity pool operator, the Sponsor is an organization which operates or
solicits funds for commodity pools; that is, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">an enterprise in which funds contributed by a number of persons are combined for the purpose of trading futures contracts. For
past performance </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of commodity pools operated by the Sponsor, see the section entitled &#8220;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Performance of the Offered Commodity Pools Operated by the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Commodity
Pool Operator&#8221; beginning on page </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">70</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;"> and the section entitled
&#8220;Performance of the Other Commodity Pools Operated by the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Commodity Pool Operator</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221; beginning on page
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">99</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-114</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_17">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Executive Officers of the Trust and Principals and Significant Employees of the Sponsor</font><font
style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:8.5pt;">
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:47.70%;"> <div style="line-height:10.0pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Name</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:3.30%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">Position</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Michael L. Sapir</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Chief Executive Officer and Principal of the Sponsor</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Louis M. Mayberg</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Principal of the Sponsor</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">William E. Seale</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Principal of the Sponsor</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Sapir Family Trust</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Principal of the Sponsor</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Northstar Trust</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Principal of the Sponsor</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Timothy N. Coakley</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Chief Financial Officer and Principal of the Sponsor</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Edward J. Karpowicz</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Principal Financial Officer of the Trust and Principal of the Sponsor</font></div> </div> </td> </tr>
<tr style="height:22pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Todd B. Johnson*</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Principal Executive Officer of the Trust and Chief Investment Officer </font></div> <div style="margin-left:3.30%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:2.93%;">and Principal of the Sponsor</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Hratch Najarian</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Director, Portfolio Management and Principal of the Sponsor</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Alexander Ilyasov</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Senior Portfolio Manager of the Sponsor</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">James Linneman</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Portfolio Manager and Principal of the Sponsor</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Benjamin McAbee</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Portfolio Manager and Principal of the Sponsor</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Victor M. Frye</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Principal of the Sponsor</font></div> </div> </td> </tr> </table> </div> <div> <div style="clear:both;margin-top:7pt;position:relative;">
<div style="float:left;line-height:11pt;text-align:left;width:48pt;"> <hr style="background-color:#000000;height:0.5pt;margin-left:0%;text-align:left;width:48pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">*</font></div>
<div style="float:left;line-height:11pt;text-align:left;width:469.0pt;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Denotes principal of the Sponsor who supervises persons who participate in making trading decisions for
the Funds.</font></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The
following is a biographical summary of the business experience of the executive officers of the Trust and the principals and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">significant employees of the
Sponsor.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">ProFund Advisors LLC (&#8220;PFA&#8221;) and ProShare Advisors LLC
(&#8220;PSA&#8221;) are investment advisors registered under the Investment Advisers </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Act of 1940 (the &#8220;Advisers Act&#8221;) and commodity pool operators registered
under the CEA. PFA is also a commodity trading advisor registered </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">under the CEA.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Michael L. Sapir, Co-Founder, Chief Executive Officer and a listed principal of the Sponsor since August 14, 2008; Co-Founder, Chief </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Executive Officer and a member of PFA since April 1997, and a listed principal of PFA since November 26, 2012; and Co-Founder, Chief </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Executive Officer and a member of PSA since January 2005 and a listed principal of PSA since January 14, 2014. As Chief Executive Officer of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Sponsor, PFA and PSA, Mr. Sapir&#8217;s responsibilities include oversight of all aspects of the Sponsor, PFA and PSA, respectively.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Louis M. Mayberg, a member and a listed principal of the Sponsor since June 9, 2008; a member of PFA since April 1997 and a listed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">principal of PFA since November 26, 2012; and a member of PSA since January 2005 and a listed principal of PSA since January 14, 2014. Mr. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Mayberg served as Principal Executive Officer of the Trust from June 2008 to December 2013. Mr. Mayberg no longer has oversight </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">responsibilities with respect to the operation of the Sponsor, PFA or PSA.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">William E. Seale, Ph.D., a listed principal of the Sponsor since June 11, 1999; a member of PFA since April 1997 and a listed principal of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">PFA since November 8, 2013; and a member of PSA since April 2005 and a listed principal of PSA since January 14, 2014. He served as Chief </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Investment Officer of PFA from January 2003 to July 2005 and from October 2006 to June 2008 and as Director of Portfolio from January 1997 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to January 2003. He served as Chief Investment Officer of PSA from October 2006 to June 2008. In these roles, Dr. Seale&#8217;s responsibilities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">included oversight of the investment management activities of the respective entities. Dr. Seale no longer has oversight responsibilities with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">respect to the operation of the Sponsor, PFA or PSA. Dr. Seale is a former commissioner of the CFTC.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Sapir Family Trust, a listed principal of the Sponsor. The Sapir Family Trust has an ownership interest in the Sponsor and PSA. The Sapir </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Family Trust has a passive ownership interest in the Sponsor and exercises no management authority over the Funds.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Northstar Trust, a listed principal of the Sponsor. Northstar Trust has an ownership interest in
the Sponsor and PFA. Northstar Trust has a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">passive ownership interest in the Sponsor and exercises no management authority over the Funds.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Timothy N. Coakley, Chief Financial Officer and a listed principal of the Sponsor since March 7,
2014; Chief Financial Officer and a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">listed principal of PFA since March 11, 2014; and Chief Financial Officer and a listed principal of PSA since March 11, 2014. As Chief
</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-115</font></div>
</div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_18"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Financial Officer of the Sponsor, Mr. Coakley&#8217;s
responsibilities include oversight of the financial matters of the Sponsor. Prior to becoming a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">listed principal of the Sponsor, Mr. Coakley has served as Chief Financial
Officer of the Sponsor and PFA since January of 2000 and PSA since </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">October of 2005.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Edward J. Karpowicz, Principal Financial Officer of the Trust since July 2008 and a listed principal of the Sponsor since September 18, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2013. Mr. Karpowicz has been employed by PFA since July 2002 and PSA since its inception as Vice President of Financial Administration.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Todd B. Johnson, Principal Executive Officer of the Trust since January 2014; Chief Investment
Officer of the Sponsor since </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">February 27, 2009, a registered swap associated person of the Sponsor from January 4, 2013 to January 29, 2021, a registered associated person
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Sponsor since January 29, 2010, and a listed principal of the Sponsor since January 16, 2009. As Principal Executive Officer of the Trust, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Mr. Johnson&#8217;s responsibilities include oversight of the operations of the Trust. As Chief Investment Officer of the Sponsor, Mr. Johnson&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">responsibilities include oversight of the investment management activities of the Sponsor. Mr. Johnson has served as Chief Investment Officer </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of PFA and PSA since December 2008 and has been registered as an associated person of PFA since December 5, 2012 and listed as a principal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of PFA since November 26, 2012. In addition, Mr. Johnson has been listed as a principal and associated person of PSA since January 14, 2014. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Mr. Johnson served from 2002 to December 2008 at World Asset Management (a financial services firm), working as President and Chief </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Investment Officer from January 2006 to December 2008, and as Managing Director and Chief Investment Officer of Quantitative Investments </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Munder Capital Management, an asset management firm, from January 2002 to December 2005.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Hratch Najarian, Director, Portfolio Management of the Sponsor since August 2013 and a listed principal of the Sponsor since </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">October 15, 2013. In these roles, Mr. Najarian&#8217;s responsibilities include oversight of the investment management activities of the Sponsor. Mr. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Najarian also has served as Director, Portfolio Management of PFA and PSA since August 2013, and is listed as a principal of PFA since </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">January 8, 2014 and a principal of PSA since January 14, 2014. Mr. Najarian served as Senior Portfolio Manager of PSA from December 2009 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">through September 2013. He also served as Senior Portfolio Manager of PFA from December 2009 through September 2013, as Portfolio </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Manager of PFA from May 2007 through November 2009, and as Associate Portfolio Manager of PFA from November 2004 through April </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2007. Mr. Najarian served as an NFA associated Member, associated person and swap associated person for PSA from January 2014 through </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">February 2021.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Alexander Ilyasov, Senior Portfolio Manager of the Sponsor since August 22, 2016. In this role,
Mr. Ilyasov&#8217;s responsibilities include </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">oversight of the investment management activities as well as the day-to-day portfolio management of the Funds and certain
other series of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trust. Mr. Ilyasov also has served as a Senior Portfolio Manager of PFA since October 2013 and has served as Portfolio Manager of PSA since </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">October 2013.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">James
Linneman, Principal of the Sponsor since February 1, 2021, has served as a swap associated person of the Sponsor since </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">January 25, 2021, a registered associated person and
an NFA associate member of the Sponsor since August 11, 2015 and a Portfolio Manager </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Sponsor since April 2019. In these roles, Mr. Linneman&#8217;s responsibilities
include day-to-day portfolio management of the Funds and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain other series of the Trust. Mr. Linneman also serves as a principal of PSA since February 1, 2021, a
Portfolio Manager of PSA since April </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019, and a swap associated person, a registered associated person and an NFA associated member of PSA since January 25, 2021. Mr.
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Linneman also serves as a registered associated person and an NFA associate member of PFA since January 25, 2021. In addition, Mr. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Linneman served as an Associate Portfolio Manager of the Sponsor and PSA from August 2016 to April 2019 and served as a Portfolio Analyst </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Sponsor and PSA from February 2014 to August 2016.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Benjamin McAbee, Principal of the Sponsor since February 1, 2021, has served as a swap associated person of the Sponsor since </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">January 29, 2021, Portfolio Manager of the Sponsor since August 22, 2016, a registered associated person of the sponsor since December 16, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2010, and an NFA associate member of the Sponsor since December 16, 2010. In these roles, Mr. McAbee&#8217;s responsibilities include day-to-day </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">portfolio management of certain other series of the Trust. Since February 1, 2021, Mr. McAbee also serves as a principal, swap associated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">person, NFA associated member, and registered associated person of PSA. Additionally, he has served as a Portfolio Manager of PSA since </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">August 2016. In addition, Mr. McAbee has been registered as a registered associated person and an NFA associated member of PFA since </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">December 5, 2012. Mr. McAbee also has served as a Portfolio Manager of PFA since August 2016 and has served as an Associate Portfolio </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Manager from December 2011 to August 2016.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-116</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_19">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Victor Frye, a listed principal of the Sponsor since December 2, 2008, a listed principal of PFA since November 26, 2012, and a listed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">principal of PSA since January 14, 2014. Mr. Frye&#8217;s responsibilities include the review and approval of advertising material of the Sponsor. Mr. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Frye has been employed as Chief Compliance Officer of PFA since October 2002 and of PSA since December 2004.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Duties of the Sponsor</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The general fiduciary duties which would otherwise be imposed on the Sponsor (which would make its operation of the Trust as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">described herein impracticable due to the strict prohibition imposed by such duties on, for example, conflicts of interest on behalf of a fiduciary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in its dealings with its beneficiaries), are replaced by the terms of the Trust Agreement (to which terms all shareholders, by subscribing to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Shares, are deemed to consent).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Trust Agreement provides that the Sponsor and its affiliates shall have no liability to the Trust or to any shareholder for any loss </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">suffered by the Trust arising out of any action or inaction of the Sponsor or its affiliates or their respective directors, officers, shareholders, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">partners, members, managers or employees (the &#8220;Sponsor Related Parties&#8221;), if the Sponsor Related Parties, in good faith, determined that such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">course of conduct was in the best interests of the Funds and such course of conduct did not constitute gross negligence or willful misconduct by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Sponsor Related Parties. The Trust has agreed to indemnify the Sponsor Related Parties against claims, losses or liabilities based on their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conduct relating to the Trust, provided that the conduct resulting in the claims, losses or liabilities for which indemnity is sought did not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">constitute gross negligence or willful misconduct and was done in good faith and in a manner reasonably believed to be in the best interests of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Funds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Under
Delaware law, a beneficial owner of a statutory trust (such as a shareholder of a Fund) may, under certain circumstances, institute </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">legal action on behalf of himself and
all other similarly situated beneficial owners (a &#8220;class action&#8221;) to recover damages for violations of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">fiduciary duties, or on behalf of a statutory trust (a
&#8220;derivative action&#8221;) to recover damages from a third party where there has been a failure or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">refusal to institute proceedings to recover such damages. In
addition, beneficial owners may have the right, subject to certain legal requirements, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to bring class actions in federal court to enforce their rights under the federal
securities laws and the rules and regulations promulgated </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">thereunder by the SEC. Beneficial owners who have suffered losses in connection with the purchase or sale of
their beneficial interests may be </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">able to recover such losses from the Sponsor where the losses result from a violation by the Sponsor of the anti-fraud provisions of the
federal </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities laws.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Under certain circumstances, shareholders also have the right to institute a reparations proceeding before the CFTC against the Sponsor (a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">registered commodity pool operator), an FCM, as well as those of their respective employees who are required to be registered under the CEA, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the rules and regulations promulgated thereunder. Private rights of action are conferred by the CEA. Investors in futures and in commodity </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pools may, therefore, invoke the protections provided thereunder.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The foregoing summary describing in general terms the remedies available to shareholders under federal law is based on statutes, rules </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and decisions as of the date of this Prospectus. As this is a rapidly developing and changing area of the law, shareholders who believe that they </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may have a legal cause of action against any of the foregoing parties should consult their own counsel as to their evaluation of the status of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">applicable law at such time.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Ownership or Beneficial Interest in the Funds</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As of the date of this Prospectus, the Sponsor does not own any Shares of ProShares
VIX Mid-Term Futures ETF, the Natural Gas Funds, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the UltraShort Gold Fund, the UltraShort Silver Fund, the UltraShort Australian Dollar Fund, the Ultra Euro Fund, the
Short Euro Fund, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">UltraShort Euro Fund, the Ultra Yen Fund or the UltraShort Yen Fund. As of the date of this Prospectus, the principals of the Sponsor do not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">own more than a de minimis amount of shares in any Fund.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Although the Sponsor and its trading principals (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., those principals that are responsible for or oversee the Funds&#8217; trading decisions) do </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">not
currently trade or hold commodity interests that could be held by the Funds for their own accounts as of the date of this Prospectus, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor and its principals
reserve the right to trade commodity interests for their own accounts. Fund investors will not be permitted to inspect </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the records of such person&#8217;s trades or any
written policies related to such trading.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-117</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_20">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Management; Voting by Shareholders</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The shareholders of the Funds take no part in the management or control, and have no voice in the
Trust&#8217;s operations or business.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor has the right unilaterally to
amend the Trust Agreement as it applies to the Funds provided that the shareholders have the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">right to vote only if expressly required under Delaware or federal law or
rules or regulations of the Exchange, or if submitted to the shareholders </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">by the Sponsor in its sole discretion. No amendment affecting the Trustee shall be binding upon
or effective against the Trustee unless consented </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to by the Trustee in writing.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Recognition of the Trust and the Funds in Certain
States</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A number of states do not have &#8220;statutory trust&#8221; statutes such as that under which the Trust has been formed in the State of Delaware. It is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">possible, although unlikely, that a court in such a state could hold that, due to the absence of any statutory provision to the contrary in such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">jurisdiction, the shareholders, although entitled under Delaware law to the same limitation on personal liability as stockholders in a private </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">corporation for profit organized under the laws of the State of Delaware, are not so entitled in such state.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Possible Repayment of Distributions Received by Shareholders</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Shares are limited liability investments; investors may not lose more than the amount that they invest plus any profits recognized on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">their investment. However, shareholders of the Funds could be required, as a matter of bankruptcy law, to return to the estate of a Fund any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">distribution they received at a time when such Fund was in fact insolvent or in violation of the Trust Agreement.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Shares Freely Transferable</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Shares of each Fund are listed for trading on the Exchange and provide institutional and retail investors with direct access to each </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund. Each Fund&#8217;s Shares may be bought and sold on the Exchange like any other exchange-listed security.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Book-Entry Form</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Individual certificates will not be issued for the Shares. Instead, global certificates are deposited by the Trust with DTC and registered in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the name of Cede &amp; Co., as nominee for DTC. The global certificates evidence all of the Shares outstanding at any time. Under the Trust </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Agreement, shareholders are limited to (1) participants in DTC such as banks, brokers, dealers and trust companies (&#8220;DTC Participants&#8221;), (2) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">those who maintain, either directly or indirectly, a custodial relationship with a DTC Participant (&#8220;Indirect Participants&#8221;), and (3) those banks, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">brokers, dealers, trust companies and others who hold interests in the Shares through DTC Participants or Indirect Participants. The Shares are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">only transferable through the book-entry system of DTC. Shareholders who are not DTC Participants may transfer their Shares through DTC by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">instructing the DTC Participant holding their Shares (or by instructing the Indirect Participant or other entity through which their Shares are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">held) to transfer the Shares. Transfers are made in accordance with standard securities industry practice.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Reports to Shareholders</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor will furnish an annual report of the Funds in the manner required by the rules and regulations of the SEC as well as any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reports required by the CFTC and the NFA, including, but not limited to, annual audited financial statements of the Funds examined and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certified by independent registered public accountants and any other reports required by any other governmental authority that has jurisdiction </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">over the activities of the Funds. Monthly account statements conforming to CFTC and NFA requirements are posted on the Sponsor&#8217;s website at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">www.ProShares.com. Shareholders of record will also be provided with appropriate information to permit them to file U.S. federal and state </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">income tax returns with respect to Shares held. Additional reports may be posted on the Sponsor&#8217;s website at the discretion of the Sponsor or as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">required by regulatory authorities.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor will notify shareholders of any change in the fees paid by the Trust or of any material changes to the Funds by filing with the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SEC a supplement to this Prospectus and a Form 8-K, as applicable, which will be publicly available at www.sec.gov and at the Sponsor&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">website at www.ProShares.com. Any such notification will include a description of shareholders&#8217; voting rights.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-118</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_21"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Net Asset Value
(&#8220;NAV&#8221;)</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The NAV in respect of a Fund means the total assets of that Fund including, but not limited to, all cash and cash equivalents or other debt </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities less total liabilities of such Fund, consistently applied under the accrual method of accounting. In particular, the NAV includes any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unrealized profit or loss on Financial Instruments, and any other credit or debit accruing to a Fund but unpaid or not received by a Fund. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">NAV per Share of a Fund is computed by dividing the value of the net assets of such Fund
(</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">., the value of its total assets less total liabilities) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by its total number of Shares outstanding. Expenses and fees are accrued daily and taken into account for purposes of determining the NAV. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Each Fund&#8217;s NAV is calculated on each day other than a day when the Exchange is closed for regular trading. The Funds compute their NAV </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">only once each trading day as of the times set forth below (the &#8220;NAV Calculation Time&#8221;), or an earlier time as set forth on www.ProShares.com. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">For example, a Fund may calculate its NAV as of an earlier time if the Exchange or other exchange material to the valuation or operation of such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund closes early.</font><font style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div> <div style="margin-top:0.0%;">
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style="border-bottom:0.5pt groove #000000;color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;margin-left:0.0%;">Fund</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:1.5pt;padding-top:1.5pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:10.0pt;"> <div style="border-bottom:0.5pt solid #000000;margin-left:3.30%;margin-right:0%;padding-bottom:1pt;">
<div style="text-align:center;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;font-weight:bold;">NAV Calculation Time</font></div> </div> </div> </td> </tr>
<tr style="height:12.5pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares VIX Mid-Term Futures ETF</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:1.5pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4:00 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra Bloomberg Natural Gas</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2:30 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Bloomberg Natural Gas</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2:30 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Silver</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1:25 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Gold</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1:30 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Australian Dollar</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4:00 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra Euro</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4:00 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Short Euro</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4:00 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Euro</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4:00 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Ultra Yen</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:2pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4:00 p.m. (Eastern Time)</font></div> </div> </td> </tr>
<tr style="height:9pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:2pt;vertical-align:Top;width:47.70%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:3.61%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares UltraShort Yen</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:2pt;vertical-align:Bottom;width:52.30%;"> <div style="line-height:11pt;"> <div style="margin-left:3.30%;margin-right:0%;text-align:center;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4:00 p.m. (Eastern Time)</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In calculating the NAV of a Fund, futures contracts traded on a U.S. exchange are valued at their then-current market value, which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">typically is based upon the settlement price or the last traded price before the NAV time for that particular futures contract. The value of a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund&#8217;s non-exchange traded Financial Instruments typically is determined by applying the then-current disseminated levels for the benchmark to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the terms of such Fund&#8217;s non-exchange traded Financial Instruments. A swap counterparty may have the right to close out a Fund&#8217;s position due </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the occurrence of certain events (for example, if the counterparty is unable to hedge its obligations to the Fund, or if the Fund defaults on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain terms of the swap agreement, or if there is a material decline in the Fund&#8217;s benchmark on a particular day) and request immediate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">payment of amounts owed by the Fund under the agreement. If the level of a Fund&#8217;s benchmark undergoes a dramatic intraday move, the terms </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the swap agreement may permit the counterparty to immediately close out a transaction with the Fund at a price determined in good faith by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the counterparty. Swap agreements terminated in this manner may be valued using factors and considerations known only to the counterparty at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the time of the swap&#8217;s termination.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In certain circumstances (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">e.g</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., if the Sponsor believes market quotations do not accurately reflect the fair value of a Fund investment, or a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading halt closes an exchange or market early), the Sponsor may, in its sole discretion, choose to determine a fair value price as the basis for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">determining the market value of such investment. Such fair value prices would generally be determined based on available inputs about the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">current value of the underlying Reference Assets and would be based on principles that the Sponsor deems fair and equitable.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds may use a variety of money market instruments to invest excess cash. Money market
instruments used in this capacity </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">generally will be valued using market prices or at amortized cost.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Indicative Optimized Portfolio Value (&#8220;IOPV&#8221;)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The IOPV is an indicator of the value of a Fund&#8217;s net assets at the time the IOPV is disseminated. The IOPV is calculated and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">disseminated every 15 seconds throughout the trading day. The IOPV is generally calculated using the prior day&#8217;s closing net assets of a Fund as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a base and updating throughout the trading day changes in the value of the Financial Instruments held by a Fund. The IOPV should not be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">viewed as an actual real time update of the NAV because NAV is calculated only once at the end of each trading day. The IOPV also should not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">be viewed as a precise value of the Shares. Because the market price per Share may differ from the IOPV, the price at which an investor may be </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-119</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_22"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">able to sell Shares at any time, and especially in times
of market volatility, may be significantly less than the IOPV at the time of sale. Neither </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Funds nor the Sponsor are liable for any errors in the calculation of IOPV
or any failure to disseminate IOPV.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Exchange disseminates the IOPV. In addition,
the IOPV is published on the Exchange&#8217;s website and is available through on-line </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">information services such as Bloomberg Finance L.P. and/or Reuters.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Termination Events</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Trust, or, as the case may be, a Fund, may be terminated at any time and for any reason by the Sponsor without advance notice to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the shareholders.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">DISTRIBUTIONS</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor does not expect to make distributions. Depending on a Fund&#8217;s performance and an investor&#8217;s own tax situation, an investor&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">income tax liability for his, her or its allocable share of such Fund&#8217;s net ordinary income or loss and capital gain or loss may exceed the capital </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">gains an investor may realize from selling his, her or its Shares of such Fund in a taxable year.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">THE ADMINISTRATOR</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Trust, on behalf of itself and on behalf of the Funds, has appointed BNYM as the Administrator of the Funds and BNYM has entered </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">into an administration and accounting agreement (the &#8220;Administration and Accounting Agreement&#8221;) with the Trust (for itself and on behalf of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Funds) in connection therewith. In addition, BNYM provides certain accounting services to the Funds pursuant to the Administration and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Accounting Agreement.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Administrator&#8217;s fees are paid on behalf of the Funds by the Sponsor.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to the terms of the Administration and Accounting Agreement and under the supervision
and direction of the Sponsor, BNYM </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">prepares and files certain regulatory filings on behalf of the Funds. BNYM may also perform other services for the Funds pursuant to the
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Administration and Accounting Agreement as mutually agreed to from time to time.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Administrator and any of its affiliates may from time to time purchase or sell Shares for their own account, as agent for their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">customers and for accounts over which they exercise investment discretion.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor, on behalf of the Funds, is expected to retain the services of one or more additional service providers to assist with certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">tax reporting requirements of the Funds and their shareholders.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">BNYM is authorized to conduct a commercial banking business in accordance with the provisions of New York State Banking Law, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is subject to regulation, supervision, and examination by the New York State Department of Financial Services and the Board of Governors of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Federal Reserve System.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">THE CUSTODIAN</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">BNYM serves as the Custodian of the Funds and has entered into a custody agreement (the &#8220;Custody Agreement&#8221;) with the Trust (for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">itself and on behalf of the Funds) in connection therewith. Pursuant to the terms of the Custody Agreement, BNYM is responsible for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">delivered to BNYM by the Funds. The Custodian&#8217;s fees are paid on behalf of the Funds by the Sponsor.</font></div>
<div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">THE TRANSFER AGENT</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">BNYM serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a
transfer agency and service </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreement (the &#8220;Transfer Agency and Service Agreement&#8221;). Pursuant to the terms of the Transfer Agency and Service Agreement, BNYM
is </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-120</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_23"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">responsible for processing purchase and redemption orders and maintaining records of the ownership of the Funds. The Transfer
Agent fees are </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">paid on behalf of the Funds by the Sponsor.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">THE DISTRIBUTOR</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">SEI serves as the Distributor of the Funds and assists the Sponsor and the Administrator with functions and duties relating to distribution </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and marketing, which include the following: taking creation and redemption orders, and consulting with the marketing staff of the Sponsor and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its affiliates with respect to compliance matters in connection with marketing efforts.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">SEI retains all marketing materials separately for the Funds, at the offices of SEI, One Freedom Valley Drive, Oaks, Pennsylvania 19456; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and its telephone number is (610) 676-1000.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor pays SEI for performing its duties on behalf of the Funds.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Description of SEI</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">SEI is a wholly owned subsidiary of SEI Investments Company, which is a public company and a global provider of investment </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">processing, fund processing, and investment management business outsourcing solutions.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">THE SECURITIES DEPOSITORY; BOOK-ENTRY ONLY SYSTEM; GLOBAL SECURITY</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">DTC acts as securities depository for the Shares. DTC is a limited purpose trust company organized under the laws of the State of New </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">York, a member of the Federal Reserve System, a &#8220;clearing corporation&#8221; within the meaning of the New York Uniform Commercial Code, and a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;clearing agency&#8221; registered pursuant to the provisions of section 17A of the 1934 Act. DTC was created to hold securities of DTC Participants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and to facilitate the clearance and settlement of transactions in such securities among the DTC Participants through electronic book-entry </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">changes. This eliminates the need for physical movement of securities certificates. DTC Participants include securities brokers and dealers, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">banks, trust companies, clearing corporations and certain other organizations, some of whom (and/or their representatives) own DTC. Access to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the DTC system is also available to others such as banks, brokers, dealers and trust companies that clear through or maintain a custodial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relationship with a DTC Participant, either directly or indirectly. DTC has agreed to administer its book-entry system in accordance with its rules </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and bylaws and the requirements of law.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Individual certificates will not be issued for the Shares. Instead, global certificates are signed by the Sponsor on behalf of the Funds, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">registered in the name of Cede &amp; Co., as nominee for DTC, and deposited with the Trust on behalf of DTC. The global certificates evidence all </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Shares of the Funds outstanding at any time. The representations, undertakings and agreements made on the part of the Funds in the global </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certificates are made and intended for the purpose of binding only the Funds and not the Trustee or the Sponsor individually.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Upon the settlement date of any creation, transfer or redemption of Shares, DTC credits or
debits, on its book-entry registration and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">transfer system, the amount of the Shares so created, transferred or redeemed to the accounts of the appropriate DTC
Participants. The Sponsor </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the Authorized Participants designate the accounts to be credited and charged in the case of creation or redemption of Shares.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Beneficial ownership of the Shares is limited to DTC Participants, Indirect Participants and
persons holding interests through DTC </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Participants and Indirect Participants. Owners of beneficial interests in the Shares are shown on, and the transfer of ownership is
effected only </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">through, records maintained by DTC (with respect to DTC Participants), the records of DTC Participants (with respect to Indirect Participants) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the records of Indirect Participants (with respect to shareholders that are not DTC Participants or Indirect Participants). Shareholders are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">expected to receive from or through the DTC Participant maintaining the account through which the shareholder has purchased their Shares a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">written confirmation relating to such purchase.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Shareholders that are not DTC Participants may transfer the Shares through DTC by instructing the DTC Participant or Indirect </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Participant through which the shareholders hold their Shares to transfer the Shares. Shareholders that are DTC Participants may transfer the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Shares by instructing DTC in accordance with the rules of DTC. Transfers are made in accordance with standard securities industry practice.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-121</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_24"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">DTC may decide to discontinue providing
its service with respect to Creation Units and/or the Shares of the Funds by giving notice to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trust and the Sponsor. Under such circumstances, the Sponsor will either
find a replacement for DTC to perform its functions at a comparable </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">cost or, if a replacement is unavailable, terminate the Funds.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The rights of the shareholders generally must be exercised by DTC Participants acting on their
behalf in accordance with the rules and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">procedures of DTC. Because the Shares can only be held in book-entry form through DTC and DTC Participants, investors must rely on
DTC, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">DTC Participants and any other financial intermediary through which they hold the Shares to receive the benefits and exercise the rights </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">described in this section. Investors should consult with their broker or financial institution to find out about procedures and requirements for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities held in book-entry form through DTC.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Any participant of the Euroclear System that holds shares of a Fund in the Euroclear System will be deemed to have represented to and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreed with the applicable Fund and Euroclear Bank as a condition to such Fund shares being in the Euroclear System to furnish to the Euroclear </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bank (a) its tax identification number, (b) notice of whether it is (i) a person who is not a United States person, (ii) a foreign government, an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">international organization or any wholly owned agency or instrumentality of either of the foregoing or (iii) a tax exempt identity, and (c) such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other information as the Euroclear Bank may request from time to time in order to comply with its United States tax reporting obligations. If a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">participant in the Euroclear System fails to provide such information, Euroclear Bank may, amongst other courses of action, block trades in such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund shares and related income distributions of such participant.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">SHARE SPLITS OR REVERSE SPLITS</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If the Sponsor believes that the per Share price of a Fund in the secondary market has fallen outside a desirable trading price range, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sponsor may direct the Trust to declare a split or reverse split in the number of Shares outstanding and, if necessary in the Sponsor&#8217;s opinion, to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">make a corresponding change in the number of Shares of a Fund constituting a Creation Unit.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">CONFLICTS OF INTEREST</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Sponsor</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the course of providing services, the Sponsor may simultaneously recommend the sale of a
particular investment position for one </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">account while recommending the purchase of the same investment position for another account if such recommendations are consistent
with </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">each client&#8217;s investment strategies. The Sponsor also may recommend the purchase or sale of investment positions that may also be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">recommended by ProShare Advisors LLC and/or ProFund Advisors LLC, affiliates of the Sponsor.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor, its principals, officers and employees (and members of their families) and affiliates may participate directly or indirectly as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investors in the Sponsor&#8217;s clients, such as the Funds. Thus, the Sponsor may recommend to clients the purchase or sale of investment positions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in which it, or its officers, employees or related persons have a financial interest. The Sponsor may give advice and take actions in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">performance of its duties to its clients that differ from the advice given or the timing and nature of actions taken, with respect to other clients&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accounts and/or employees&#8217; accounts that may invest in some of the same investment positions recommended to clients.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, the Sponsor, its affiliates and principals may trade for their own accounts.
Consequently, non-customer and proprietary trades </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">may be executed and cleared through any FCM or prime broker utilized by clients. It is possible that the Sponsor,
including its officers and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">employees may buy or sell investment positions or other instruments that the Sponsor has recommended to, or purchased for, its clients and may
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">engage in transactions for their own accounts in a manner that is inconsistent with the Sponsor&#8217;s recommendations to a client. Personal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions by the Sponsor, including its officers and employees, may raise potential conflicts of interest when such persons trade in an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment position that is owned by, or considered for purchase or sale for, a client, including conflicts that would arise if such proprietary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accounts were to trade ahead of client accounts, place trades that are opposite to the trades of client accounts (such as the Funds), or receive </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">preferential treatment in terms of allocation of resources or of investment opportunities. The Sponsor has adopted policies and procedures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">designed to detect and prevent such conflicts of interest and, when they do arise, to ensure that it effects transactions for clients in a manner that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is consistent with any fiduciary duty owed by the Sponsor to its clients and in accordance with applicable law.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">FCMs</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-122</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_25">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">An FCM or its affiliates may own stock in, or have some other form of ownership interest in, one or more U.S. or foreign exchanges or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">swap execution facilities (each, a &#8220;Trading Facility&#8221;) or CFTC-registered derivatives clearinghouses (each, a &#8220;Clearinghouse&#8221;) where the Funds&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions in futures, options on futures, swaps (as defined in the CEA), forwards or other commodity derivatives (&#8220;Contracts&#8221;) may be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">executed and/or cleared. As a result, an FCM or its affiliates may receive financial or other benefits related to its ownership interest when </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Contracts are executed on a given Trading Facility or cleared through a given Clearinghouse, and the FCM would, in such circumstances, have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">an incentive to cause Contracts to be executed on that Trading Facility or cleared by that Clearinghouse. In addition, employees and officers of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">an FCM or its affiliates may also serve on the board of directors or on one or more committees of a Trading Facility or Clearinghouse.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, Trading Facilities and Clearinghouses may from time to time have in place other
arrangements that provide their members or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">participants with volume, market-making or other discounts or credits, may call for members or participants to pre-pay fees
based on volume </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">thresholds, or may provide other incentive or arrangements that are intended to encourage market participants to trade on or direct trades to that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trading Facility or Clearinghouse. An FCM or its affiliates may participate in and obtain financial benefits from such incentive programs.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">When providing execution services to the Funds (either in conjunction with clearing services or
in an execution-only capacity), an FCM </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">may direct orders to affiliated or unaffiliated market-makers, other executing firms, individual brokers or brokerage groups for
execution. When </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">such affiliated or unaffiliated parties are used, they may, where permitted, agree to price concessions, volume discounts or refunds, rebates or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">similar payments in return for receiving such business. Likewise, where permitted by law and the rules of the applicable Trading Facility, an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">FCM may solicit a counterparty to trade opposite your order or enter into transactions for its own account or the account of other counterparties </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that may, at times, be adverse to your interests in a Contract. In such circumstances, that counterparty may make payments and/or pay a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">commission to the FCM in connection with that transaction. The results of the Funds&#8217; transactions may differ from the results achieved by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">FCM for its own account, its affiliates, or for other customers.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, where permitted by applicable law (including, where applicable, the rules of the applicable Trading Facility), an FCM, its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">directors, officers, employees and affiliates may act on the other side of a Fund&#8217;s order or transaction by the purchase or sale for an account, or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the execution of a transaction with a counterparty, in which the FCM or a person affiliated with the FCM has a direct or indirect interest, or may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">effect any such order with a counterparty that provides the FCM or its affiliates with discounts related to fees for Contracts or other products. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cases where an FCM has offered a Fund a discounted commission or clearing fee for Contracts executed through the FCM as agent or with the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">FCM or its affiliate acting as counterparty, the FCM or its affiliates may be doing so because of the enhanced profit potential resulting from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">acting as executing broker or counterparty.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">An FCM or its affiliates may act as, among other things, an investor, research provider, placement agent, underwriter, distributor, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">remarketing agent, structurer, securitizer, lender, investment manager, investment adviser, commodity trading advisor, municipal advisor, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">market maker, trader, prime broker or clearing broker. In those and other capacities, an FCM, its directors, officers, employees and affiliates </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may take or hold positions in, or advise other customers and counterparties concerning, or publish research or express a view with respect to, a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Contract or with a related financial instrument that may not be consistent with, or may be contrary to, the Funds&#8217; interests. Unless otherwise </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">disclosed in writing, an FCM is not necessarily acting in the Funds&#8217; best interest and are not assessing the suitability for the Fund&#8217; of any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Contract or related financial instrument. Acting in one or more of the capacities noted above may give an FCM or its affiliates access to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">information relating to markets, investments and products. An FCM and its affiliates are under no duty to make any such information available </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the Sponsor, except to the extent the FCM has agreed in writing or as may be required under applicable law.</font></div>
<div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">MATERIAL CONTRACTS</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Administration and Accounting Agreement</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">BNYM serves as the Funds&#8217; Administrator pursuant to the terms of the Administration and Accounting Agreement between the Trust, on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">behalf of itself and on behalf of the Funds, and the Administrator. The Administrator performs or supervises the performance of services </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">necessary for the operation and administration of the Funds (other than making investment decisions or providing services provided by other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">service providers), including the NAV calculations, accounting and other fund administrative services.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Administration and Accounting Agreement has an initial term of three years and, after the initial term, will continue in effect for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">additional one-year terms unless earlier terminated. Notwithstanding the foregoing, beginning in the second year of the Administration and </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-123</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_26"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Accounting Agreement, the Trust may terminate the
Administration and Accounting Agreement on at least ninety (90) days&#8217; prior written notice </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the Administrator, and either party may terminate the Administration
and Accounting Agreement at any time upon thirty (30) days&#8217; prior </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">written notice to the other party if the other party is adjudged bankrupt or insolvent, or there
shall be commenced against such party a case under </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">any applicable bankruptcy, insolvency or other similar law. In its capacity as Administrator, BNYM is indemnified under
the Administration and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Accounting Agreement.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Transfer Agency and Service Agreement</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">BNYM serves as the Funds&#8217; Transfer Agent. Pursuant to the Transfer Agency and Service
Agreement among the Trust, on behalf of itself </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and on behalf of the Funds, and the Transfer Agent, the Transfer Agent serves as the Funds&#8217; transfer agent and agent
in connection with certain </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">other activities as provided under the Transfer Agency and Service Agreement. Under the Transfer Agency and Service Agreement, the Transfer
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Agent&#8217;s services include, among other things, assisting the Funds with the issuance and redemption of Creation Units to and from Authorized </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Participants, recording the issuance of Creation Units and maintaining a record of the total number of Creation Units that are authorized, issued </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and outstanding based upon data provided to the Transfer Agent by the Funds or the Sponsor.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Transfer Agency and Service Agreement has an initial term of three years and, after the initial term, will continue in effect for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">additional one-year terms unless earlier terminated. Notwithstanding the foregoing, beginning in the second year of the Transfer Agency and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Service Agreement, the Trust may terminate the Transfer Agency and Service Agreement on at least ninety (90) days&#8217; prior written notice to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Transfer Agent, and either party may terminate the Transfer Agency and Service Agreement at any time upon thirty (30) days&#8217; prior written </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">notice to the other party if the other party is adjudged bankrupt or insolvent, or there shall be commenced against such party a case under any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">applicable bankruptcy, insolvency or other similar law. In its capacity as Transfer Agent, BNYM is indemnified under the Transfer Agency and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Service Agreement.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Custody Agreement</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">BNYM serves as the Funds&#8217; Custodian. Pursuant to the Custody Agreement between the Trust, on its own behalf and on behalf of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Funds, and the Custodian, the Custodian serves as custodian of all securities and cash at any time delivered to the Custodian by the Funds during </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the term of the Custody Agreement and has authorized the Custodian to hold its securities in its name or the names of its nominees. Pursuant to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the terms of the Custody Agreement, the Custodian may deposit and/or maintain the investment assets of the Funds in a securities depository </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and may appoint a subcustodian to hold investment assets of the Funds. The Custodian establishes and maintains one or more securities accounts </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and cash accounts for the Funds pursuant to the Custody Agreement. The Custodian maintains separate and distinct books and records </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">segregating the assets of the Funds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Custody Agreement has an initial term of three years and, after the initial term, will continue in effect for additional one-year terms </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unless earlier terminated. Notwithstanding the foregoing, beginning in the second year of the Custody Agreement, the Trust may terminate the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Custody Agreement on at least ninety (90) days&#8217; prior written notice to the Custodian, and either party may terminate the Custody Agreement at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">any time upon thirty (30) days&#8217; prior written notice to the other party if the other party is adjudged bankrupt or insolvent, or there shall be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">commenced against such party a case under any applicable bankruptcy, insolvency or other similar law.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Upon termination of the Custody Agreement, the parties agree to cooperate in the execution of documents and performance of other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">actions necessary or desirable in order to facilitate the succession of a new custodian. Upon the date set forth in such notice, the Custodian shall </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">deliver directly to the successor custodian all Funds&#8217; assets. In its capacity as Custodian, BNYM is indemnified under the Custody Agreement.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Distribution Agreement</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to the Distribution Agreement between the Trust and SEI, SEI assists the Sponsor and the Administrator with certain functions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and duties relating to distribution and marketing of Shares including reviewing and approving marketing materials.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Distribution Agreement became effective on the date of the offering of the Shares of the
Funds and the Distribution Agreement will </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">continue until December 19, 2014, continuing automatically for successive periods of three years. The Distribution Agreement may
be </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">terminated by either party at the end of the initial term or the end of any renewal term on ninety (90) days&#8217; prior written notice. Notwithstanding </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the foregoing, either party may terminate the Distribution Agreement in the event of a material breach of the agreement by the other party, upon </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-124</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_27"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">forty-five (45) days&#8217; prior written notice, if
such breach is not cured. The Distribution Agreement will automatically terminate in the event of a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">termination of the Trust.</font></div>
<div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PURCHASES BY EMPLOYEE BENEFIT PLANS</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">General</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The following section sets forth certain consequences under the Employee Retirement Income Security Act of 1974, as amended </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(&#8220;ERISA&#8221;) and the Code, which a fiduciary of an &#8220;employee benefit plan&#8221; as defined in and subject to ERISA or of a &#8220;plan&#8221; as defined in and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">subject to Section 4975 of the Code who has investment discretion should consider before deciding to invest the plan&#8217;s assets in a Fund (such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;employee benefit plans&#8221; and &#8220;plans&#8221; being referred to herein as &#8220;Plans,&#8221; and such fiduciaries with investment discretion being referred to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">herein as &#8220;Plan Fiduciaries&#8221;). The following summary is not intended to be complete, but only to address certain questions under ERISA and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Code which are likely to be raised by the Plan Fiduciary&#8217;s own counsel.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In general, the terms &#8220;employee benefit plan&#8221; as defined in and subject to Title I of ERISA and &#8220;plan&#8221; as defined in and subject to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Section 4975 of the Code together refer to any plan or account of various types which provide retirement benefits or welfare benefits to an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">individual or to an employer&#8217;s employees and their beneficiaries. Such plans and accounts include, but are not limited to, corporate pension and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">profit-sharing plans, &#8220;simplified employee pension plans,&#8221; plans for self-employed individuals (including partners), individual retirement </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accounts described in Section 408 of the Code and medical plans.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Plan Fiduciary must give appropriate consideration to the facts and circumstances that are relevant to an investment in a Fund, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which may include, among other things, the role that such an investment would play in the Plan&#8217;s overall investment portfolio. Each Plan </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fiduciary, before deciding to invest in a Fund, must be satisfied that such investment is prudent for the Plan; that the investments of the Plan, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including the investment in a Fund, are diversified so as to minimize the risk of large losses to the extent required by ERISA or other applicable </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">law; that an investment in a Fund complies with the Plan documents; and that the purchase will not result in any non-exempt prohibited </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transaction under ERISA or Section 4975 of the Code.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">EACH PLAN FIDUCIARY CONSIDERING ACQUIRING SHARES ON BEHALF OF A PLAN MUST CONSULT WITH ITS OWN </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">LEGAL AND TAX ADVISORS BEFORE DOING SO. AN INVESTMENT IN A FUND IS SPECULATIVE AND INVOLVES A HIGH </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">DEGREE
OF RISK. NONE OF THE FUNDS IS INTENDED AS A COMPLETE INVESTMENT PROGRAM.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">&#8220;Plan Assets&#8221;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">ERISA and a regulation issued thereunder by the U.S. Department of Labor contain rules for determining when an investment by a Plan </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in an equity interest of an entity will result in the underlying assets of such entity being considered to constitute assets of the Plan for purposes of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ERISA and Section 4975 of the Code (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">i.e</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">., &#8220;plan assets&#8221;). Those rules provide that assets of an entity will not be considered assets of a Plan </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which purchases an equity interest in the entity if one or more exceptions apply, including (1) an exception applicable if the equity interest </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purchased is a &#8220;publicly offered security&#8221; (the &#8220;Publicly Offered Security Exception&#8221;), and (2) an exception applicable if equity interests </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purchased by a plan are not &#8220;significant.&#8221;</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Publicly Offered Security Exception applies if the equity interest is a security that is (1) &#8220;freely transferable,&#8221; (2) part of a class of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities that is &#8220;widely held,&#8221; and (3) either (a) part of a class of securities registered under Section 12(b) or 12(g) of the 1934 Act, or (b) sold </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the Plan as part of a public offering pursuant to an effective registration statement under the 1933 Act and the class of which such security is a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">part is registered under the 1934 Act within 120 days (or such later time as may be allowed by the SEC) after the end of the fiscal year of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">issuer in which the offering of such security occurred.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Trust expects that the Publicly Offered Security Exception should apply with respect to the Shares of each Fund.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Ineligible Purchasers</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Among other considerations, Shares generally may not be purchased with the assets of a Plan if the Sponsor, the FCMs or any of their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">respective affiliates, any of their respective employees or any employees of their respective affiliates: (1) has investment discretion with respect </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-125</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_28"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the investment of such plan assets; (2) has authority
or responsibility to give or regularly gives investment advice with respect to such plan </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">assets, for a fee, and pursuant to an agreement or understanding that such advice
will serve as a primary basis for investment decisions with </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">respect to such plan assets and that such advice will be based on the particular investment needs of the Plan;
or (3) is an employer maintaining or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contributing to such Plan. A party that is described in clause (1) or (2) of the preceding sentence would be a fiduciary under ERISA
and/or the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Code (as applicable) with respect to the Plan, and unless an exemption applies, any such purchase might result in a &#8220;prohibited transaction&#8221; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">under ERISA and the Code.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Governmental, Church and Non-US Plans</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">While U.S. Federal, state and local governmental plans, non-U.S. plans, and so-called
&#8220;non-electing&#8221; church plans are not subject to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">ERISA or Section 4975 of the Code, the laws applicable to these plans may contain fiduciary and prohibited
transaction requirements similar to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">those under ERISA and the Code. Accordingly, fiduciaries of such plans, in consultation with their advisers, should consider the impact
of their </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">respective laws and regulations on an investment in a Fund and the considerations discussed above, if applicable.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Form 5500 Reporting Requirements</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Plan Fiduciaries of ERISA Plans are required to file Form 5500 annual returns/reports with the
U.S. Department of Labor and the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Internal Revenue Service that set forth the current value and other information with respect to the assets of such ERISA Plans. The
Sponsor </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">believes that the annual reports of the Funds will provide sufficient information to permit Plan Fiduciaries to provide an annual valuation of Plan </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investments as required for this purpose; however, fiduciaries should note that they have the ultimate responsibility for providing such valuation. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Certain ERISA Plans may further be required to report certain compensation paid by the Funds (or by third parties) to the Funds&#8217; service </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">providers as &#8220;indirect compensation&#8221; on Schedule C to Form 5500. To the extent any compensation arrangements described herein constitute </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">indirect compensation that meets the definition of &#8220;eligible indirect compensation,&#8221; as defined in the Instructions for Schedule C to Form 5500, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the descriptions herein of those compensation arrangements are intended to satisfy the alternative reporting option for &#8220;eligible indirect </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">compensation&#8221; under such Instructions.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Except as otherwise set forth, the foregoing statements regarding the consequences under ERISA and the Code of an investment in Shares </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Funds are based on the provisions of ERISA and the Code as currently in effect, and the existing administrative and judicial interpretations</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> thereunder. No assurance can be given that administrative, judicial or legislative changes will not occur that will not make the foregoing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">statements incorrect or incomplete.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">ACCEPTANCE OF INVESTMENTS ON BEHALF OF PLANS IS IN NO RESPECT A REPRESENTATION BY THE SPONSOR OR </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ANY OTHER PARTY RELATED TO THE FUNDS THAT AN INVESTMENT IN A FUND MEETS THE RELEVANT LEGAL </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">REQUIREMENTS
WITH RESPECT TO INVESTMENTS BY ANY PARTICULAR PLAN OR THAT SUCH AN INVESTMENT IS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">APPROPRIATE FOR ANY PARTICULAR PLAN. THE PERSON WITH INVESTMENT DISCRETION SHOULD CONSULT
WITH HIS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">OR HER ATTORNEY AND FINANCIAL ADVISORS AS TO THE PROPRIETY OF AN INVESTMENT IN SHARES IN LIGHT OF THE </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CIRCUMSTANCES OF THE PARTICULAR PLAN AND CURRENT TAX LAW.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PLAN OF DISTRIBUTION</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Buying and Selling Shares</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Most investors buy and sell Shares in secondary market transactions through brokers. Shares of
the Funds trade on the Exchange under </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the ticker symbols listed in this Prospectus. Shares are bought and sold throughout the trading day like other publicly traded
securities. When </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">buying or selling Shares through a broker, most investors incur customary brokerage commissions and charges.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Authorized Participants</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds continuously offer Shares in Creation Units to Authorized Participants. Shares of the Funds are to be offered to Authorized </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Participants in Creation Units at each Fund&#8217;s respective NAV.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-126</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_29"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Authorized Participants may offer to the public, from time to time, Shares of a Fund from any Creation Units
they create. Shares of a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund offered to the public by Authorized Participants are offered at a per Share market price that varies depending on, among other factors, the
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading price of the Shares of each Fund on its Exchange, the NAV per Share and the supply of and demand for the Shares at the time of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">offer. Shares initially comprising the same Creation Unit but offered by Authorized Participants to the public at different times may have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">different offering prices. Additionally, the price at which an Authorized Participant sells a Share may be higher or lower than the price paid by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">such Authorized Participant in connection with the creation of such Share in a Creation Unit. Authorized Participants do not receive from any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund, the Sponsor or any of their affiliates, any fee or other compensation in connection with their sale of Shares to the public, although </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investors are expected to be charged a customary commission by their brokers in connection with the purchase and sale of Shares that varies </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">from investor to investor. Investors are encouraged to review the terms of their brokerage accounts for applicable charges.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As of the date of this Prospectus, ABN AMRO Clearing Chicago LLC, Barclays Capital Inc.,
BofA/Merrill Lynch Professional Clearing, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">BNP Paribas Securities Corp., Citigroup Global Markets, Inc., Citadel Securities LLC, Cowen, Credit Suisse Securities (USA) LLC,
Deutsche </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bank Securities Inc., Goldman, Sachs &amp; Co., Jane Street Capital, LLC, Jefferies LLC, J.P. Morgan Securities Inc., Mizuho Securities USA Inc., </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">RBC Capital Markets, LLC, SG Americas Securities, LLC, Timber Hill LLC-Interactive Brokers, UBS Securities LLC, Virtu Financial BD LLC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and Wedbush Morgan Securities, Inc. have each executed an Authorized Participant Agreement and are the only Authorized Participants.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Likelihood of Becoming a Statutory Underwriter</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund issues Shares in Creation Units to Authorized Participants from time to time generally in exchange for cash. Because new </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Shares can be created and issued on an ongoing basis at any point during the life of each Fund, a &#8220;distribution,&#8221; as such term is used in the 1933 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Act, will be occurring. An Authorized Participant, other broker-dealer firm or its client could be deemed a statutory underwriter, and thus would </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">be subject to the prospectus delivery and liability provisions of the 1933 Act, if it purchased a Creation Unit from each Fund, broke the Creation </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Unit down into the constituent Shares and sold the Shares to its customers; or if it chose to couple the creation of a supply of new Shares with an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">active selling effort involving solicitation of secondary market demand for the Shares. A determination of whether one is an underwriter must </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">take into account all the facts and circumstances pertaining to the activities of the broker-dealer or its client in the particular case, and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">examples mentioned above should not be considered a complete description of all the activities that would lead to categorization as an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">underwriter. Authorized Participants, other broker-dealers and other persons are cautioned that some of their activities may result in their being </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">deemed participants in a distribution in a manner which would render them statutory underwriters and subject them to the prospectus delivery </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and liability provisions of the 1933 Act.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Dealers who are neither Authorized Participants nor &#8220;underwriters&#8221; but are participating in a distribution (as contrasted to ordinary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">secondary trading transactions), and thus dealing with Shares that are part of an &#8220;unsold allotment&#8221; within the meaning of section 4(3)(C) of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1933 Act, would be unable to take advantage of the prospectus delivery exemption provided by section 4(3) of the 1933 Act.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">General</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Retail investors may purchase and sell Shares through traditional brokerage accounts. Investors who purchase Shares through a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">commission/fee based brokerage account may pay commissions/fees charged by the brokerage account. Investors are encouraged to review the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">terms of their brokerage accounts for applicable charges.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The offering of Creation Units is being made in compliance with FINRA Rule 2310. Accordingly, the Authorized Participants may not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">make any sales to any account over which they have discretionary authority without the prior written approval of a purchaser of Shares. In any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">event, the maximum amount of all items of value, including compensation paid from the offering proceeds and in the form of &#8220;trail </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">commissions,&#8221; to be paid to FINRA members, including to SEI and PDI, in connection with the offering of the Shares by a Fund will not exceed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10% of gross offering proceeds.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">LEGAL MATTERS</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Morgan, Lewis &amp; Bockius LLP has advised the Sponsor in connection with the Shares being offered. Morgan, Lewis &amp; Bockius LLP also </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">advises the Sponsor with respect to its responsibilities as sponsor of, and with respect to matters relating to, the Trust and the Funds. Morgan, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Lewis &amp; Bockius LLP has prepared the sections &#8220;Material U.S. Federal Income Tax Considerations&#8221; with respect to U.S. federal income tax </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-127</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_30"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">laws and &#8220;Purchases By Employee Benefit
Plans&#8221; with respect to ERISA. Morgan, Lewis &amp; Bockius LLP has not represented, nor will it </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">represent, the Trust, the Funds or the shareholders in matters
relating to the Trust or the Funds and no other counsel has been engaged to act on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">their behalf.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Richards, Layton &amp; Finger, P.A. has represented the Trust in connection with the legality of
the Shares being offered hereby.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Certain opinions of counsel have been filed with
the SEC as exhibits to the Registration Statement of which this Prospectus is a part.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">EXPERTS</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The combined financial statements of ProShares Trust II, the individual financial statements of each of the funds comprising ProShares </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trust II, management&#8217;s assessment of the effectiveness of internal control over financial reporting of ProShares Trust II, and management&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">assessment of the effectiveness of internal control over financial reporting of each of the individual funds comprising ProShares Trust II (which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">are included in Management&#8217;s Report on Internal Control over Financial Reporting) incorporated in this Prospectus by reference to the Annual </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Report on Form 10-K for the year ended December 31, 2020 have been so incorporated in reliance on the report of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">PricewaterhouseCoopers LLP, an independent registered public accounting firm, given on the authority of said firm as experts in auditing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and accounting.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">WHERE INVESTORS CAN FIND MORE INFORMATION</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Trust has filed a Registration Statement on Form S-1 with the SEC under the 1933 Act. This Prospectus constitutes part of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Registration Statement filed by the Trust for itself and on behalf of each Fund. Additionally, as further discussed under &#8220;Incorporation by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Reference of Certain Documents,&#8221; we have incorporated by reference certain historical information. This Prospectus does not contain all of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">information set forth in such Registration Statement, certain portions of which have been omitted pursuant to the rules and regulations of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SEC, including, without limitation, certain exhibits thereto (for example, the form of the Authorized Participant Agreement).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The descriptions contained herein of agreements included as exhibits to the Registration
Statement are necessarily summaries and may </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">not be complete; the exhibits themselves may be inspected without charge at the Public Reference Room maintained by the SEC at
100 F Street, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">NE, Washington, DC 20549, and copies of all or part thereof may be obtained from the SEC upon payment of the prescribed fees. Investors may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">obtain information on the operation of the Public Reference Room by calling the SEC at 1-800-SEC-0330. The SEC maintains a website that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contains reports, proxy and information statements and other information regarding registrants that file electronically with the SEC. The address </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of such site is www.sec.gov.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">RECENT FINANCIAL INFORMATION AND ANNUAL REPORTS</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">You should read the financial statements and the notes to those financial statements in the Trust&#8217;s Annual Report on Form 10-K for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">year ended December 31, 2020, along with any amendments thereto, which have been incorporated by reference into this Prospectus and, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">subsequent to the date of this Prospectus, future filings with the SEC will be automatically deemed incorporated into this Prospectus, including </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">subsequent financial statements, data and related notes with respect to all of the Funds. Please refer to the section entitled &#8220;Incorporation by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Reference of Certain Documents&#8221; in Part Two of this Prospectus.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor will furnish an annual report of the Funds in the manner required by the rules and regulations of the SEC as well as with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">those reports required by the CFTC and the NFA, including, but not limited to, annual audited financial statements of the Funds examined and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certified by independent registered public accountants and any other reports required by any other governmental authority that has jurisdiction </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">over the activities of the Funds. Monthly account statements conforming to CFTC and NFA requirements, as well as the current annual and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">quarterly reports and other filings made with the SEC, are posted on the Sponsor&#8217;s website at www.ProShares.com. Shareholders of record will </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">also be provided with appropriate information to permit them to file U.S. federal and state income tax returns with respect to Shares held. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Additional reports may be posted on the Sponsor&#8217;s website at the discretion of the Sponsor or as required by regulatory authorities.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-128</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_31"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:13.0pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">PRIVACY
POLICY</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">The Trust&#8217;s Commitment to Investors</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor and the Trust are committed to respecting the privacy of personal information investors entrust to the Trust in the course of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">doing business.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">The Information the Trust Collects About Investors</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor, on behalf of the Trust, collects non-public personal information from various sources. For instance, forms may include </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">names, addresses, and social security numbers. The Funds receive information from transactions in investors&#8217; accounts, including account </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">balances, and from correspondence between investors and the Funds or third parties, such as the Funds&#8217; service providers. The Sponsor, on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">behalf of the Funds, uses such information provided by investors or their representative to process transactions, to respond to inquiries from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investors, to deliver reports, products, and services, and to fulfill legal and regulatory requirements.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">How the Trust Handles Investors&#8217; Personal Information</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor does not disclose any non-public personal information about investors to anyone unless permitted by law or approved by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affected investor. The Sponsor may share information about investors with certain third parties who are not affiliated with the Trust to process or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">service a transaction that investors have requested or as permitted by law. For example, sharing information with non-affiliated third parties that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">maintain or service investors&#8217; accounts for the Funds is essential.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor may also share information with companies that perform administrative or marketing services for the Funds including </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">research firms. When the Funds enter into such a relationship, such third parties&#8217; use of customer&#8217;s information is restricted and they are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">prohibited from sharing it or using it for any purposes other than those for which they were hired. The Sponsor also requires service providers to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">maintain physical, electronic and procedural safeguards that comply with federal standards to guard investors&#8217; non-public personal information.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">How the Trust Safeguards Investors&#8217; Personal Information</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor maintains physical, electronic, and procedural safeguards to protect investors&#8217; personal information. Within the Funds, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">access to personal information is restricted to those employees who require access to that information in order to provide products or services to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">customers such as processing transactions and handling inquiries. Use of customer information is restricted and customer information is required </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to be held in strict confidence.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Sponsor will adhere to the policies and practices described in this notice for both current and former customers of the Funds.</font></div>
<div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">INCORPORATION BY REFERENCE OF CERTAIN DOCUMENTS</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The SEC allows the Trust to &#8220;incorporate by reference&#8221; into this Prospectus certain
information that the Trust files with the SEC, meaning </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">it can disclose important information to an investor by referring to those documents on file with the
SEC.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The information that the Trust incorporates by reference is an important part
of this Prospectus and later information that we will file with </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the SEC will automatically update and supersede some of this information. We incorporate by reference any
future filings we make with the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">SEC pursuant to Section 13(a), 13(c), 14 or 15(d) of the 1934 Act. The Trust also incorporates by reference the documents listed
below:</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The Trust&#8217;s Annual Report on Form 10-K for the year ended December 31, 2020; and</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The Trust&#8217;s Quarterly Report on Form 10-Q for the quarterly
period ended March 31, 2021;</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The Trust&#8217;s current report on Form 8-K filed on May 11, 2021;</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The Trust&#8217;s Quarterly Report on Form 10-Q for the quarterly
period ended June 30, 2021;</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-129</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_3c3104b5-9203-49b4-a306-c32b8dbbe751_32">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The Trust&#8217;s Quarterly Report on Form 10-Q for the quarterly
period ended September 30, 2021;</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The Trust&#8217;s current report on Form 8-K filed on December 23, 2021;</font></div>
<div style="line-height:11.0pt;margin-left:39.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">All other reports filed pursuant to Section 13(a) or 15(d) of the 1934 Act since December 31, 2020, including all information </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed on Form 8-K other than Furnished Information (as defined below).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Trust may furnish to the SEC certain material non-public information, including (i) information regarding its results of operations or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial condition for a completed quarterly or annual fiscal period under Item 2.02 of Form 8-K, (ii) in order to comply with SEC Regulation </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">FD prohibiting selective disclosure of material information under Item 7.01 of Form 8-K, and (iii) any other information that may be permitted </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the future to be furnished as a result of changes in SEC regulations (all such information, together with any exhibits filed on Form 8-K that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">are related to such disclosure, &#8220;Furnished Information&#8221;). Furnished Information is not incorporated herein by reference unless we expressly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">state otherwise.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Any statement contained in a document that is incorporated by reference will be modified or
superseded for all purposes to the extent that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">a statement contained in this Prospectus (or in any other document that is subsequently filed with the SEC and incorporated
by reference) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">modifies or is contrary to that previous statement. Any statement so modified or superseded will not be deemed a part of this Prospectus except </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as so modified or superseded.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Trust also incorporates by reference any future filings, other than Furnished Information unless we expressly state otherwise, made </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with the SEC pursuant to Sections 13(a), 13(c), 14 or 15(d) of the 1934 Act, in each case, other than those documents or the portions of those </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">documents deemed to be furnished and not filed in accordance with SEC rules, until the offering of the securities under the registration statement </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of which this Prospectus forms a part is terminated or completed. Information in such future filings updates and supplements the information </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">provided in this Prospectus. Any statements in any such future filings will be deemed to modify and supersede any information in any document </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">we previously filed with the SEC that is incorporated or deemed to be incorporated herein by reference to the extent that statements in the later </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed document modify or replace such earlier statements.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Because the Trust is incorporating by reference future filings with the SEC, this Prospectus is continually updated and later information </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed with the SEC may update and supersede some of the information included or incorporated by reference in this Prospectus. This means that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">you must look at all of the SEC filings that we incorporate by reference to determine if any of the statements in this Prospectus or in any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">document previously incorporated by reference have been modified or superseded.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Trust will provide to you a copy of the filings that have been incorporated by reference in this Prospectus upon your request, at no </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cost. In addition, the Trust will also provide you with information regarding the other series of the Trust upon your request, at no cost. Any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">request may be made by writing or calling at the following address or telephone number:</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">ProShares Trust II</font> <br><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">c/o ProShare Capital Management
LLC</font> <br><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">7272 Wisconsin Avenue</font> <br><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">21</font><font
style="color:#000000;font-family:Times New Roman;font-size:5.5pt;font-weight:bold;position:relative;top:-3.75pt;">st</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;"> Floor</font> <br><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Bethesda, Maryland 20814</font> <br><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Telephone: (240) 497-6400</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">These documents may also be accessed through the web at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">www.ProShares.com</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> or as described under &#8220;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Where Investors Can Find More </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Information</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">.&#8221; The information and other content contained on or linked from the website are not incorporated by reference in this Prospectus </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and should not be considered a part of this Prospectus.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Annual, quarterly and current reports and other information are on file with the SEC. The SEC maintains an internet site at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">www.sec.gov</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;"> </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that contains reports, proxy and information statements and other information regarding the Trust and the Funds.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-130</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_1"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:13.0pt;text-align:center;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">FUTURES COMMISSION
MERCHANTS</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Each Fund intends to use BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX,
UBSS, GS, and GSI, in its capacity as a registered FCM, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">as its FCM. Each of BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX, UBSS, GS, and GSI, in its capacity as a
registered FCM, serves as a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">clearing broker to the Trust and the Funds and certain other funds of the Trust and as such arranges for the execution and clearing of the
Funds&#8217; </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures transactions. Each of BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX, UBSS, GS, and GSI acts as clearing broker for many other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">funds and individuals. A variety of executing brokers may execute futures transactions on behalf of the Funds. The executing brokers will give </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">up all such transactions to BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX, UBSS, GS, or GSI as applicable.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Investors should be advised that none of BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX, UBSS, GS, or GSI is affiliated with or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">acts as a supervisor of the Funds or the Funds&#8217; commodity pool operators, commodity trading advisors, investment managers, trustees, general </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">partners, administrators, transfer agents, registrars or organizers, as applicable. Additionally, none of BofAS, RBC, BCI, DBSI, Man, SGAS, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CSS, StoneX, UBSS, GS, or GSI, in its capacity as a registered FCM, is acting as an underwriter or sponsor of the offering of any Shares or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">interests in the Funds or has passed upon the merits of participating in this offering.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">None of BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX, UBSS, GS, or GSI has passed upon the adequacy of this Prospectus or on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the accuracy of the information contained herein. Additionally, none of BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX, UBSS, GS, or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">GSI provides any commodity trading advice regarding the Funds&#8217; trading activities. Investors should not rely upon BofAS, RBC, BCI, DBSI, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Man, SGAS, CSS, StoneX, UBSS, GS, or GSI in deciding whether to invest in the Funds or retain their interests in the Funds. Investors should </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">also note that the Funds may select additional clearing brokers or replace BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX, UBSS, GS, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and/or GSI as the Funds&#8217; clearing broker.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Litigation and Regulatory Disclosure Relating to FCMs</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">BofA Securities, Inc.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">BofA Securities, Inc. (the &#8220;Company&#8221; or &#8220;BofAS&#8221;), a Delaware corporation,
is registered with the U.S. Commodity Futures Trading </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commission (&#8220;CFTC&#8221;) as a Futures Commission Merchant (&#8220;FCM&#8221;). The Company is a clearing
member of the Chicago Board of Trade, and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Chicago Mercantile Exchange, and is either a clearing member or member of all other principal U.S. futures and futures
options exchanges. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">With regard to those domestic futures and futures options exchanges of which it is not a clearing member, the Company has entered into third </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">party brokerage relationships with FCMs that are clearing members of those exchanges. The Company maintains its principal place of business </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">at One Bryant Park, New York, NY10036.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Bank of America Corporation (the &#8220;Corporation&#8221; or &#8220;Bank of America&#8221;), the
Company&#8217;s ultimate parent (the &#8220;Parent&#8221;) makes all </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">required disclosures in its Annual Reports on Form 10-K and Quarterly Reports on Form 10-Q, which may
be updated by Current Reports on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Form 8-K, all of which are filed with the Securities and Exchange Commission (&#8220;SEC&#8221;) (&#8220;Regulatory Filings&#8221;). The
Company makes all </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">required disclosures in its Form BD and ADV filings (&#8220;Form BD and ADV Filings&#8221;) with the Financial Industry Regulatory Authority </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(&#8220;FINRA&#8221;). Those Regulatory Filings and Form BD and ADV Filings include disclosures of Regulatory Inquiries as required by federal law and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">applicable regulations. The Regulatory Filings are publicly available on the SEC&#8217;s website at www.sec.gov. The Form BD Filings are publicly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">available on the FINRA BrokerCheck system at http://brokercheck.finra.org/. The Form ADV filings are publicly available on the SEC&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Investment Adviser Search website at: http://www.adviserinfo.sec.gov/IAPD/default.aspx. Additional concluded actions can be found at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">http://www.nfa.futures.org/basicnet/welcome.aspx. This link will take you to the Welcome Page of the NFA&#8217;s Background Affiliation Status. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Information Center (&#8220;BASIC&#8221;). At this page, there is a box where you can enter the NFA ID of BofA Securities, Inc. (0500214) and then click </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Go&#8221;. You will be transferred to the NFA&#8217;s information specific to BofAS. Under the heading &#8220;Regulatory Actions&#8221;, click &#8220;View All Actions&#8221;
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and you will be directed to the full list of regulatory actions brought by the CFTC and exchanges.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the ordinary course of business, the Company is occasionally a defendant in or party to
pending and threatened legal actions and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings. In view of the inherent difficulty of predicting the outcome of such litigation and regulatory matters, particularly
where the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">claimants seek unspecified or very large or indeterminate damages or where the matters present novel legal theories or involve a large number of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">parties, the Company cannot predict what the eventual outcome of the pending matters will be, what the timing of the ultimate resolution of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">these matters will be, or what the eventual loss, fines or penalties related to each pending matter may be.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-131</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_2"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In accordance with applicable
accounting guidance, the Company establishes an accrued liability for litigation and regulatory matters </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">when those matters present loss contingencies that are both
probable and estimable. In such cases, there may be an exposure to loss in excess of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">any amounts accrued. As a matter develops, the Company, in conjunction with any
outside counsel handling the matter, evaluates on an ongoing </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">basis whether such matter presents a loss contingency that is probable and estimable. Once the loss
contingency related to a matter is deemed to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">be both probable and estimable, the Company will establish an accrued liability. The Company continues to monitor the matter
for further </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">developments that could affect the amount of the accrued liability that has been previously established.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In some of the matters described below, loss contingencies are not both probable and estimable in
the view of management, and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">accordingly, an accrued liability has not been established for those matters. Information is provided below regarding the nature of all these
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contingencies and, where specified, the amount of the claim associated with these loss contingencies. Based on current knowledge, management </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">does not believe that loss contingencies arising from pending matters, including the matters described herein, will have a material adverse effect </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on the Company&#8217;s consolidated financial position or liquidity. However, in light of the inherent uncertainties involved in these matters, some of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which are beyond the Company&#8217;s control, and the very large or indeterminate damages sought in some of these matters, an adverse outcome in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">one or more of these matters could be material to the Company&#8217;s results of operations or cash flows for any particular reporting period.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 13, 2019, BofAS acquired the Global Banking and Markets (&#8220;GBAM&#8221;) assets of
Merrill Lynch, Pierce, Fenner &amp; Smith </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Incorporated (&#8220;MLPF&amp;S&#8221;), then an affiliated futures commission merchant. BofAS deems it appropriate to disclose
certain MLPF&amp;S litigation </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and regulatory matters arising from the GBAM business acquired from MLPF&amp;S that would otherwise have been required to be disclosed under
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">CFTC Rule 1.55(k)(7) prior to the transfer of the business to BofAS.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The actions against the Company, and those arising from the GBAM business acquired from MLPF&amp;S include, but are not limited to, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the following:</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Mortgage-Backed Securities (&#8220;MBS&#8221;) Litigation</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">MLPF&amp;S and certain of its affiliates have been named as defendants in a number of cases relating to their various roles as issuer, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">originator, seller, depositor, sponsor, and/or underwriter in MBS offerings, pursuant to which the MBS investors were entitled to a portion of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cash flow from the underlying pools of mortgages. These cases generally include actions by individual MBS purchasers and governmental </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">actions. Although the allegations vary by lawsuit, these cases generally allege that the registration statements, prospectuses and prospectus </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">supplements for securities issued by securitization trusts contained material misrepresentations and omissions, in violation of the Securities Act </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and/or state securities laws and other state statutory and common laws.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">These cases generally involve allegations of false and misleading statements regarding: (i) the process by which the properties that served </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as collateral for the mortgage loans underlying the MBS were appraised; (ii) the percentage of equity that mortgage borrowers had in their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">homes; (iii) the borrowers&#8217; ability to repay their mortgage loans; (iv) the underwriting practices by which those mortgage loans were originated; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(v) the ratings given to the different tranches of MBS by rating agencies; and (vi) the validity of each issuing trust&#8217;s title to the mortgage loans </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">comprising the pool for the securitization (collectively, &#8220;MBS Claims&#8221;). Plaintiffs in these cases generally seek unspecified compensatory </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">damages, unspecified costs and legal fees and, in some instances, seek rescission. A number of other entities threatened legal actions against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">MLPF&amp;S concerning MBS offerings.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Tutor Perini Corp. v. Banc of America Securities LLC and Bank of America, N.A.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Tutor Perini Corporation filed an action on May 18, 2011 in the U.S. District Court for the District of Massachusetts entitled </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Tutor Perini </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Corporation v. Banc of America Securities LLC, now known
as Merrill Lynch, Pierce, Fenner &amp; Smith Incorporated, successor by merger, and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Bank of America, N.A.</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> The complaint alleges that Defendants failed to disclose material facts about the market for auction-rate securities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(&#8220;ARS&#8221;) that Tutor Perini purchased from BAS in late 2007 and early 2008. The complaint alleges that auctions for those ARS failed beginning </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in February 2008, allegedly preventing Tutor Perini from liquidating its ARS at par value in the auctions, and that Tutor Perini subsequently sold </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its ARS on the secondary market at a loss. The complaint asserts federal securities-fraud, Massachusetts Uniform Securities Act (&#8220;MUSA&#8221;), </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Massachusetts Unfair and Deceptive Trade Practices Act (&#8220;UDTPA&#8221;), common-law fraud, unsuitability, and intentional-and negligent-misrepresentation</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> claims. Plaintiff seeks damages in excess of $100M.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 12, 2015, the District Court granted defendants summary judgment dismissing all claims.
On November 21, 2016, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Court of Appeals for the First Circuit affirmed the District Court&#8217;s decision with respect to all claims against BANA and as to
Perini&#8217;s </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-132</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_3"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">unsuitability, common-law fraud, and intentional misrepresentation claims against BAS, but vacated and remanded for further
proceedings on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the federal securities-fraud, MUSA, UDTPA, and negligent-misrepresentation claims against BAS. The parties resolved the matter for $37 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million and the case was dismissed with prejudice on June 6, 2017.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SEC 15(c)(3) Order 6/23/2016</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 23, 2016, the SEC issued an administrative order in which it found that MLPF&amp;S and
Merrill Lynch Professional Clearing Corp. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(&#8220;MLPro&#8221;) had willfully violated Section 15(c)(3) of the Securities Exchange Act of 1934 (&#8220;Exchange Act&#8221;)
and Rule 15c3-3 thereunder and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Section 17(a)(1) of the Exchange Act and Rules 17a-3(a)(10) and 17a-5(a) thereunder, and that MLPF&amp;S willfully violated Section 17(a)(1)
of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Exchange Act and Rules 17a-5(d)(3) (as it existed prior to amendments to Rule 17a-5 in 2014), 17a-5(d)(2)(ii), 17a-5(d)(3) and 17a-11(e) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">thereunder, and Exchange Act Rule 21F-17. Specifically, the order found that (i) MLPF&amp;S and MLPro engaged in a series of complex trades </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that allowed it to use customer cash to finance firm inventory, (ii) MLPF&amp;S allowed certain of its clearing banks to hold liens on customer </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities, and (iii) MLPF&amp;S used language in certain of its policies, procedures, and agreements with employees that unduly limited the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">disclosure of confidential information. In determining to accept MLPF&amp;S&#8217;s and MLPro&#8217;s offer, the SEC considered remedial acts promptly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">undertaken by MLPF&amp;S and MLPro and substantial cooperation afforded the SEC staff during the course of its investigation. In the order, (i) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">MLPF&amp;S and MLPro were censured, (ii) MLPF&amp;S was ordered to cease and desist from committing or causing any violations and any future </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violations of Sections 15(c)(3) and 17(a)(1) of the Exchange Act and Rules 15c3-3, 17a-3(a)(10), 17a-5(a), 17a-5(d)(2)(ii), 17a-5(d)(3), </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">17a-11(e) and 21F-17 thereunder, (iii) MLPro was ordered to cease and desist from committing or causing any violations and any future </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violations of Sections 15(c)(3) and 17(a)(1) of the Exchange Act and Rules 15c3-3, 17a-3(a)(10) and 17a-5(a) thereunder, (iv) MLPF&amp;S and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">MLPro were ordered to pay disgorgement of $50,000,000 and prejudgment interest in the amount of $7,000,000, and (v) MLPF&amp;S was ordered </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to pay a civil monetary penalty of $358,000,000.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SEC Market Access Rule Order 9/26/2016</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 26, 2016, MLPF&amp;S entered into a settlement with the SEC resulting in the SEC issuing an Order. MLPF&amp;S consented to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the entry of the order (the &#8220;Order&#8221;) that finds that it violated Section 15(c)(3) of the Exchange Act and Rule 15c3-5 thereunder (the &#8220;Market </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Access Rule&#8221;). The Order finds that MLPF&amp;S violated the Market Access Rule by failing to establish, document, and maintain a system of risk </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">management controls and supervisory procedures reasonably designed to manage the financial, regulatory, and other risks of its market access </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">activity. In particular, MLPF&amp;S failed to establish pre-trade risk management controls reasonably designed to prevent the entry of erroneous </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">orders, to establish pre-trade risk management controls reasonably designed to prevent the entry of orders that would exceed pre-set credit or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">capital limits for several of its trading desks, to establish required controls and procedures for fixed income securities, to review adequately the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">effectiveness of its risk management controls and supervisory procedures require by the Market Access Rule, particularly for preventing the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">entry of erroneous orders, and to comply with the Market Access Rule&#8217;s CEO certification requirements. Without admitting or denying any of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the findings or conclusions in the order, MLPF&amp;S consented to the imposition of the following sanctions: (i) to be censured, (ii) to cease and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">desist from committing or causing any violations and any future violations of Section 15(c)(3) of the Exchange Act and Rule 15c3-5 thereunder, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and (iii) to pay a civil monetary penalty of $12,500,000.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">CFTC Order 9/22/2017</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 22, 2017, the Commodity Futures Trading Commission announced that MLPF&amp;S agreed
to the entry of an order that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleged that the CFTC had reason to believe that MLPF&amp;S (a) violated Regulation 166.3, 17 C.F.R. &#167; 166.3 (2016), under the Commodity
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Exchange Act (CEA) in connection with its alleged failure to supervise diligently MLPF&amp;S&#8217;s response to the investigation by the CME </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Group Inc.&#8217;s Market Regulation Department regarding recordkeeping and execution practices with respect to block trades; (b) violated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Regulation 166.3, 17 C.F.R. &#167; 166.3 (2016), under the CEA in connection with its alleged inadequate procedures for preparing and maintaining </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">records for block trades executed by the Swaps Desk, including procedures for recording accurate block trade execution times and not being </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">diligent in ensuring that its existing procedures for preparing and maintaining records for block trades were being implemented; and (c) violated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Section 4g of the CEA, 7 U.S.C. &#167; 6g (2012) and Regulations 1.31 and 1.35 under the CEA, 17 C.F.R. &#167;&#167; 1.31 and 1.35 (2016) in connection </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with the alleged failure to maintain certain books and records regarding the execution of block trades. Without admitting or denying any of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">findings or conclusions in the order, MLPF&amp;S consented to the imposition of the following sanctions: (1) to cease and desist from violating </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Section 4g of the CEA and Regulations 1.31, 1.35 and 166.3 thereunder, (2) to pay a civil monetary penalty in the amount of $2,500,000, and (3) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to comply with certain undertakings.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-133</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_4">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SEC Section 17(A) Order 12/21/2017</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On December 21, 2017, the SEC announced that public administrative and cease-and-desist proceedings we instituted pursuant to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Section 15(b) and 21C of the Exchange Act and Section 203(E) of the Advisers Act against MLPF&amp;S. MLPF&amp;S, in addition to offering its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">customers the ability to buy and sell securities, offered its customers other services in brokerage accounts, such as ATM cash deposits, wires, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">journal-entry transfers, check writing, ATM withdrawals, cash advances and ACH transfers. By offering these additional services, MLPF&amp;S </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">was susceptible to risks of money laundering and other illicit financial activity associated with these services. During the relevant period, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">MLPF&amp;S primarily used a system called &#8220;Mantas&#8221; for the automated monitoring of retail brokerage accounts to detect potential money </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">laundering activity related to money movements. Mantas alerted on transactions that fit within the parameters of specific scenarios selected by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">MLPF&amp;S. MLPF&amp;S had other methods of detecting suspicious movements of funds in accounts, but those methods were primarily manual, or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">only alerted on certain types of activity.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">MLPF&amp;S also used a separate automated surveillance systems to conduct trade surveillance and referred to the alerts produced by its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">anti-money laundering (AML) detection channels as &#8220;Events.&#8221; MLPF&amp;S also used a system called &#8220;Event Processor,&#8221; or &#8220;EP,&#8221; which grouped </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Mantas events and events produced by other firm detection channels and assigned points to the event groups. From 2006 through January 2012, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">MLPF&amp;S did not investigate Mantas events that were not grouped with an Event from one of the other detection channels, such an employee </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">referral, a government subpoena, or an Event related to a wire transfer or ATM transaction that had been routed through a consumer bank before </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">being debited or credited to an MLPF&amp;S customer&#8217;s retail brokerage account. EP used a number of systems and techniques to group Events </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">arising from related retail brokerage accounts. However, EP inadvertently did not link related accounts that involved customers who had both </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Dollar-denominated and foreign currency-denominated accounts. Accordingly, certain Event groups did not meet the risk-based threshold </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and became an investigation for further review as rapidly as they otherwise would have, if at all. MLPF&amp;S did not have adequate policies and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">procedures for filing what were commonly known as &#8220;Continuing Activity&#8221; or &#8220;Ongoing Activity&#8221; Suspicious Activity Reports (SARS).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">MLPF&amp;S had AML policies and procedures that were not reasonably designed to account for the
additional risk associated with the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">additional services offered by certain of its retail brokerage accounts. Once an AML case was opened, the platform used by
MLPF&amp;S&#8217; AML </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigators during part of the relevant period did not provide sufficient visibility into transactions occurring in an account, causing the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigators sometimes unduly to limit their review to the specific events that triggered the Event and not to review the account more broadly to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">determine whether the risk associated with that event warranted additional investigation or reporting. Because of the deficiencies in its AML </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">policies and procedures MLPF&amp;S failed to adequately monitor for, detect, and report certain suspicious activity related to transaction or pattern </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of transactions in its customers&#8217; accounts. By failing to file SARS with Financial Crimes Enforcement Network (FINCEN) as required by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">BSA with respect to certain of its customers&#8217; activity as described above, MLPF&amp;S wilfully violated Section 17(A) of the Exchange Act and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Rule 17A-8 thereunder. Without admitting or denying any of the findings or conclusions in the order, MLPF&amp;S consented to the imposition of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the following sanctions: (1) cease and desist from committing or causing any violations and any future violations of Exchange Act Section 17(a) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or Rule 17a-8 promulgated thereunder, (2) to be censured, and (3) to pay a civil monetary penalty in the amount of $13,000,000.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SEC ATS (Masking) Settlement 6/19/2018 (Attorney General of the State of New York 3.22.2018)</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 19, 2018, the SEC issued an administrative proceeding against MLPF&amp;S concerning
MLPF&amp;S&#8217;s sustained efforts to hide its </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">practice of routing certain institutional customer orders to other broker-dealers (ELPs), including proprietary trading
firms and wholesale market </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">makers, for execution. MLPF&amp;S configured a number of internal/external trade reporting systems so that institutional customer orders that
were </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">executed at ELPs instead appeared to institutional customers to have been executed at MPF&amp;S. MLPF&amp;S similarly misreported ELP executions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in reports provided to institutional customers and in billing invoices. When responding to institutional customer questionnaires and in other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">communications, MLPF&amp;S specifically omitted ELPs from lists of venues to which institutional customer orders were routed. MPF&amp;S referred </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to this practice internally as masking. MLPF&amp;S masked the ELP executions of MLPF&amp;S&#8217;s DSA institutional customers, typically financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">institutions such as asset managers, mutual fund investment advisers, and public pension funds. As a result, these institutional customers&#8217; orders </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">received unwanted executions against entities with which they believed their orders would not interact. Because of masking, these institutional </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">customers did not know that MLPF&amp;S violated their instructions. MLPF&amp;S&#8217;s efforts to mask the correct trading venues, including by altering </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trade reporting programs, operated as a fraud or deceit upon its institutional customers. As a result, MLPF&amp;S willfully violated sections 17(a)(2) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and 17(a)(3) of the Securities Act. MLPF&amp;S was censured and ordered to (i) cease and desist from committing or causing any violations and any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">future violations of Sections 17(a)(2) and 17(a)(3) of the Securities Act; and (ii) pay a civil money penalty in the amount of $42,000,000. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Additionally, based on the same conduct, the Attorney General of the State of New York (&#8220;NYAG&#8221;) Investor Protection Bureau alleged that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bank of America Corporation and MLPF&amp;S (1) concealed from its institutional clients that orders were routed and executed by &#8220;electronic </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-134</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_5"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">liquidity providers&#8221; (2) misstated the composition
of orders and trades in its dark pool, and (3) did not accurately describe its use of a proprietary </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;venue ranking&#8221; analysis, in violation of the Martin Act
and Executive Law &#167; 63(12). NYAG similarly settled the matter for a penalty in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">amount of $42,000,000.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SEC Order Conflict of Interest 8/20/2018</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 20, 2018, MLPF&amp;S entered into a settlement with the SEC resulting in the SEC
issuing an order. MLPF&amp;S consented to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">entry of the order (the &#8220;Order&#8221;) that finds that it failed to disclose that the portfolio manager evaluation
process employed in connection with a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">January 2013 termination recommendation for over fifteen hundred of its retail advisory accounts was exposed to a conflict of
interest involving </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">other business interests. The Order finds that this undisclosed conflict of interest in MLPF&amp;S&#8217; decision-making process violated Advisers Act
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Section 206(2). MLPF&amp;S also violated Advisers Act Section 206(4) and Rule 206(4)-7 promulgated thereunder. Without admitting or denying </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">any of the findings or conclusions in the order, MLPF&amp;S consented to the imposition of the following sanctions: (1) cease and desist from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">committing or causing any violations and any future violations of Sections 206(2) and 206(4) of the Advisers Act and Rule 206(4)-7 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">promulgated thereunder, (2) to be censured, and (3) to pay disgorgement of $4,032,871.89, prejudgment interest of $806,981.03, and a civil </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">money penalty in the amount of $4,032,871.89.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SEC ADR Settlement 3/22/2019</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The SEC deemed it appropriate and in the public interest that public administrative proceedings
be instituted pursuant to Section 15(b)(4) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Securities Exchange Act of 1934 (&#8220;Exchange Act&#8221;), against MLPF&amp;S (&#8220;MLPF&amp;S&#8221; or
&#8220;Respondent&#8221;). The SEC found that these </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings arose out of MLPF&amp;S&#8217;s improper practices with respect to securities lending transactions
involving pre-released American </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Depositary Receipts (&#8220;ADRs&#8221;). ADR facilities, which provide for the issuance of ADRs, are established by a depositary bank
(&#8220;Depositary&#8221;) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">pursuant to a deposit agreement (&#8220;Deposit Agreement&#8221;). Typically, a Depositary issues ADRs to a market participant that
contemporaneously </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">delivers the corresponding number of foreign securities to the Depositary&#8217;s foreign custodian (&#8220;Custodian&#8221;). However, in certain
situations, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Deposit Agreements may provide for &#8220;pre-release&#8221; transactions in which a market participant can obtain newly issued ADRs from the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Depositary before delivering ordinary shares to the custodian. Only brokers (or other market participants) that have entered into pre-release </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreements with a depositary (&#8220;Pre-Release Agreements&#8221;) can obtain pre-released ADRs from the Depositary. The Pre-Release Agreements, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consistent with the Deposit Agreements, require the broker receiving the pre-released ADRs (&#8220;Pre-Release Broker&#8221;), or its customer on whose </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">behalf the Pre-Release Broker is acting, to beneficially own the ordinary shares represented by the ADRs, and to assign all beneficial rights, title, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and interest to those ordinary shares to the Depositary while the pre-release transaction is outstanding. In effect, the Pre-Release Broker or its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">customer becomes the temporary custodian of the ordinary shares that would otherwise have been delivered to the Custodian. From at least June </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2012 until approximately November 2014, MLPF&amp;S received pre-released ADRs from Pre-Release Brokers that had been issued by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Depositaries where neither the Pre-Release Brokers nor MLPF&amp;S had taken reasonable steps to satisfy the Pre-Release Brokers&#8217; obligations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">under the Pre-Release Agreements. MLPF&amp;S, which was not a Pre-Release Broker, understood that the ADRs that MLPF&amp;S borrowed from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Pre-Release Brokers may have been sourced from Depositaries pursuant to Pre-Release Agreements. MLPF&amp;S also understood that the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">beneficial ownership and other representations that Pre-Release Brokers were required to make to depositaries in order to obtain pre-released </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ADRS. MLPF&amp;S also understood the conduit nature of Pre-Release Brokers&#8217; securities lending business, which under the circumstances should </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">have indicated that the Pre-Release Brokers did not own underlying ordinary shares. MLPF&amp;S&#8217;s associate persons on its securities lending desk, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by obtaining ADRs from Pre-Release Brokers in circumstances where they should have known that such ADRs likely had been pre-released </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">without compliance with the Pre-Release Brokers&#8217; obligations under the Pre-release Agreements, violated Section 17(a)(3) of the Securities Act </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of 1933 (&#8220;Securities Act&#8221;). MLPF&amp;S&#8217;s supervisory policies and procedures were not reasonably designed and implemented to provide sufficient </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">oversight of associated persons to prevent and detect their violations of Section 17(a)(3) of the Securities Act. As a result, MLPF&amp;S failed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reasonably to supervise its associated persons within the meaning of Section 15(b)(4)(e) of the Exchange Act. MLPF&amp;S submitted an offer of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement (the &#8220;Offer&#8221;) which the SEC has determined to accept. MLPF&amp;S failed reasonably to fulfill its supervisory responsibilities within the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">meaning of Section 15(b)(4)(e) of the Exchange Act. Solely for the purpose of settling these proceedings, MLPF&amp;S consented to the order </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">without admitting or denying the findings in the order, except as to the SEC&#8217;s jurisdiction over it and the subject matter. The SEC ordered that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">MLPF&amp;S is censured and shall pay disgorgement of $4,448,291.52 together with prejudgment interest of $724,795.40 and a civil money penalty </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of $2,891,389.48.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">CFTC Order 9/10/2019</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-135</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_6"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The CFTC found that for nearly three
years, MLPF&amp;S, at that time a registered Futures Commission Merchant, failed to promptly </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">produce reliable audit trail data requested by the Division of Enforcement,
and failed to develop and diligently administer adequate procedures </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for responding to routine regulatory requests in violation of Section 4g of the Commodity Exchange Act
and Regulations 1.31, 1.35 and 166.3. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">In addition to imposing a $300,000 civil monetary penalty, the order notes that MLPF&amp;S had already taken steps to revise its
internal process </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for responding to regulatory data requests, including, but not limited to, designating personnel to: (1) interpret regulatory data requests, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">source of the information, and the timing for the response; (2) locate and provide the data; and (3) independently assess the data extraction </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">process and results.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Included by the Sponsor from the NFA Website and not provided by BofAS</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to an offer of settlement in which BofA Securities, Inc. neither admitted nor denied the
rule violation upon which the penalty is </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">based, on October 15, 2020, the Clearing House Risk Committee found that BofA Securities, Inc. violated CBOT Rule 971.A. BofA
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Securities Inc. was fined $75,000, effective October 16, 2020.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CBOT Case #: 20-1343-BC. Pursuant to an offer of settlement in which BofA Securities, Inc. (&#8220;BofAS&#8221;) neither admitted nor denied the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rule violation or factual findings upon which the penalty is based, on May 18, 2021, a Panel of the Chicago Board of Trade (&#8220;CBOT&#8221;) Business </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Conduct Committee (&#8220;Panel&#8221;) found that on March 19, 2020, and May 4, 2020, BofAS executed certain Exchange for Related Position </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(&#8220;EFRP&#8221;) transactions in the June 2020 Ultra U.S. Treasury Bond futures, June 2020 Five Year Treasury Note futures, June 2020 Ten Year </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Treasury Note futures, and June 2020 U.S. Treasury Bond futures contracts that were contingent upon the execution of other EFRP transactions. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The Panel further found that BofAS executed these transactions simultaneously and without incurring material market risk. The Panel concluded </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that BofAS thereby violated CBOT Rule 538.C. In accordance with the settlement offer, the Panel ordered BofAS to pay a fine of $55,000. This </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action became final on May 18, 2021 and effective May 20, 2021.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CBOT Case #: 21-CH-2102. Pursuant to an offer of settlement in which BofA Securities, Inc. neither admitted nor denied the rule </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violations upon which the penalty is based, on June 10, 2021, the Clearing House Risk Committee found that BofA Securities, Inc. violated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CBOT Rules 930.E.1., 930.E.2., 930.E.3., 930.F., and 971.A. In accordance with the settlement offer, the Committee imposed a $75,000 fine. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Effective Date: 06/11/2021.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">RBC Capital Markets LLC (&#8220;RBC&#8221; or the &#8220;Company&#8221;)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">RBC Capital Markets, LLC (&#8220;RBC Capital&#8221;), is a large broker dealer subject to many different complex legal and regulatory </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">requirements. As a result, certain of RBC Capital&#8217;s regulators may from time to time conduct investigations, initiate enforcement proceedings </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and/or enter into settlements with RBC Capital with respect to issues raised in various investigations. RBC Capital complies fully with its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">regulators in all investigations being conducted and in all settlements it reaches. In addition, RBC Capital is and has been subject to a variety of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">civil legal claims in various jurisdictions, a variety of settlement agreements and a variety of orders, awards and judgments made against it by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">courts and tribunals, both in regard to such claims and investigations. RBC Capital complies fully with all settlements it reaches and all orders, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">awards and judgments made against it.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">RBC Capital has been named as a defendant in various legal actions, including arbitrations, class actions and other litigation including </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">those described below, arising in connection with its activities. Certain of the actual or threatened legal actions include claims for substantial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">compensatory and/or punitive damages or claims for indeterminate amounts of damages. RBC Capital is also involved, in other reviews, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations and proceedings (both formal and informal) by governmental and self-regulatory agencies regarding RBC Capital&#8217;s business, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including among other matters, accounting and operational matters, certain of which may result in adverse judgments, settlements, fines, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">penalties, injunctions or other relief.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">RBC Capital contests liability and/or the amount of damages as appropriate in each pending matter. In view of the inherent difficulty of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">predicting the outcome of such matters, particularly in cases where claimants seek substantial or indeterminate damages or where investigations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and proceedings are in the early stages, RBC Capital cannot predict the loss or range of loss, if any, related to such matters; how or if such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">matters will be resolved; when they will ultimately be resolved; or what the eventual settlement, fine, penalty or other relief, if any, might be. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Subject to the foregoing, RBC Capital believes, based on current knowledge and after consultation with counsel, that the outcome of such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pending matters will not have a material adverse effect on the consolidated financial condition of RBC Capital.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-136</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_7"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 27, 2017, pursuant to an offer
of settlement, a Panel of the Chicago Board of Trade Business Conduct Committee (&#8220;Panel&#8221;) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">found that RBC Capital engaged in EFRP transactions which failed to
satisfy the Rules of the Chicago Board of Trade (the &#8220;Exchange&#8221;) in one </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or more ways. Specifically, the Panel found that RBC Capital traders entered into EFRP
trades in which RBC Capital accounts were on both </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">sides of the transactions. While the purpose of the transactions was to transfer positions between the RBC Capital
accounts, the Panel found that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the manner in which the trades occurred violated the Exchange&#8217;s prohibition on wash trades. The Panel found that RBC Capital thereby
violated </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">CBOT Rules 534 and (legacy) 538.B. and C. In accordance with the settlement offer, the Panel ordered RBC Capital to pay a $175,000 fine. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">October 1, 2019, the CFTC issued an order filing and settling charges against RBCCM for the above activity, as well as related charges. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">order required that RBCCM cease and desist from violating the applicable regulations, pay a $5 million civil monetary penalty, and comply with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">various conditions, including conditions regarding public statements and future cooperation with the Commission.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 18, 2015, in connection with the Municipalities Continuing Disclosure Cooperation
initiative of the U.S. Securities and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Exchange Commission (&#8220;SEC&#8221;), the SEC commenced and settled an administrative proceeding against RBC Capital for willful
violations of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sections 17(a)(2) of the Securities Act of 1933, as amended (&#8220;1933 Act&#8221;) after the firm self-reported instances in which it conducted inadequate
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">due diligence in certain municipal securities offerings and as a result, failed to form a reasonable basis for believing the truthfulness of certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">material representations in official statements issued in connection with those offerings. RBC Capital paid a fine of $500,000.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">RBC Capital and certain affiliates were named as defendants in a lawsuit relating to their role
in transactions involving investments made </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">by a number of Wisconsin school districts in certain collateralized debt obligations. These transactions were also the subject
of a regulatory </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigation, which was resolved in 2011. RBC Capital reached a final settlement with all parties in the civil litigation, and the civil action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against RBC Capital was dismissed with prejudice on December 6, 2016.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Various regulators are conducting inquiries regarding potential violations of
antitrust law by a number of banks and other entities, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">including the Company and RBC, regarding foreign exchange trading. Beginning in 2015, putative class actions were
brought against RBC </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Capital and/or Royal Bank of Canada in the U.S., Canada and Israel. These actions were each brought against multiple foreign exchange dealers </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and allege, among other things, collusive behavior in foreign exchange trading. Various regulators are also conducting inquiries regarding </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">potential violations of law by a number of banks and other entities, including RBC Capital, regarding foreign exchange trading. In August 2018, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the U.S. District Court entered a final order approving RBC Capital&#8217;s pending settlement with class plaintiffs. In November 2018, certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">institutional plaintiffs who had previously opted-out of participating in the settlement filed their own lawsuit in the U.S. District Court. In May </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2020, the U.S. District Court dismissed RBC from the opt-out action, but granted the plaintiffs&#8217; motion to amend the complaint. The Canadian </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">class actions remain pending and the Company has reached a settlement for an immaterial amount with respect to an action brought by a class of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">indirect purchasers. Based on the facts currently known, it is not possible at this time for us to predict the ultimate outcome of these </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations or proceedings or the timing of their resolution.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 13, 2015, RBC Capital&#8217;s affiliate, Royal Bank of Canada Trust Company (Bahamas) Limited (RBC Bahamas), was charged in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">France with complicity in tax fraud. RBC Bahamas believes that its actions did not violate French law and contested the charge in the French </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">court. The trial of this matter has concluded and a verdict was delivered on January 12, 2017, acquitting the company and the other defendants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and on June 29, 2018, the French appellate court affirmed the acquittals. The acquittals are being appealed.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Various regulators and competition and enforcement authorities around the world, including in
Canada, the United Kingdom, and the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S., are conducting investigations related to certain past submissions made by panel banks in connection with the setting of the U.S.
dollar </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">London interbank offered rate (LIBOR). These investigations focus on allegations of collusion between the banks that were on the panel to make </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">submissions for certain LIBOR rates. Royal Bank of Canada, RBC Capital&#8217;s indirect parent, is a member of certain LIBOR panels, including the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. dollar LIBOR panel, and has in the past been the subject of regulatory requests for information. In addition, Royal Bank of Canada and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other U.S. dollar panel banks have been named as defendants in private lawsuits filed in the U.S. with respect to the setting of LIBOR including </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a number of class action lawsuits which have been consolidated before the U.S. District Court for the Southern District of New York. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaints in those private lawsuits assert claims against us and other panel banks under various U.S. laws, including U.S. antitrust laws, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Commodity Exchange Act, and state law. On February 28, 2018, the motion by the plaintiffs in the class action lawsuits to have the class </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certified was denied in relation to Royal Bank of Canada. As such, unless that ruling is reversed on appeal, Royal Bank of Canada is no longer a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendant in any pending class action. Royal Bank of Canada is still a party to the various individual LIBOR actions.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition to the LIBOR actions, in January 2019, a number of financial institutions, including
RBC and RBC Capital Markets LLC, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">were named in a purported class action in New York alleging violations of the U.S. antitrust laws and common law principles of unjust
</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-137</font></div>
</div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_8"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">enrichment in the setting of LIBOR after the
Intercontinental Exchange took over administration of the benchmark interest rate from the British </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bankers&#8217; Association in 2014 (the ICE LIBOR action). On March 26,
2020 the defendants&#8217; motion to dismiss the matter was granted. On </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">April 24, 2020, the Plaintiffs filed a notice of appeal. Based on the facts currently known, it is
not possible at this time for us to predict the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">ultimate outcome of these investigations or proceedings or the timing of their resolution.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Thornburg Mortgage Inc. (now known as &#8220;TMST&#8221;) and RBC Capital were parties to a
master repurchase agreement executed in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 2003 whereby TMST financed its purchase of residential mortgage-backed securities. Upon TMST&#8217;s default during the
financial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">crisis, RBC Capital valued TMST&#8217;s collateral at allegedly deflated prices. After TMST&#8217;s bankruptcy filing, TMST&#8217;s trustee brought suit against
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">RBC Capital in 2011 for breach of contract. In 2015, TMST was awarded more than $45 million in damages. RBC Capital has appealed. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">appeals court set a briefing schedule and simultaneously ordered the parties to participate in a mediation. The parties subsequently reached an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreement to settle the matter; a motion to approve the settlement was filed with the bankruptcy court on January 10, 2016 and granted on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">February 27, 2017.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 14, 2014, the Delaware Court of Chancery (the &#8220;Court of Chancery&#8221;) in a
class action brought by former shareholders of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Rural/Metro Corporation, held RBC Capital liable for aiding and abetting a breach of fiduciary duty by three Rural/Metro
directors, but did not </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">make an additional award for attorney&#8217;s fees. A final judgment was entered on February 19, 2015 in the amount of US$93 million plus post
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgment interest. RBC Capital appealed the Court of Chancery&#8217;s determination of liability and quantum of damages, and the plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cross-appealed the ruling on additional attorneys&#8217; fees. On November 30, 2015, the Delaware Supreme Court affirmed the Court of Chancery </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with respect to both the appeal and cross-appeal. RBC Capital is cooperating with an investigation by the SEC relating to this matter. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">particular, the SEC contended that RBC Capital caused materially false and misleading information to be included in the proxy statement that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Rural filed to solicit shareholder approval for the sale in violation of section 14(A) of the Exchange Act and Rule 14A-9 thereunder. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">August 31, 2016, RBC Capital was ordered by the SEC to cease and desist and paid $500,000 in disgorgement, plus interest of $77,759 and a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">civil penalty of $2 million.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Case 19-47 CFTC Administrative Action, September 30, 2019 (included by the Sponsor from the NFA website and not provided by RBC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Capital Markets LLC)</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CFTC Orders RBC Capital Markets, LLC to Pay $5 Million for Supervisory Failures Resulting in
Illegal Trades and Other Violations</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Washington, DC &#8211; The U.S. Commodity
Futures Trading Commission today announced the agency issued an order on Monday, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 30, 2019, filing and setting charges against RBC Capital Markets, LLC (RBCCM), a
registered futures commission merchant (FCM), </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for failing to meet its supervisory obligations, which resulted in hundreds of unlawful trades and other violations over the
period of at least late </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2011 through May 2017.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The order requires RBCCM to cease and desist from future violations, pay a $5 million civil monetary penalty, and for a period of three </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">years to expeditiously and completely cooperate with the Commission and any other governmental agency in all future investigations or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inquiries involving the factual and legal subject matters of this action.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8220;The CFTC will vigorously enforce the rules requiring our registrants to properly supervise their business activities. Where those </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">supervision failures are accompanied by other violations, we will pursue those violations as well,&#8221; said CFTC Director of Enforcement </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">James McDonald.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The
order finds that between December 2011 and October 2015, RBCMM engaged in at least 385 noncompetitive, fictitious, exchange </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for physical wash transactions (Wash EFPs). The
order finds that RBCCM engaged in Wash EFPs in order to move positions internally between </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">RBCCM accounts, which was less costly and administratively burdensome than other
options to manage risk, and because it was believed that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the exchange allowed it. RBCCM personnel checked with the appropriate compliance officer on whether the trades
were appropriate but the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">officer did not respond, follow up with the exchange, or provide any formal training until at least May 2015.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Notably, as the order finds, 217 of the Wash EFPs occurred after the entry of a consent order in
December 2014, which resolved a CFTC </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">enforcement action against RBCCM&#8217;s parent, the Royal Bank of Canada (RBC), for wash sales and fictitious transactions. [See
Release No. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">7086-14] The order finds that RBCCM had actual notice of the December 2014 injunction against RBC prohibiting wash trading, yet the Wash </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">EFPs continued at RBCCM. The order also finds that RBC delegated execution and surveillance of the bank&#8217;s futures transactions on exchanges </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-138</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_9"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the United States to RBCCM, but that they failed to
adequately implement a reasonable supervisory system overseeing its futures </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions, and failed to detect at least 385 Wash EFPs.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The order further finds that RBCCM failed to prepare and timely file Risk Exposure Reports,
disclose material non-compliance issues to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the CFTC, and maintain and promptly produce required records to the CFTC.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The order also finds other supervisory failures. For example, all RBC affiliates, including
RBCCM, must follow company-wide policies </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and procedures, but RBCCM failed to implement several of those policies and procedures, which resulted in the various violations
set forth in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the order. To wit, RBCCM did not have a system to ensure employees reviewed the compliance manual; the compliance manual did not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">adequately address the requirements of EFPs; there was no formal training on EFPs; and RBCCM failed to adequately monitor for potential </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures wash trades.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The order additionally finds that RBCCM disclosed the Wash EFPs to the CFTC shortly before
formally disclosing it in its required 2015 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Chief Compliance Officer report. RBCCM, however, failed to timely and fully respond to document requests and subpoenas issued
by CFTC </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">staff and attempted to dissuade them from inquiring into RBC&#8217;s involvement with the Wash EFPs, even from a supervisory perspective. These </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">actions were taken despite the inter-relationship between RBCCM and RBC, as well as the prior consent order, which required cooperation of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">RBC in any investigation by the Division of Enforcement related to the subject matter of this action. As a result, the order finds that the CFTC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">expended considerable resources trying to obtain information and timely compliance with its subpoenas from RBC and RBCCM.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Please see RBC&#8217;s Form BD, which is available on the FINRA BrokerCheck program, for more
details.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CME Case #20-CH-2008. For violations of CME&#8217;s Rule 971.A-Segregation,
Secured and Cleared Swaps Customer Account </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Requirements - the Clearing House Risk Committee assessed a fine of $50,000 effective August 21, 2020.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CME Case #18-CH-1804. For violations of CME&#8217;s Rule 971.A-Segregation, Secured and Cleared
Swaps Customer Account </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Requirements - the Clearing House Risk Committee assessed a fine of $50,000 effective June 29, 2018.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Included by the Sponsor from the NFA Website and not provided by RBC</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">NYME Case #: 20-1311-BC. Pursuant to an offer of settlement in which RBC Capital Markets, LLC
(&#8220;RBC&#8221;) neither admitted nor denied </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the rule violations upon which the penalty is based, on July 22, 2021, a Panel of the NYMEX Business Conduct Committee
(&#8220;BCC Panel&#8221;) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">found that on multiple occasions during March 2020, RBC submitted block trades in Crude Oil and Natural Gas futures to the Exchange outside
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the reporting time requirements and submitted inaccurate block trade execution times to the Exchange on one or more occasions. RBC also </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">failed to properly advise and train its brokers as to relevant Exchange rules and Market Regulation Advisory Notices (&#8220;MRANs&#8221;) in a manner </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sufficient to ensure compliance with the Exchange&#8217;s block trade reporting rules. The Panel found that as a result of the foregoing, RBC violated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Rules 432.W., 526.F. and 526. In accordance with the settlement offer, the BCC Panel ordered RBC to pay a $45,000 fine. This action became </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">final on July 22, 2021 and effective July 26, 2021.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CBOT Case #: RSRH-21-6332. During the month of August 2021, RBC Capital Markets, LLC inaccurately reported long positions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">eligible for delivery in the September 2021 CBT KC Wheat, 10-Year, 5-Year, and 2-Year Treasury Note futures contracts. On September 15, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2021, pursuant to Rule 512, a fine in the amount of $2,000 was assessed against RBC Capital Markets, LLC for its violation of Rule 807. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Effective date: October 7, 2021</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Barclays Capital Inc. (&#8220;BCI&#8221;)</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Barclays Capital Inc. (&#8220;BCI&#8221;) is engaged in various legal and
regulatory matters in a number of jurisdictions. BCI is subject to legal </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings by and against BCI which arise from time to time and also subject to enquiries and
examinations, requests for information, audits, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations and legal and other proceedings by regulators, governmental and other public bodies in connection with areas
of banking and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">business activities in which BCI is or has been engaged.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Information relating to legal and regulatory risks is set out in the Legal, Competition and Regulatory matters note to Barclays financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">statements in our most recent Annual Report or Interim Results Announcement (as applicable). If a Barclays quarterly Results Announcement </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">has been released since the most recent Annual Report or Interim Results Announcement, this may contain additional information relating to </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-139</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_10"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">such matters. In between Results Announcements, Barclays
may from time to time make Regulatory News Service announcements containing </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">information relating to a specific legal, competition or regulatory matter. Copies of Barclays
Annual Report, Results Announcements, and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Regulatory News Service Announcements are available on the Barclays Investor Relations website in sections headed &#8216;annual
reports&#8217;, &#8216;results&#8217; </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and &#8216;regulatory news&#8217; respectively: https://www.home.barclays/barclays-investor-relations.html. Additional Information
relating to legal and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">regulatory risks is set out in the firm&#8217;s Statement of Financial Condition (Audited) as of December 31, 2020, available at:
https://www.investmentbank.barclays.com/disclosures/barclays-capital-inc-financial-reporting.html.</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Additionally, a FINRA BrokerCheck Report, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">detailing proceedings the Firm has been involved in, is available at: http://www.finra.org/Investors/ToolsCalculators/BrokerCheck/.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Investigations into LIBOR and Other Benchmarks and Related Civil
Actions</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Regulators and law enforcement agencies, including certain competition
authorities, from a number of governments have conducted </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations relating to Barclays Bank PLC&#8217;s involvement in allegedly manipulating certain financial
benchmarks, such as LIBOR. The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Serious Fraud Office closed its investigation with no action to be taken against the Group. Various individuals and corporates in a range of
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">jurisdictions have threatened or brought civil actions against the Group and other banks in relation to the alleged manipulation of LIBOR and/or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other benchmarks.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">USD LIBOR Civil Actions</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The majority of the USD LIBOR cases, which have been filed in various US jurisdictions, have been
consolidated for pre-trial purposes </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the US District Court in the Southern District of New York (SDNY).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The complaints are substantially similar and allege, among other things, that Barclays PLC,
Barclays Bank PLC, the Company and other </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial institutions individually and collectively violated provisions of the US Sherman Antitrust Act (Antitrust Act), the US
Commodity </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Exchange Act (CEA), the US Racketeer Influenced and Corrupt Organizations Act (RICO), the Securities Exchange Act of 1934 and various </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">state laws by manipulating USD LIBOR rates.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Putative class actions and individual actions seek unspecified damages with the exception of three lawsuits, in which the plaintiffs are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">seeking a combined total of approximately $900 million in actual damages and additional punitive damages against all defendants, including </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Barclays Bank PLC. Some of the lawsuits also seek trebling of damages under the Antitrust Act and RICO. The Group has previously settled </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain claims. Two class action settlements where the Group has respectively paid $7.1 million and $20 million, have received final </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">court approval.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Sterling LIBOR Civil Action</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2016, two putative class actions filed in the SDNY against Barclays Bank PLC,
the Company and other Sterling LIBOR panel banks </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleging, among other things, that the defendants manipulated the Sterling LIBOR rate in violation of the Antitrust Act,
CEA and RICO, were </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">consolidated. The defendants&#8217; motion to dismiss the claims was granted in 2018. The plaintiffs have appealed the dismissal.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Japanese Yen LIBOR Civil Actions</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2012, a putative class action was filed in the SDNY against Barclays Bank PLC and other Japanese Yen LIBOR panel banks by a lead </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiff involved in exchange-traded derivatives and members of the Japanese Bankers Association&#8217;s Euroyen Tokyo Interbank Offered Rate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(Euroyen TIBOR) panel. The complaint alleges, among other things, manipulation of the Euroyen TIBOR and Yen LIBOR rates and breaches of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the CEA and the Antitrust Act. In 2014, the court dismissed the plaintiff&#8217;s antitrust claims and, in 2020, the court dismissed the plaintiff&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">remaining CEA claims. The plaintiff has appealed the lower court&#8217;s dismissal of such claims.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, a second putative class action, making similar allegations to the above class action, was filed in the SDNY against Barclays PLC, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Barclays Bank PLC and the Company. The plaintiffs filed an amended complaint in 2020, and the defendants have filed a motion to dismiss.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">SIBOR/SOR Civil Action</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2016, a putative class action was filed in the SDNY against Barclays PLC, Barclays Bank PLC, the Company and other defendants, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleging manipulation of the Singapore Interbank Offered Rate (SIBOR) and Singapore Swap Offer Rate (SOR). In 2018, the court dismissed all </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims against Barclays PLC, Barclays Bank PLC and the Company. The plaintiffs have appealed the dismissal.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-140</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_11"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">ICE LIBOR Civil
Actions</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2019, several putative class actions were filed in the SDNY against
Barclays PLC, Barclays Bank PLC, the Company, other financial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">institution defendants and Intercontinental Exchange Inc. and certain of its affiliates (ICE), asserting
antitrust claims that defendants manipulated </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">USD LIBOR through defendants&#8217; submissions to ICE. These actions have been consolidated. The defendants&#8217; motion to
dismiss was granted in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2020. The plaintiffs have appealed the dismissal. In August 2020, an ICE LIBOR related action was filed in the US District Court for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Northern District of California on behalf of individual borrowers and consumers of loans and credit cards with variable interest rates linked to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">USD ICE LIBOR.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Non-US Benchmarks Civil Actions</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Legal proceedings have been brought or threatened against Barclays Bank PLC (and, in certain cases, Barclays Bank UK PLC) in the UK </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in connection with alleged manipulation of LIBOR, EURIBOR and other benchmarks. Proceedings have also been brought in a number of other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">jurisdictions in Europe and Israel. Additional proceedings in other jurisdictions may be brought in the future.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Foreign Exchange Investigations and Related Civil Actions</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, the Group reached settlements totalling approximately $2.38 billion with various US federal and state authorities and the FCA in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relation to investigations into certain sales and trading practices in the Foreign Exchange market. Under the related plea agreement with the US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Department of Justice (DoJ), which received final court approval in January 2017, the Group agreed to a term of probation of three years, which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">expired in January 2020. The Group also continues to provide relevant information to certain authorities.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The European Commission is one of a number of authorities still conducting an investigation into certain trading practices in Foreign </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Exchange markets. The European Commission announced two settlements in May 2019 and the Group paid penalties totalling approximately </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8364;210 million ($258 million). In June 2019, the Swiss Competition Commission announced two settlements and the Group paid penalties </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">totalling approximately CHF 27 million ($31 million). The financial impact of the ongoing matters is not expected to be material to the Group&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">operating results, cash flows or financial position.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Various individuals and corporates in a range of jurisdictions have threatened or brought civil actions against the Group and other banks </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in relation to alleged manipulation of Foreign Exchange markets.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">FX Opt Out Civil Action</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2018, Barclays Bank PLC and the Company settled a consolidated action filed in the SDNY, alleging manipulation of Foreign </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Exchange markets (Consolidated FX Action), for a total amount of $384 million. Also in 2018, a group of plaintiffs who opted out of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Consolidated FX Action filed a complaint in the SDNY against Barclays PLC, Barclays Bank PLC, the Company and other defendants. Some of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the plaintiff&#8217;s claims were dismissed in 2020.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Retail Basis Civil Action</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, a putative class action was filed against several international banks, including Barclays PLC and the Company, on behalf of a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proposed class of individuals who exchanged currencies on a retail basis at bank branches (Retail Basis Claims). The SDNY has ruled that the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Retail Basis Claims are not covered by the settlement agreement in the Consolidated FX Action. The Court subsequently dismissed all Retail </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Basis Claims against the Group and all other defendants. The plaintiffs have filed an amended complaint.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">State Law FX Civil Action</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2017, the SDNY dismissed consolidated putative class actions brought under federal and various state laws on behalf of proposed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">classes of (i) stockholders of Exchange Traded Funds and others who purportedly were indirect investors in FX instruments, and (ii) investors </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">who traded FX instruments through FX dealers or brokers not alleged to have manipulated Foreign Exchange Rates. Barclays Bank PLC and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Company have settled the claim, which has received final court approval. The settlement was understood to be in the amount of $1,781,080. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial impact of the settlement is not material to the Barclays Bank Group&#8217;s operating results, cash flows or financial position.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Non-US FX Civil Actions</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-141</font></div> </div> </div> </div>
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<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Legal proceedings have been brought or
are threatened against Barclays PLC, Barclays Bank PLC, the Company and Barclays Execution </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Services Limited (BX) in connection with alleged manipulation of Foreign
Exchange in the UK, a number of other jurisdictions in Europe, Israel </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and Australia and additional proceedings may be brought in the future.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">These include two purported class actions filed against Barclays PLC, Barclays Bank PLC, BX, the
Company and other financial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">institutions in the UK Competition Appeal Tribunal in 2019 following the settlements with the European Commission described above. Also in
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019, a separate claim was filed in the UK in the High Court of Justice by various banks and asset management firms against Barclays Bank </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">PLC and other financial institutions alleging breaches of European and UK competition laws related to FX trading.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Metals Investigations and Related Civil Actions</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Barclays Bank PLC previously provided information to the DoJ, the US Commodity Futures Trading Commission and other authorities in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">connection with investigations into metals and metals-based financial instruments.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A number of US civil complaints, each on behalf of a proposed class of plaintiffs, have been consolidated and transferred to the SDNY. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The complaints allege that Barclays Bank PLC and other members of The London Gold Market Fixing Ltd. manipulated the prices of gold and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">gold derivative contracts in violation of the Antitrust Act and other federal laws. This consolidated putative class action remains pending. A </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">separate US civil complaint by a proposed class of plaintiffs against a number of banks, including Barclays Bank PLC, the Company and BX, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleging manipulation of the price of silver in violation of the CEA, the Antitrust Act and state antitrust and consumer protection laws, has been </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissed as against the Group entities. The plaintiffs have the option to seek the court&#8217;s permission to appeal.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Civil actions have also been filed in Canadian courts against Barclays PLC, Barclays Bank PLC,
Barclays Capital Canada Inc. and the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Company on behalf of proposed classes of plaintiffs alleging manipulation of gold and silver prices</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Residential Mortgage-backed Securities Civil Action</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Company has been party to a number of lawsuits filed by purchasers of US residential
mortgage-backed securities (RMBS) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">sponsored and/or underwritten by the Group between 2005 and 2008. As a general matter, these lawsuits alleged, among other things, that
the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">RMBS offering materials contained materially false and misleading statements and/or omissions and generally demanded rescission and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">recovery of the consideration paid for the RMBS and/or recovery of monetary losses arising out of their ownership. The Company has resolved </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its legacy RMBS securities civil actions, including the action that was dismissed in Washington state court in April 2020.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2020, a civil litigation claim was filed in the New Mexico First Judicial District Court by
the State of New Mexico against seven banks, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">including the Company, on behalf of two New Mexico state pension funds and the New Mexico State Investment Council relating to
legacy </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">RMBS purchases. As to the Company, the complaint alleges that the funds purchased approximately $22 million in RMBS underwritten by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Company. The plaintiffs have asserted claims under New Mexico state law, which provides for the ability to claim treble damages and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">civil penalties.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Government and Agency Securities Civil Actions and Related Matters</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Certain governmental authorities have conducted investigations into activities relating to the trading of certain government and agency </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities in various markets. The Group provided information in cooperation with such investigations.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Treasury Auction Securities Civil Actions</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Consolidated putative class action complaints filed in US federal court against Barclays Bank PLC, the Company and other financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">institutions under the Antitrust Act and state common law allege that the defendants (i) conspired to manipulate the US Treasury securities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">market and/or (ii) conspired to prevent the creation of certain platforms by boycotting or threatening to boycott such trading platforms. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants have filed a motion to dismiss.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, certain plaintiffs have filed a related, direct action against the Company and certain other financial institutions, alleging that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants conspired to fix and manipulate the US Treasury securities market in violation of the Antitrust Act, the CEA and state common law.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Supranational, Sovereign and Agency bonds civil actions</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-142</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_13"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Civil antitrust actions have been filed
in the SDNY and Federal Court of Canada in Toronto against Barclays Bank PLC, the Company, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">BX, Barclays Capital Securities Limited and, with respect to the civil action
filed in Canada only, Barclays Capital Canada, Inc. and other </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial institutions alleging that the defendants conspired to fix prices and restrain competition in the
market for US dollar-denominated </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Supranational, Sovereign and Agency bonds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In one of the actions filed in the SDNY, the court granted the defendants&#8217; motion to dismiss the plaintiffs&#8217; complaint, which the plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">have appealed. The plaintiffs have voluntarily dismissed the other SDNY action.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Variable Rate Demand Obligations Civil Actions</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Civil actions have been filed against Barclays Bank PLC, the Company and other financial institutions alleging the defendants conspired </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or colluded to artificially inflate interest rates set for Variable Rate Demand Obligations (VRDOs). VRDOs are municipal bonds with interest </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rates that reset on a periodic basis, most commonly weekly. Two actions in state court have been filed by private plaintiffs on behalf of the states </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Illinois and California. Two putative class action complaints, which have been consolidated, have been filed in the SDNY. In the SDNY class </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action, certain of the plaintiff&#8217;s claims were dismissed in November 2020.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Government bond civil actions</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In a putative class action filed in the SDNY in 2019, plaintiffs alleged that the Company and certain other bond dealers conspired to fix </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the prices of US government sponsored entity bonds in violation of US antitrust law. The Company agreed to a settlement of $87 million, which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">received final court approval in 2020. Separately, various entities in Louisiana, including the Louisiana Attorney General and the City of Baton </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Rouge, have commenced litigation against Barclays Bank PLC, the Company, and other financial institutions making similar allegations as the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SDNY class action plaintiffs.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2018, a separate putative class action against various financial institutions including Barclays PLC, Barclays Bank PLC, the Company, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Barclays Bank Mexico, S.A., and certain other subsidiaries of the Group was consolidated in the SDNY. The plaintiffs asserted antitrust and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">state law claims arising out of an alleged conspiracy to fix the prices of Mexican Government bonds. Barclays PLC has settled the claim for $5.7 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million, which is subject to final court approval.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Odd-lot corporate bonds antitrust class action</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2020, the Company, together with other financial institutions, were named as
defendants in a putative class action. The complaint </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleges a conspiracy to boycott developing electronic trading platforms for odd-lots and price-fixing. Plaintiffs
demand unspecified money </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">damages. The defendants have filed a motion to dismiss.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Interest rate swap and credit default swap US civil actions</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Barclays PLC, Barclays Bank PLC and the Company, together with other financial institutions that act as market makers for interest rate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">swaps (IRS) are named as defendants in several antitrust class actions which were consolidated in the SDNY in 2016. The complaints allege the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants conspired to prevent the development of exchanges for IRS and demand unspecified money damages.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2018, trueEX LLC filed an antitrust class action in the SDNY against a number of financial institutions including Barclays PLC, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Barclays Bank PLC and the Company based on similar allegations with respect to trueEX LLC&#8217;s development of an IRS platform. In 2017, Tera </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Group Inc. filed a separate civil antitrust action in the SDNY claiming that certain conduct alleged in the IRS cases also caused the plaintiff to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">suffer harm with respect to the Credit Default Swaps market. In 2018 and 2019, respectively, the court dismissed certain claims in both cases for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unjust enrichment and tortious interference but denied motions to dismiss the federal and state antitrust claims, which remain pending.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Shareholder Derivative Action</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A purported Barclays shareholder filed a putative derivative action in New York state court against the Company and a number of current </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and former members of the Board of Directors of Barclays PLC and senior executives or employees of the Barclays Group. The shareholder </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed the claim on behalf of Barclays PLC, alleging that the individual defendants harmed the company through breaches of their duties under the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Companies Act 2006. The plaintiff seeks damages for the losses that Barclays PLC allegedly suffered.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-143</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_14"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">General</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Company and the Group are engaged in various other legal, competition and regulatory matters
in the US and a number of overseas </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">jurisdictions, including those which arise in the ordinary course of business from time to time.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Company and the Group are also subject to enquiries and examinations, requests for
information, audits, investigations and legal and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">other proceedings by regulators, governmental and other public bodies in connection with its business. The Company and
the Group as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">applicable are cooperating with the relevant authorities and keeping all relevant agencies briefed as appropriate in relation to these matters and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">others described in this note on an ongoing basis.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">At the present time, the Company does not expect the ultimate resolution of any of these other matters to have a material adverse effect on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its financial position.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Included by the Sponsor from the NFA Website and not provided by BCI</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CBOE Case #: USFI-1050-09. From in or about August 2019 through in or about January 2020, Barclays Capital Inc. transferred VX </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures positions between it and Barclays Bank PLC, an affiliated but separate legal entity, on four occasions, in violation of CFE Rule 420. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">From on or about January 10, 2020 through on or about January 13, 2020, Barclays Capital Inc. misreported open interest related to the Oct&#8217;20 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">VX futures contract that impacted the applicable product&#8217;s overall open interest, in violation of CFE Rule 410A. Finally, despite receiving </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">directives from CFE Staff in 2011 and 2016 that it could only transfer positions pursuant to the limited circumstances provided in CFE Rule 420 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the restrictions in its written supervisory procedures, Barclays Capital Inc. failed to establish, maintain and administer reasonable written </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">supervisory procedures to ensure it complied with CFE Rule 420. Action Type: Books and Records Violation Fine: $75,000. Effective Date: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">06/23/2021</font></div> <div> <div style="clear:both;margin-top:8pt;position:relative;"> <div style="float:left;line-height:12pt;text-align:left;width:517pt;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">assigning trades inaccurate Customer Type Indicator (CTI) Codes. On June 30, 2021, Barclays Capital, Inc., pursuant to Rule 512 (&#8220;Reporting </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Infractions&#8221;), was issued a $1,000 fine for its violation of Rule 536.D. Effective Date: 07/20/2021</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">CBOT Case #: DQA-21-0643. During the period of January 1, 2021, to March 31, 2021, Barclays Capital, Inc. violated </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Rule 576 by failing to maintain current and accurate information in the Exchange Fee System. On September 9, 2021, </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Barclays Capital Inc., pursuant to Rule 512 (&#8220;Reporting Infractions&#8221;) was collectively issued a $4,000 fine for its </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">violations for Rule 576 (includes NYMEX Case DQA-21-0643). The allocation of the fine across exchanges is based on </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">the activity at each Designated Contract Market. Effective Date: September 24, 2021</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">CBOT
Case #: DQA-21-0684. During the period of May 1, 2021 to May 31, 2021, Barclays Capital, Inc. violated Rule 536.D by </font></div> </div> <div style="clear:both;position:relative;"> </div> </div>
<div style="line-height:11.0pt;margin-top:74pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Deutsche Bank Securities Inc. (&#8220;DBSI&#8221;)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Legal Contingencies</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Corporation operates in a legal and regulatory environment that exposes it to significant
legal risks. As a result, the Corporation is </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">involved in litigation, arbitration and regulatory proceedings in the ordinary course of business that claim substantial
damages.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In accordance with ASC 450, Loss Contingencies, the Corporation will accrue
a liability when it is probable that a liability has been </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">incurred and the amount of the loss can be reasonably estimated. In many lawsuits, regulatory proceedings and
arbitrations, it is not possible to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">determine whether a liability has been incurred or to estimate the ultimate or minimum amount of that liability until the matter is
close to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">resolution, in which event no accrual is made until that time. In view of the inherent difficulty of predicting the outcome of such matters, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">particularly in cases in which claimants seek substantial or indeterminate damages, the Corporation cannot determine the probability or estimate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">what the eventual loss or range of loss related to such matters will be. Subject to the foregoing, the Corporation continues to assess such matters </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and believes, based on information available, that the resolution of these matters will not have a material adverse effect on the financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">condition of the Corporation.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">For the Corporation&#8217;s significant matters where an estimate can be made, the Corporation currently estimates that, as of June 30, 2019, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the aggregate future loss, which is considered to be reasonably possible, is approximately $216 million.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">This figure includes contingent liabilities on matters where the Corporation&#8217;s potential liability is joint and several and where the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Corporation expects any such liability to be paid by a third party.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-144</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_15"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">This estimated possible loss, as well as any provisions taken, is based upon currently available information and
is subject to significant </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgment and a variety of assumptions, variables and known and unknown uncertainties. These uncertainties may include inaccuracies in or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">incompleteness of the information available to the Corporation, particularly at the preliminary stages of matters, and assumptions by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Corporation as to future rulings of courts or other tribunals or the likely actions or positions taken by regulators or adversaries may prove </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">incorrect. Moreover, estimates of possible loss for these matters are often not amenable to the use of statistical or other quantitative analytical </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">tools frequently used in making judgments and estimates, and are subject to even greater degrees of uncertainty than in many other areas where </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Corporation must exercise judgment and make estimates.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The matters for which the Corporation determines that the possibility of a future loss is more than remote will change from time to time, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as will the matters as to which an estimate can be made and the estimated possible loss for such matters. Actual results may prove to be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">significantly higher or lower than the estimate of possible loss in those matters where such an estimate was made. In addition, loss may be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">incurred in matters with respect to which the Corporation believed the likelihood of loss was remote. In particular, the estimated aggregate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">possible loss does not represent the Corporation&#8217;s potential maximum loss exposure for those matters.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Corporation may settle litigation or regulatory proceedings or investigations prior to a
final judgment or determination of liability. It </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">may do so for a number of reasons, including to avoid the cost, management efforts or negative business, regulatory or
reputational </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">consequences of continuing to contest liability, even when the Corporation believes it has valid defenses to liability. It may also do so when the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">potential consequences of failing to prevail would be disproportionate to the costs of settlement. Furthermore, the Corporation may, for similar </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reasons, reimburse counterparties for their losses even in situations where it does not believe that it is legally compelled to do so.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The actions against the Corporation as of June 30, 2019 include, but are not limited to, the
following (listed in alphabetical order):</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Corporate Securities Matters</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Corporation regularly acts in the capacity of underwriter and sales agent for debt and equity securities of corporate issuers and is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">from time to time named as a defendant in litigation commenced by investors relating to those securities.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Corporation, along with numerous other financial institutions, is a defendant in a consolidated putative class action lawsuit pending </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the United States District Court for the District of New Jersey. The complaint asserts claims against the Corporation under Sections 11 and 12 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Securities Act for alleged misstatements and omissions in the offering documents attendant to Valeant Pharmaceuticals International, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Inc.&#8217;s (Valeant) issuance of senior notes in January 2015 and March 2015 (the Note Offerings), as well as Valeant&#8217;s secondary offering of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">common stock in March 2015 (the Stock Offering). The Corporation acted as one of several initial purchasers of the Note Offerings and as one </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of several underwriters of the Stock Offering. On April 28, 2017, the court partially granted and partially denied a motion to dismiss filed by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Corporation and other bank defendants; the claims relating to the Note Offerings were dismissed, but the claims relating to the Stock Offering </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">were allowed to proceed. The matter is currently in discovery. The Corporation and other financial institutions are also defendants in a class </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action lawsuit pending in the Superior Court of Quebec asserting statutory and civil claims against the Corporation for misrepresentations in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">primary market disclosures. The matter is currently in discovery. On January 2, 2018, several pension funds filed an additional suit in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">District of New Jersey against Valeant and others, including the Corporation, asserting a negligent misrepresentation claim against the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Corporation and another financial institution in connection with the March 2015 Note Offering. On September 26, 2018, the court dismissed the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sole claim against the Corporation, subject to plaintiff&#8217;s appellate rights. On January 4, 2018, a hedge fund and related entities filed suit in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Southern District of New York against Valeant and others, including the Corporation. The complaint asserts claims under Sections 11 and 12 of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Securities Act of 1933 in connection with the March 2015 Stock Offering. The action was later transferred to the District of New Jersey, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on September 14, 2018, the court denied the underwriter group&#8217;s partial motion to dismiss the complaint. The matter is currently in discovery. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">connection with its role as an initial purchaser in the Note Offerings and an underwriter in the Stock Offering, the Corporation received a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">customary indemnification agreement from Valeant as issuer.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Corporation, along with numerous other underwriters of various securities offerings by SunEdison, Inc. and its majority-owned </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliate TerraForm Global, Inc., is named in nine putative securities class and individual actions filed beginning in October 2015 in state and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">federal courts. The complaints all allege violations of the federal securities laws, and several of the individual actions also variously assert </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims under state securities laws and for common law negligent misrepresentation with respect to various offerings by SunEdison or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">TerraForm. The actions were transferred for pre-trial proceedings to a multi-district litigation (MDL) pending in the Southern District of New </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">York. The issuer and plaintiffs entered into an agreement to resolve the class action based on TerraForm&#8217;s initial public offering as to all </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-145</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_16"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants without contribution from the underwriters.
The parties submitted the settlement and received preliminary approval in December </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2017, and a final approval hearing that was scheduled for April 2018 was adjourned
without a date because certain larger institutional class </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">members opted out of the settlement, prompting TerraForm to exercise its termination right. The direct cases and
causes of actions arising </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exclusively out of Terraform offerings were dismissed with prejudice in late December 2017 and early January 2018. On March 6, 2018, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants&#8217; motion to dismiss the class action based on the SunEdison offering was granted as to certain alleged misstatements and omissions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and denied as to others. On March 1, 2019, four of the individual cases were dismissed with prejudice. Following the ruling on the motion to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss in the class action, the parties stipulated to have the court&#8217;s motion to dismiss decision in the class action apply to certain individual </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs&#8217; amended complaints and incorporate these plaintiffs into discovery. On July 11, 2019, the parties in the class action executed a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement agreement, which was preliminarily approved by the Court on July 16, 2019. On August 6, 2019, these individuals plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">requested leave to file amended complaints. The underwriters, including the Corporation, received customary indemnification from SunEdison </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and Terraform in connection with the offerings, but the availability of indemnification from SunEdison was adversely impacted when </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SunEdison filed for bankruptcy protection on April 21, 2016 in the U.S. Bankruptcy Court for the Southern District of New York.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Corporation was also named as a defendant in a lawsuit filed in the Superior Court of the
State of California, County of San </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Francisco arising out of its role as an arranger of a term B/second lien loan to SunEdison, Inc. The complaint asserts state common law
claims </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">based on allegations that the Corporation misrepresented or failed to disclose to the second lien lenders certain facts about SunEdison&#8217;s financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">condition, including that SunEdison did not have sufficient liquidity. The Corporation removed the case to the United States District Court for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Northern District of California, and sought transfer to a multi-district litigation (MDL) related to SunEdison pending in the Southern District </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of New York. On April 3, 2019, the case was transferred to the MDL over plaintiff&#8217;s objection. On April 18, 2019, the MDL Court referred the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">case to the Bankruptcy Court for consideration with SunEdison&#8217;s chapter 11 bankruptcy proceedings. On April 24, 2019, plaintiff filed a motion </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to remand. The Bankruptcy Court remanded the case to California state court on June 3, 2019, and the case was returned to California state </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">court. The Corporation filed a demurrer and motion to stay the action pending the resolution of DBSI&#8217;s appeal of the remand order on July 15, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019, which plaintiff opposes. Meanwhile, the Corporation filed an appeal of the remand order, and its opening brief was filed on August 16, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Corporation, along with numerous other financial institutions, has been named as a defendant
in a putative consolidated class action </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">lawsuit pending in the United States District Court for the Northern District of Texas regarding the initial public offering of
Santander Consumer </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">USA Holdings Inc. The Consolidated Complaint asserts claims against the Corporation under Sections 11 and 12 of the Securities Act for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleged misstatements and omissions in the offering documents issued by Santander Consumer in connection with Santander Consumer&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">August 26, 2014 initial public offering. The Corporation acted as one of the underwriters on that initial public offering with other bank </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants. Jointly with the other bank defendants, the Corporation filed a motion to dismiss the Consolidated Complaint on December 18, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2015. On June 13, 2016, the court denied the issuer and underwriters&#8217; motions to dismiss. The plaintiffs&#8217; motion for class certification is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">currently pending before the court. In connection with its role as an underwriter of the initial public offering, the Corporation received a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">customary indemnification agreement from Santander Consumer as issuer.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Employment Litigation</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Corporation has been named as respondent in an arbitration proceeding brought by two former
Managing Directors for breach of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">contract, unjust enrichment and violation of New York Labor Law for the failure to pay alleged formulaic bonuses based on an alleged oral
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">promise. The Corporation answered the statement of claim on January 17, 2019. The hearing is scheduled to be held December 3 through </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">December 13, 2019.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Interbank and Dealer Offered Rates</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Corporation is, along with various other financial institutions, a defendant in multiple actions alleging that it conspired to manipulate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Dollar LIBOR that have been coordinated as part of a multidistrict litigation (the U.S. Dollar LIBOR MDL) in the Southern District of New </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">York. On December 20, 2016, the district court in the U.S. Dollar LIBOR MDL issued a ruling dismissing certain antitrust claims while </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">allowing others to proceed. The district court&#8217;s ruling indicated that antitrust claims brought against the Corporation by plaintiff Salix Capital </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">US Inc., on its own behalf and as assignee of the FrontPoint Funds, could proceed, and that claims brought against the Corporation by plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Principal Funds, Inc. and related companies remained dismissed. On February 2, 2017, the court entered an order holding that claims against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliates of LIBOR panel banks should be dismissed, and directed that the parties meet and confer to identify the particular entities to be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissed as a result of this holding. Certain plaintiffs have appealed the district court&#8217;s December 20, 2016 ruling; briefing of the appeal is </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-146</font></div> </div> </div> </div>
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<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">complete and oral argument was heard on May 24, 2019. On
July 8, 2019, plaintiffs Principal Funds, Inc., Principal Financial Group, Inc., and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">related companies filed revised amended complaints.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Also coordinated as part of the U.S. Dollar LIBOR MDL is a putative class action brought by
plaintiffs who allegedly traded </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange-listed Eurodollar futures and options (the exchange-based plaintiffs) and claim that defendants coordinated to make artificial USD
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR submissions. As is relevant to the Corporation, on April 15, 2016, the court denied the exchange-based plaintiffs leave to add the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Corporation as a defendant, on the basis that their proposed claims were untimely. On July 13, 2017, DBAG, the Corporation, and DB Group </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Services (UK) Limited entered into an agreement with plaintiffs to settle this action. The settlement agreement is subject to further review and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approval by the court.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On January 12, 2018, a putative class action lawsuit was filed in the U.S. District Court for the Southern District of New York relating to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Canadian Dealer Offered Rate (CDOR), a Canadian dollar denominated interest rate benchmark, against numerous financial institutions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including the Corporation. Plaintiff filed an amended complaint on March 20, 2018, which alleged that the defendants, members of the panel of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">banks that provided CDOR submissions and their affiliates, suppressed their CDOR submissions in order to benefit their positions in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CDOR-referencing financial instruments. On March 14, 2019, the court granted defendants&#8217; motions to dismiss the amended complaint, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissing all claims against the Corporation. The plaintiff filed a notice of appeal; however, on July 25, 2019, the plaintiff and defendants filed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a stipulation withdrawing the appeal with prejudice.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In January and March 2019, plaintiffs filed three putative class action complaints in the U.S. District Court for the Southern District of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">New York against numerous financial institutions, including DBAG and the Corporation. The complaints allege that the defendants, members of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the panel of banks that provided U.S. Dollar LIBOR submissions, the organization that administers LIBOR, and their affiliates, conspired to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">suppress USD LIBOR submissions from February 1, 2014 through the present. These actions have been consolidated, and on July 1, 2019, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs filed a consolidated amended complaint. On August 30, 2019, the defendants moved to dismiss the consolidated amended complaint.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">DBAG has previously entered into settlements with U.S. and foreign government entities to resolve
investigations into misconduct </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">concerning the setting of certain interbank offered rates. The Corporation is not a named party to these settlements; however, the
settlements </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">may have an impact on the Corporation&#8217;s ability to defend against the litigations.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Interest Rate Swaps (IR Swaps) Market</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 5, 2016, the CFTC issued a subpoena to DBAG and its affiliates, including the
Corporation, seeking documents and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">information concerning the trading and clearing of IR Swaps. DBAG is cooperating fully in response to the subpoena and requests </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for information.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">DBAG and the Corporation are defendants, along with numerous other IR Swaps dealer banks, in a
multi-district antitrust civil class </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">action filed in the United States District Court for the Southern District of New York involving class and competitor claims. The
class action </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs are consumers of IR Swaps. Competitor trading platforms TeraExchange, Javelin and TrueEx have also filed individual lawsuits. All </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the cases have been consolidated for pretrial purposes. The plaintiffs filed second consolidated amended complaints on December 9, 2016 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleging that the banks conspired with TradeWeb and ICAP to prevent the establishment of exchange-traded IR Swaps. On July 28, 2017, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants&#8217; motions to dismiss the second consolidated amended complaints were granted in part and denied in part. Class plaintiffs filed the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Third Consolidated Amended Class Action Complaint on May 30, 2018. On August 7, 2018, TrueEx filed an amended complaint, which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants moved to dismiss on August 28, 2018. On November 20, 2018, the court granted in part and denied in part defendant&#8217;s motion to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss the amended TrueEx complaint. Class plaintiffs filed the Fourth Consolidated Amended Class Action complaint on March 22, 2019. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fact discovery in all cases closed on April 10, 2019 and the parties are currently briefing class certification issues. The class plaintiffs served a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion to certify a class on February 20, 2019. The defendants filed an opposition to plaintiffs&#8217; motion for class certification on June 18, 2019, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the motion is scheduled to be fully briefed on October 1, 2019.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Mortgage-Related and Asset Backed Securities Matters and Investigation</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Regulatory and Governmental Matters. The Corporation, along with certain affiliates (collectively referred to in these paragraphs as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Deutsche Bank), received subpoenas and requests for information from certain regulators and government entities, including members of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Residential Mortgage Backed Securities Working Group of the U.S. Financial Fraud Enforcement Task Force, concerning its activities regarding </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the origination, purchase, securitization, sale, valuation and/or trading of mortgage loans, residential mortgage-backed securities (RMBS), </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-147</font></div> </div> </div> </div>
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<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">commercial mortgage-backed securities (CMBS),
collateralized debt obligations (CDOs), other asset-backed securities and credit derivatives. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Deutsche Bank cooperated fully in response to those subpoenas and requests
for information. On January 17, 2017, Deutsche Bank executed a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement with the DOJ to resolve potential claims related to its RMBS business conducted from 2005 to
2007. Under the settlement, Deutsche </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bank paid a civil monetary penalty of $3.1 billion and agreed to provide $4.1 billion in consumer relief.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In September 2016, Deutsche Bank received administrative subpoenas from the Maryland Attorney
General (Maryland AG) seeking </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">information concerning Deutsche Bank&#8217;s RMBS and CDO businesses from 2002-2009. On June 1, 2017, Deutsche Bank and the Maryland AG
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">executed a settlement to resolve the matter for $15 million in cash and $80 million in consumer relief to be allocated from the overall $4.1 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">billion consumer relief obligation agreed to as part of Deutsche Bank&#8217;s settlement with the DOJ.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Deutsche Bank has recorded provisions with respect to some of the outstanding regulatory investigations, a portion of which relate to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consumer relief being provided under the DOJ settlement.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Issuer and Underwriter Civil Litigation. Deutsche Bank has been named as defendant in numerous civil litigations brought by private </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">parties in connection with its various roles, including issuer or underwriter, in offerings of RMBS and other asset-backed securities. These cases, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">described below, allege that the offering documents contained material misrepresentations and omissions, including with regard to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">underwriting standards pursuant to which the underlying mortgage loans were issued, or assert that various representations or warranties relating </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the loans were breached at the time of origination.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Deutsche Bank is a defendant in a putative class action relating to its role as underwriter of six RMBS issued by Novastar Mortgage </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Corporation. No specific damages are alleged in the complaint. The lawsuit was brought by plaintiffs representing a class of investors who </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purchased certificates in those offerings. The parties reached a settlement agreement to resolve the matter for a total of $165 million, a portion of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which was paid by Deutsche Bank. On August 30, 2017, The Federal Housing Finance Agency and The Federal Home Loan Mortgage </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Corporation (together, &#8220;FHFA&#8221;) filed an objection to the settlement and shortly thereafter appealed the district court&#8217;s denial of their request to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">stay settlement approval proceedings, which appeal was ultimately resolved against FHFA. The court overruled FHFA&#8217;s objection and approved </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the settlement following a hearing on March 7, 2019. FHFA filed an appeal on June 28, 2019.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Deutsche Bank is a defendant in three actions related to RMBS offerings brought by the Federal Deposit Insurance Corporation (FDIC) as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">receiver for: (a) Colonial Bank (alleging no less than $213 million in damages against all defendants), (b) Guaranty Bank (alleging no less than </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$901 million in damages against all defendants), and (c) Citizens National Bank and Strategic Capital Bank (alleging an unspecified amount in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">damages against all defendants). In each of these actions, the appellate courts have reinstated claims previously dismissed on statute of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">limitations grounds and petitions for rehearing and certiorari to the U.S. Supreme Court were denied. In the case concerning Colonial Bank, a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement was fully executed on July 2, 2019. Deutsche Bank was fully indemnified and did not make a monetary contribution to the settlement. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">In the case concerning Guaranty Bank, on September 14, 2017, the court granted in part Deutsche Bank&#8217;s motion for summary judgment </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">regarding the proper method of calculating pre-judgment interest. The parties engaged in mediation on November 27, 2018 and June 3, 2019. No </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement was reached during the mediation. Trial is scheduled to begin on October 28, 2019. In the case concerning Citizens National Bank </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and Strategic Capital Bank, on July 31, 2017, the FDIC filed a second amended complaint, which defendants moved to dismiss on September</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> 14, 2017. The case is stayed pending resolution of defendants&#8217; motion to dismiss.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Deutsche Bank is a defendant in an action brought by Royal Park Investments (Royal Park) (as purported assignee of claims of a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">special-purpose vehicle created to acquire certain assets of Fortis Bank) alleging common law claims related to the purchase of RMBS. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint did not specify the amount of damages sought. On April 17, 2017, the court dismissed the complaint, and on February 13, 2018, it&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the plaintiff filed its appeal. On October 9, 2018, the dismissal was affirmed by the appellate court. Plaintiff filed a motion for leave to appeal to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the New York Court of Appeals on November 8, 2018. Defendants filed an opposition on November 21, 2018, which completed the briefing. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">January 15, 2019, the New York Court of Appeals denied the motion.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the actions against Deutsche Bank solely as an underwriter of other issuers&#8217; RMBS offerings, Deutsche Bank has contractual rights to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">indemnification from the issuers, but those indemnity rights may in whole or in part prove effectively unenforceable where the issuers are now, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or may in the future be, in bankruptcy or otherwise defunct.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Precious Metals Investigations and Litigations</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-148</font></div>
</div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_19"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Deutsche Bank received inquiries from
certain regulatory and law enforcement authorities, including requests for information and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">documents, pertaining to investigations of precious metals trading and related
conduct. Deutsche Bank is cooperating with these investigations. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">On January 29, 2018, Deutsche Bank entered into a $30 million settlement with the U.S. Commodity Futures
Trading Commission (CFTC) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">concerning spoofing, and manipulation and attempted manipulation in precious metals futures and of stop loss orders.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Deutsche Bank is a defendant in two consolidated class action lawsuits pending in the U.S.
District Court for the Southern District of New </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">York. The suits allege violations of U.S. antitrust law, the U.S. Commodity Exchange Act and related state law arising out
of the alleged </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">manipulation of gold and silver prices through participation in the Gold and Silver Fixes. Deutsche Bank reached agreements to settle the Gold </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action for $60 million and the Silver action for $38 million, which remain subject to final court approval.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Deutsche Bank is a defendant in Canadian class action proceedings in the provinces of Ontario and
Quebec concerning gold and silver. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Each of the proceedings seeks damages for alleged violations of the Canadian Competition Act and other causes of action. Deutsche Bank
has </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">reached agreements to settle these actions which were approved by the Ontario court on May 29, 2019 and the Quebec court on June 17, 2019. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The amounts are not material to the Bank.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Recordkeeping Investigation</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Corporation has received inquiries from a regulatory authority, including requests for
information and documents, with respect to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Corporation&#8217;s archiving of records and the Corporation&#8217;s compliance with and policies and procedures related to
the recordkeeping requirements </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for broker-dealers. The Corporation is cooperating with this investigation.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Sovereign, Supranational and Agency Bonds (SSA) Investigations and Litigations</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">DBAG has received inquiries from certain regulatory and law enforcement authorities, including requests for information and documents, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pertaining to SSA bond trading. Deutsche Bank is cooperating with these investigations.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">DBAG is a defendant in several putative class action complaints filed in the U.S. District Court for the Southern District of New York </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleging violations of antitrust law. On May 8, 2016, direct market participants filed class actions relating to SSA bond trading; DBAG has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reached an agreement to settle the actions by direct market participants in SSA bonds for the amount of $48.5 million, which is pending court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approval. In February 2019, alleged indirect market participants filed a class action relating to SSA bond trading, which is in its early stages. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">March 2018, alleged market participants filed a class action relating to Mexican government bond trading, which is in early stages and for which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a motion to dismiss is pending with the court. In February 2019, alleged market participants filed class actions relating to US Agency bond </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading, which were consolidated under a single case heading in April 2019; the Bank has reached a preliminary agreement to settle the action, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which is subject to agreement on all other settlement terms, and the settlement agreement is subject to further documentation and approval of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the court.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">DBAG is
also a defendant in actions filed in Canada on November 7, 2017 and December 5, 2017, which relate to SSA bond trading and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">which are in early stages.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Tax-Related Litigation</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">DBAG, along with certain affiliates, including DBTCA and the Corporation, and current and/or former employees (collectively referred </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to in this section as Deutsche Bank), have collectively been named as defendants in a number of legal proceedings brought by customers in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">various tax-oriented transactions that DBAG participated in between 1999 and 2002 and that are generally the subject of a non-prosecution </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreement DBAG entered into with the U.S. Department of Justice in 2010. Deutsche Bank provided financial products and services to these </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">customers, who were advised by various accounting, legal and financial advisory professionals. The customers claimed tax benefits as a result of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">these transactions, and the U.S. Internal Revenue Service (IRS) has rejected those claims. In these legal proceedings, the customers allege that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the professional advisors, together with Deutsche Bank, improperly misled the customers into believing that the claimed tax benefits would be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">upheld by the IRS. The legal proceedings are pending in state and federal courts, and claims against Deutsche Bank are alleged under both U.S. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">state and federal law. All but one of these legal proceedings have been resolved and dismissed with prejudice with respect to Deutsche Bank. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The remaining proceeding, pending in state court in Illinois, is currently in the pre-trial discovery stage. Deutsche Bank has received and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">resolved a number of unfiled claims as well.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-149</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_20"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Trust Preferred Securities</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">DBAG and certain of its affiliates and former officers, including the Corporation, are the subject of a consolidated putative class action, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed in the United States District Court for the Southern District of New York, asserting claims under the federal securities laws on behalf of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">persons who purchased certain trust preferred securities issued by DBAG and its affiliates between October 2006 and May 2008. The court has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissed all claims related to four of the six offerings, and narrowed claims as to the November 2007 and February 2008 Offerings. The district </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">court limited claims relating to the two offerings remaining in the case to alleged failures (i) to disclose &#8220;any known trends or uncertainties that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">have had or that the registrant reasonably expects will have a material favorable or unfavorable impact on net sales or revenues or income from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">continuing operations&#8221; and (ii) to disclose &#8220;the most significant factors that make the offering speculative or risky&#8221; pursuant to Items 303 and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">503 of Regulation S-K. Defendants served Answers denying all wrongdoing. On October 2, 2018, the district court certified a plaintiff class as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to both offerings. All discovery is completed. The parties are proceeding on a court ordered schedule for the presentation of defendants&#8217; motion </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for summary judgment. Defendants&#8217; briefs were filed on July 31, 2019.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">US Treasury Securities Investigations and Litigations</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">DBAG has received inquiries from certain regulatory and law enforcement
authorities, including requests for information and documents, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">pertaining to U.S. Treasuries auctions, trading, and related market activity. DBAG is cooperating with these
investigations. The Corporation was </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">a defendant in several putative class actions alleging violations of U.S. antitrust law, the U.S. Commodity Exchange Act and common law
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">related to the alleged manipulation of the U.S. Treasury securities market. These cases have been consolidated in the Southern District of New </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">York. On November 15, 2017, plaintiffs filed a consolidated amended complaint, which did not name the Corporation as a defendant. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">December 11, 2017, the court dismissed the Corporation from the class action without prejudice.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">ISDAFIX</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On February 1, 2018, the Company entered into a settlement with the US Commodity Futures Trading
Commission (CFTC) to resolve the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">CFTC&#8217;s investigation concerning the Company&#8217;s involvement in the setting of US Dollar ISDAFIX. The Company agreed to pay a
civil </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">monetary penalty of $70 million and to remedial undertakings, including maintaining systems and controls reasonably designed to prevent </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">potential manipulation of interest rate swaps benchmarks.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">CFE 10-007, January 16, 2020</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">(included by Sponsor from
the NFA website and not provided by DBSI)</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">DBSI failed to properly report open
interest to the Options Clearing Corporation, resulting in overstatements of the February 2019 VX06 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">open interest for four days proximate to the contract&#8217;s final
settlement date. This failure was due to a systems issue.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">ED&amp;F Man Capital Markets, Inc. (Man)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Except as indicated below, there have been no material civil, administrative, or criminal proceedings pending, on appeal, or concluded </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against ED&amp;F Man Capital Markets Inc. (the &#8220;Firm&#8221;) or its principals in the past five (5) years.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">United States District Court for the Southern District of New York, Civil Action No.
19-CV-8217</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In a private litigation, plaintiffs allege, among other things, that the
Firm made certain fraudulent misrepresentations to them that they </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">relied upon in connection with a futures account carried by the Firm in its capacity as a futures
commission merchant. The plaintiffs allege </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims of common law fraud, negligence, breach of fiduciary duty, breach of contract, breach of the duty of good faith and fair
dealing and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">misrepresentation/omission. The Firm has filed its Answer and Counterclaims to the Complaint and intends to vigorously defend the litigation.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Included by the Sponsor from the NFA Website and not provided by Man</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">NFA Case #: 21BCC0010. On June 30, 2021, the NFA&#8217;s Business Conduct Committee (BCC) issued
a complaint against ED&amp;F Man </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleging that ED&amp;F Man failed to comply with the Qualification Testing of Associated Persons (APs). On September 16, 2021, the
NFA&#8217;s BCC </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">issued a Decision accepting ED&amp;F Man&#8217;s settlement offer finding that ED&amp;F Man violated NFA Compliance Rule 2-24 and ordered ED&amp;F </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Man to pay a $150,000 fine. Effective Date: October 1, 2021.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">ICE Case #: 2017-066D
ED&amp;F Man Capital Markets, Ltd. was issued </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-150</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_21">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">a summary fine in the amount of $2,500 for failing to retain electronic audit trail data corresponding to four (4) orders </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">entered onto the electronic trading system in 2016. Effective Date: October 11, 2018</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">SG Americas Securities, LLC (SGAS)</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the normal course of business, SGAS, a registered broker-dealer and futures
commission merchant, and/or its principals may be named </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">as defendant(s) in various legal actions, including arbitrations, class actions and other proceedings, and may be
involved in reviews, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations and other proceedings (formal and informal) by governmental agencies, law enforcement, and self-regulatory organizations. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Information on formal regulatory proceedings involving SGAS, including fines, is available through FINRA&#8217;s BrokerCheck or via the National </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Futures Association&#8217;s Background Affiliation Status Information Center. Certain material proceedings or other investigations involving SGAS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and/or its ultimate corporate parent Societe Generale (SG) and other affiliates can be found in SG&#8217;s periodic regulatory filings with the Autorit&#233; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">des march&#233;s financiers (&#8220;AMF&#8221;), the French analogue to the Securities and Exchange Commission.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Regulatory Matters</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In September 2016, SGAS, as successor to Newedge USA, settled,
without admitting or denying the allegations, a matter brought by the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">CFTC alleging Newedge USA violated Section 4C(A) of the Commodity Exchange Act and Regulations 1.38
and 166.3 by executed and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">confirming numerous exchange for physical transactions in agricultural and soft commodities for and on behalf of its clients that were for the
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">same contract, quantity and same or similar price with the buyer and seller for each transaction under the same common control and ownership.</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> The settlement included a $750,000 civil penalty and an undertaking to implement policies, procedures and training programs reasonably</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> designed to prevent the execution, clearing and reporting to an exchange of non-bona fide exchange of futures for physical transactions.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In April 2017, SGAS settled, without admitting or denying the allegations, a matter brought by the Chicago Board of Options Exchange for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">failing to report, or accurately report, &#8220;reportable positions&#8221; on its large option position report in violation of Exchange Rules 4.2 and 4.13. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">connection with this matter, SGAS paid a fine of $100,000.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In April 2017, SGAS settled, without admitting or denying the findings, a matter brought by FINRA for failing to establish and maintain a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">supervisory system reasonably designed to ensure that customers of a recently acquired firm were sent account statements, notified of availability</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> of statements on its customer portal, agreed to receive statements and confirmations electronically, and were sent confirmations which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contained all of the required information. The settlement included payment of a fine in the amount of $100,000.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In July 2017, SGAS settled, without admitting or denying the
findings, a matter with the CME Group where the CME alleged SGAS violated </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">CME Rules 9.70.A., 971.A.2.A., B. and C., 980.A., and 980B.1 and 2. The settlement related to two
separate CME exam findings: (1) balances</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> were not consistently identifiable in the general ledger and (2) procedures for resolving the general ledger suspense balances
were not </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">sufficient. In connection with this matter, SGAS paid a fine of $150,000.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In January 2018, SGAS settled, without admitting or denying the findings, four disciplinary proceedings with FINRA related to (1) incorrect </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">equity trade reporting; (2) incorrect capacity on customer confirmations; (3) late TRACE reporting for transactions in corporate debt securities;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> (3) failure to timely report to TRACE new issue offerings in corporate debt securities. The settlement covered various review periods in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the 2010-2016 time period. The settlement included payment of a fine totaling $200,000.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In March 2018, SGAS settled, without admitting or denying the findings, a matter brought by FINRA in connection with SGAS&#8217;s over-submissions</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> of shares in certain tender offers. The settlement included payment of a fine in the amount of $50,000 plus disgorgement of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">profits in the amount of $469,130.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In September 2018, SGAS settled, without admitting or denying
the findings, a matter brought by the SEC alleging that in 2012-2015 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Newedge (and then SGAS) engaged in transactions in pre-released American Depositary Receipts (ADRs)
without complying with certain </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">obligations of the Securities Act of 1933 and failed to supervise borrowing and lending of pre-released ADRs by its personnel in violation
of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain provisions of the Exchange Act of 1934. The settlement included payment of a $250,000 fine, $486,672 in disgorgement, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$82,657 in pre-judgment interest.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-151</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_22">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;margin-left:15.15pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In October 2018, SGAS settled, without admitting or denying the
findings, a matter brought by FINRA on behalf of Cboe BZX, Cboe </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">EDGA, Cboe EDGX, Nasdaq and Nasdaq PHLX regarding incorrect use of capacity codes on exchange orders in
2014-2016. The settlement </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">included payment of fines totaling $175,000.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In April 2019, SGAS settled, without admitting or denying the
findings, a matter brought by FINRA on behalf of NYSE Arca and Cboe </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">regarding deficiencies in large option position reporting at NUSA. The settlement included payment of a
fine totaling $600,000.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In April 2019, SGAS settled, without admitting or denying the findings, a matter brought by NYSE Regulation Enforcement which concerned</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> an equity trade error in 2015 allegedly improperly offset by an affiliate trade. The settlement also alleged inadequate market access </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">controls, testing, and supervisory failures associated with the cause of the trade error. The settlement included payment of a fine in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amount of $380,000.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In May 2019, SGAS settled, without admitting or denying the
findings, a matter brought by FINRA on behalf of Cboe, Nasdaq PHLX, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">NYSE American, and NYSE Arca concerning inaccurate capturing and recording of order receipt time and
order route time for certain </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">manual options orders sent to floor brokers. The settlement included payment of fines totaling $115,000.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In July 2019, SGAS settled, without admitting or denying the findings, two matters brought by the Chicago Board of Trade (&#8220;CBOT&#8221;) and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the New York Mercantile Exchange (&#8220;NYMEX&#8221;), which alleged impermissible pre-hedging of block trades as well as late and inaccurate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">block trade reporting in 2014-2016. The settlement included payment of fines totaling $350,000 and disgorgement of profits totaling </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$152,625.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In October 2019, SGAS settled, without admitting or denying the
findings, a matter brought by NYSE Regulation Enforcement regarding </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleged violations of SEC Regulation SHO and trading through National Best Bid or Offer in two
instances, as well as a locate latency issue. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">The settlement included payment of a fine of $325,000.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In December 2019, SGAS settled, without admitting or denying the findings, a matter brought by FINRA on behalf of Cboe Exchange, Inc. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">concerning late submissions of options orders into Cboe&#8217;s monthly pricing process for its volatility index (VIX). The settlement included </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">payment of a fine totaling $135,000.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In December 2019, SGAS settled, without admitting or denying
the findings, a matter brought by NYSE Regulation Enforcement regarding </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleged violations of NYSE Rules 132 and 7.33, by transmitting orders with discontinued account
type indicators between 2016 and 2019. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">The settlement included payment of a fine totaling $100,000.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In April 2020, SGAS settled, without admitting or denying the findings, a matter brought by FINRA Enforcement regarding incorrect calculations</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> of tender offer exchanges. The settlement included payment of a fine in the amount of $35,000 plus disgorgement of $178,512.30.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In June 2020, SGAS settled, without admitting or denying the findings, a matter brought by FINRA and SEC concerning self-reported errors </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in Blue Sheet submissions stemming from two Legacy Newedge systems, dating back to approximately November 2012. The settlement </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">included payment of a fine totaling $3,100,000.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In December 2020, SGAS settled, without admitting or denying
the findings, a matter brought by FINRA Enforcement concerning its failure </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to store certain records in a manner compliant with of storage requirements of SEC Rule 17a-4.
The settlement included payment of a fine </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">totaling $1,000,000.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Litigation Matters</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">The Official Committee of Unsecured Creditors of Tribune
Company, et al. v. Dennis J. Fitzsimons, et al. (the &#8220;Committee Action&#8221;); Deutsche</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Bank Trust Company Americas, et al. v. Adaly Opportunity Fund TD Securities
Inc., et al.; and Williams A. Niese, et al. v. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">AllianceBernstein L.P., et al. (collectively, the &#8220;State Law Creditor Actions&#8221;) are lawsuits arising from the
bankruptcy of the Tribune Company,</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> which was the subject of a leveraged buyout in 2007. The suits generally allege that the LBO left the company overleveraged, thus
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">leading to its bankruptcy, and seek to recover payments made to holders of Tribune shares under various federal and state law theories of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">liability. The Committee Action was dismissed and is now on appeal. The State Law Creditor Actions were dismissed and affirmed on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">appeal, and are now over. SGAS is defending the Committee Action.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-152</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_23"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;margin-left:15.15pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">AC Scout Trading, LLC v. SG Americas Securities, LLC and Newedge USA, LLC was a FINRA arbitration filed by a former NUSA customer</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> alleging claims of fraud, breach of FINRA rules, breach of contract, breach of implied covenant of good faith and fair dealing, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">negligence. The allegations involved losses incurred in connection with a position in tin futures contracts traded in the London Metal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Exchange (&#8220;LME&#8221;). Claimant&#8217;s claims were denied in their entirety on July 24, 2018 and the matter is now over.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Vega Opportunity Fund LLC v. Newedge USA, LLC was a FINRA arbitration filed by a former NUSA customer alleging claims of fraud, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">deceptive trade practices, breach of fiduciary duty, breach of contract, and violation of Illinois Securities Law. NUSA was alleged to be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">responsible for capital losses due to false representations of risk management by NUSA. This matter has been settled and the matter is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">now over.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">SGAS, along with other financial institutions, was named as a
defendant in several putative class actions alleging violations of US antitrust </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">laws and the CEA in connection with its activities as a US Primary Dealer, buying and
selling US Treasury securities. The cases were consolidated</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> in the US District Court in Manhattan, and lead plaintiffs&#8217; counsel was appointed. An amended
consolidated complaint was filed on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">15 November 2017, and SGAS was not named as a defendant. By order dated 15 February 2018, SGAS was dropped as a defendant in an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">individual &#8220;opt out&#8221; action alleging similar causes of action. There are no actions pending against SGAS in this matter.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">Allianz Global Investors GmbH, et al. v. Bank of America Corporation, et al. is a litigation filed on behalf of entities that decided to opt out </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the class action settlement in the action In re Foreign Exchange Benchmark Rates Antitrust Litigation, which alleged conspiracy to fix </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">prices in the FX market beginning in 2003. SGAS has been dismissed as a defendant in this case.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In re ProShares Trust II Securities Litigation was a putative class action brought by investors in ProShares Short VIX Short-Term Futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ETFs, which lost significant value in February 2018. In addition to claims against the issuer, the action asserted claims under the Securities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Act of 1933 against SGAS, Newedge, and other &#8220;Authorized Participants&#8221; who are alleged to be underwriters of ETF shares, based upon </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purported misstatements or omissions by the issuer in the offering documents. The complaint was dismissed in January 2020; plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">appealed but did not file a petition for certiorari with the U.S. Supreme Court. This case is now over.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">City of Livonia Employees&#8217; Retirement System and City of Livonia Retiree Health and Disability Benefits Plan v. Intercontinental </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Exchange, Inc., et al., and Hawaii Sheet Metal Workers Health &amp; Welfare Fund, et al. v. Intercontinental Exchange, Inc., et al. are putative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">class actions concerning purported manipulation of Libor rates from February 2014 to the present brought against several financial institutions,</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> including SG and SGAS. The case was dismissed as to SG and SGAS (and other defendants) and is currently on appeal before the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Court of Appeals for the Second Circuit. SG and SGAS are defending the cases.</font></div> <div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">In re GSE Bonds Antitrust Litigation was a putative class
action asserting antitrust claims under the Sherman Act against SGAS and other </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial institutions based upon alleged anti-competitive behavior in the trading of bonds
issued by U.S. Government Sponsored Enterprises </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(GSEs), i.e., Federal Home Loan Bank (FHLB), Federal Home Loan Mortgage Corporation (Freddie Mac), and Federal National
Mortgage </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Association (Fannie Mae). In June 2020, a global class action settlement involving multiple banks, including SGAS, was finally approved by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the court. State of Louisiana v. Bank of America, N.A., et al.; City of Baton Rouge v. Bank of America, N.A., et al; Louisiana Asset Management</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> Pool v. Bank of America Corporation, et al and City of New Orleans, et al v. Bank of America Corporation et al. were pending individual</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> lawsuits containing similar allegations, and have been settled. The cases are now over.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">SGAS has also been named in purported class and individual actions in connection with its role in underwriting various debt and equity securities</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> offerings. Currently pending matters relate to the offerings of Southwestern Energy and Altice USA. Claims in all these cases are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">asserted under the Securities Act of 1933 and/or state law against SGAS in its role as a member of the underwriting syndicate and are based </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">upon purported misstatements or omissions by the issuers in the offering documents. SGAS is defending the cases.</font></div>
<div style="line-height:11.0pt;margin-left:15.15pt;margin-top:8pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:-2.90%;">&#8226;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:12pt;">SGAS has been named in a litigation filed by Bermuda-based hedge fund Harrington Global Opportunity Fund, Limited, which alleges a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">market manipulation scheme involving spoofing and abusive naked short selling that caused Harrington to incur losses in connection with its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sale of approximately 9 million shares of Concordia International Corp. stock on Canadian and U.S. exchanges in 2016. SGAS is defending </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the case.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">ICE Case #2019-021/022A, October 30, 2019</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">
(</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">included by Sponsor from the NFA website and not provided by
SGAS</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">)</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-153</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_24">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">SG Americas Securities LLC was issued a summary fine in the amount of $2,500 for violating Rule 4.19(a) by failing to retain electronic </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">audit trail data corresponding to orders entered on various dates through 2017 and 2018.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CBOT Case #DQA-19-002, August 2, 2019</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> (</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">included by the Sponsor from the NFA website and not provided by SGAS</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">)</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">During the period of January 1, 2019 to March 31, 2019, SG Americas Securities LLC violated Rule
576 by failing to maintain current </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and accurate information in the Exchange Fee System.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 17, 2019, SG Americas Securities LLC, pursuant to Rule 512 (&#8220;Reporting Infractions&#8221;), was issued the following fines by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">512 Committee for its violation of Rule 576: CME $3,000 CBOT $3,000 Total $6,000</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CBOT Case #19-5501-3, July 2, 2019</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> (</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">included by the Sponsor from the NFA website and not provided by SGAS</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">)</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">During the month of May 2019, SG Americas Securities, LLC. inaccurately reported long positions
eligible for delivery in the May 2019 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Ethanol, KC Wheat, and Wheat futures contracts. PENALTY: On June 14, 2019, the Rule 512 Committee, pursuant to Rule 512, assessed a
fine </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the amount of $1,500 against SG Americas Securities, LLC. for its violation of Rule 807.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CBOE Case # USFI-161, October 25, 2018</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">included by the Sponsor from the NFA website and not provided by SGAS</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">)</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CFE Rule
403(a)(x) - Failure to Submit Correct CTI Code Information &#8211; Pursuant to CFE Rule 403(a)(x) all Orders entered into the CFE </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">System contain accurate and complete
information, including the Customer Type Indicator (&#8220;CTI&#8221;) code. From February 26, 2018 to June 29, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2018 SGAS sent orders with incorrect CTI codes for 29
different accounts. The total number of orders sent with incorrect CTI codes was 33,890 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or 18.9% of the 179,323 total orders from SGAS during that period. This is the
Firm&#8217;s 2nd violation of Rule 403(a)(x) within a rolling twelve </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(12) month period.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CBOT Case # DQA-18-9650, September 14, 2018</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">
(</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">included by the Sponsor from the NFA website and not provided by
SGAS</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">)</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">During the period of January 1, 2018 to March 31, 2018, SG Americas Securities LLC violated Rule
576 by failing to maintain current </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and accurate information in the Exchange Fee System.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 29, 2018, SG Americas Securities LLC, pursuant to Rule 512 (&#8220;Reporting Infractions&#8221;), was issued the following fines by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">512 Committee for its violation of Rule 576: CME $2,500 CBOT $2,500 Total $5,000 Effective Date: September 14, 2018</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CME Case #17-9264, September 29, 2019</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">included by Sponsor from the NFA website and not provided by SGAS</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">)</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">During the period
of February 1 through April 30, 2017, SG Americas Securities, LLC violated Rule 576 by submitting Tag 50 IDs across </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">multiple shifts and shift changes. PENALTY: On
September 13, 2017, SG Americas Securities, LLC, pursuant to Rule 512 (&#8220;Reporting </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Infractions&#8221;), was issued a $2,500 fine by the 512 Committee for its
violation of Rule 576. EFFECTIVE DATE: September 29, 2017</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">Included by the Sponsor from the NFA Website and not provided by SGAS</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The MGEX Department of Audits and Investigations determined SGAS apparently violated the
aforementioned MGEX Rules by failing </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to submit information required by the Exchange in a complete format. Specifically, SGAS failed to complete all of the components
required by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">MGEX for Disaster Recovery Testing. For violations of General Conduct Rule 2.3.5, SG Americas Securities, LLC was fined $2,500, effective </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">January 14, 2021.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Credit Suisse Securities USA LLC</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse Securities (USA) LLC (CSS LLC) is a broker-dealer registered with the Securities
and Exchange Commission (SEC) and a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures commission merchant registered with the Commodity Futures Trading Commission (CFTC). CSS LLC receives inquiries and is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sometimes involved in investigations and has been involved in various judicial, regulatory and arbitration proceedings concerning matters </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">arising in connection with the conduct of its business. CSS LLC fully cooperates with the authorities in all such matters. CSS LLC is a member </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Financial Industry Regulatory Authority (FINRA) and information from CSS LLC&#8217;s Form BD can be viewed on FINRA&#8217;s website. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CSS LLC is also an indirect, wholly owned subsidiary of Credit Suisse Group AG, which files periodic reports and other information with the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SEC, including an Annual Report on Form 20-F. For purposes of this section, the terms &#8220;Credit Suisse&#8221; and &#8220;the Group&#8221; refer to Credit Suisse </font></div>
</div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-154</font></div> </div> </div>
</div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_25"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Group AG and its consolidated subsidiaries and the term
&#8220;the Bank&#8221; refers to Credit Suisse AG, the Swiss bank subsidiary of the Group, and its </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">consolidated subsidiaries.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">There have been no administrative, civil or criminal actions, whether pending or concluded,
against CSS LLC or any of its individual </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">principals during the past five years which would be considered &#8220;material&#8221; as that term is defined in Section
4.24(l)(2) of the regulations of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">CFTC, except as may be described below.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Enron-related litigation</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Two Enron-related individual actions remain pending against CSS LLC and certain of its affiliates. In these actions, plaintiffs assert they </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relied on Enron&#8217;s financial statements, and seek to hold the defendants responsible for any inaccuracies in Enron&#8217;s financial statements. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Connecticut Resources Recovery Authority v. Lay, et al., pending in the US District Court for the Southern District of Texas (SDT), the plaintiff </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">seeks to recover from multiple defendants, pursuant to the Connecticut Unfair Trade Practices Act and Connecticut state common law, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately USD 130 million to USD 180 million in losses it allegedly suffered in a business transaction it entered into with Enron. A motion </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to dismiss is pending. In Silvercreek Management Inc. v. Citigroup, Inc., et al., the plaintiff seeks to assert federal and state law claims relating </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to its alleged USD 280 million in losses relating to its Enron investments. On August 9, 2011, the SDT granted plaintiffs&#8217; motion for leave to file </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a third amended complaint in this matter. CSS LLC and the other defendants filed motions to dismiss this complaint on September 27, 2011. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">June 2, 2016, the Judicial Panel on Multidistrict Litigation entered an order granting plaintiffs&#8217; motion to remand the Silvercreek case to the US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">District Court for the Southern District of New York for further proceedings. In Ravenswood I LLC, et al. v. Citigroup, Inc., et al., an individual </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action asserting similar claims, plaintiffs as putative successors in interest sought to recover approximately USD 140 million relating to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">decline in value of certain Enron debt securities purchased by a third party from Enron. On November 29, 2011, the SDT granted the motion to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss filed by CSS LLC and the remaining defendants in the case.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 31, 2017, the US District Court for the Southern District of New York (SDNY) presiding in the action Silvercreek </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Management Inc. v. Citigroup, Inc. et al., granted in part defendants&#8217; motion to dismiss, dismissing certain claims against CSS LLC and its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliates. On November 10, 2017, in the Enron-related action brought by Silvercreek Management Inc. against CSS LLC and certain of its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliates, Deutsche Bank Securities Inc., Deutsche Bank AG, and Merrill Lynch &amp; Co., Inc., the defendants filed motions for summary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgment, dismissing certain claims. On September 28, 2018, the SDNY granted in part and denied in part the defendants&#8217; motions for summary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgment, dismissing certain additional claims. On December 28, 2018, CSS LLC and its affiliates, together with Deutsche Bank Securities Inc., </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Deutsche Bank AG, and Merrill Lynch &amp; Co., Inc. executed an agreement with the plaintiffs to settle this litigation. On January 10, 2019, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SDNY entered an order of final judgment dismissing with prejudice all claims against those defendants. This ends the last of CSS LLC and its&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliates Enron-related litigation.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 27, 2017, following a settlement, an order of final judgment was entered by the US District Court for the Southern District </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Texas, presiding in the action brought by Connecticut Resources Recovery Authority, dismissing with prejudice all claims against Credit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Suisse Securities (USA) LLC (CSS LLC) and its affiliates.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Mortgage-related matters</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Government and regulatory related matters</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Various financial institutions, including CSS LLC and certain of its affiliates, have received requests for information from, and/or have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">been defending civil actions by, certain regulators and/or government entities, including the US Department of Justice (DOJ) and other members </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Residential Mortgage-Backed Securities (RMBS) Working Group of the US Financial Fraud Enforcement Task Force, regarding the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">origination, purchase, securitization, servicing and trading of subprime and non-subprime residential and commercial mortgages and related </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">issues. CSS LLC and its affiliates are cooperating with such requests for information.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">DOJ RMBS settlement</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On January 18, 2017, CSS LLC and its current and former US subsidiaries and US affiliates reached a settlement with the DOJ related to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its legacy RMBS business, a business conducted through 2007. The settlement resolved potential civil claims by the DOJ related to Credit </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-155</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_26"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Suisse&#8217;s packaging, marketing, structuring,
arrangement, underwriting, issuance and sale of RMBS. The settlement required the above-mentioned</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> entities to pay a USD 2.48 billion civil monetary penalty and, within
five years of the settlement, to provide USD 2.80 billion in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">consumer relief. The civil monetary penalty under the terms of the settlement was paid to the DOJ in January
2017. The consumer relief </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">measures include affordable housing payments and loan forgiveness. The DOJ and Credit Suisse agreed to the appointment of an independent </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">monitor to oversee the completion of the consumer relief requirements of the settlement. The monitor has published reports on October 27, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2017, February 20, 2018, and August 31, 2018 noting Credit Suisse&#8217;s cooperation and progress toward satisfaction of the consumer relief </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">requirements. As previously disclosed, Credit Suisse recorded a litigation provision of USD 2 billion in the fourth quarter of 2016 in addition to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its existing provisions of USD 550 million recorded for this matter in prior periods. The monitor has continued to publish reports periodically, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">noting Credit Suisse&#8217;s cooperation and progress toward satisfaction of the consumer relief requirements.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In relation to the USD 2.80 billion in consumer relief, Credit Suisse currently anticipates that
it will take much longer than the five-year </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">period provided in the settlement to satisfy in full its obligations in respect of these consumer relief measures and that it
may only complete them </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">by 2026 or later, subject to market conditions and the Group&#8217;s risk appetite. In light of Credit Suisse&#8217;s current plans as to how it
will satisfy </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">these obligations, Credit Suisse expects to incur additional costs beyond those previously anticipated in relation to satisfying those obligations. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The amount of consumer relief Credit Suisse must provide also will increase after 2021 pursuant to the original settlement by 5% per annum of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the outstanding amount due until these obligations are settled. The monitor publishes reports periodically on these consumer relief matters.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">NYAG, NJAG and Virginia litigation</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Following an investigation, on November 20, 2012, the New York Attorney General (NYAG), on behalf
of the State of New York, filed a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">civil action in the Supreme Court for the State of New York, New York County (SCNY) against CSS LLC and affiliated entities in their
roles as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">issuer, sponsor, depositor and/or underwriter of RMBS transactions prior to 2008. The complaint, which references 64 RMBS issued, sponsored, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">deposited and underwritten by CSS LLC and its affiliates in 2006 and 2007, alleges that CSS LLC and its affiliates misled investors regarding </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the due diligence and quality control performed on the mortgage loans underlying the RMBS at issue, and seeks an unspecified amount </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of damages.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On
December 18, 2013, the New Jersey Attorney General, on behalf of the State of New Jersey (NJAG), filed a civil action in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Superior Court of New Jersey, Chancery
Division, Mercer County (SCNJ), against CSS LLC and affiliated entities in their roles as issuer, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">sponsor, depositor and/or underwriter of RMBS transactions prior to 2008.
The original complaint, which references 13 RMBS issued, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">sponsored, deposited and underwritten by CSS LLC and its affiliates in 2006 and 2007, alleges that CSS LLC and its
affiliates misled investors </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and engaged in fraud or deceit in connection with the offer and sale of RMBS, and seeks an unspecified amount of damages. On August 21, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2014, the SCNJ dismissed without prejudice the action brought against CSS LLC and its affiliates by the NJAG. On September 4, 2014, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">NJAG filed an amended complaint against CSS LLC and its affiliates, asserting additional allegations but not expanding the number of claims or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">RMBS referenced in the original complaint. On August 21, 2019, the New Jersey Attorney General (NJAG) filed a motion for partial summary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgment in the civil action filed on behalf of the State of New Jersey, in the Superior Court of New Jersey, Chancery Division, Mercer County </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against Credit Suisse Securities (USA) LLC (CSS LLC) and affiliated entities in their roles as issuer, sponsor, depositor and/or underwriter of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">RMBS transactions prior to 2008. On November 18, 2019, CSS LLC and its affiliates filed a cross-motion for partial summary judgment.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 17, 2021, in the civil action filed against CSS LLC and affiliated entities in the
Superior Court of New Jersey, Chancery </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Division, Mercer County (SCNJ) by the New Jersey Attorney General (NJAG), on behalf of the State of New Jersey, the SCNJ entered
orders </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">granting the motion for partial summary judgment filed by the NJAG and denying the cross-motion for partial summary judgment filed by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CSS LLC and its affiliates.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 12, 2018, the New York State Court of Appeals ordered the partial dismissal of the complaint filed by the New York Attorney </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">General (NYAG) referencing 64 RMBS issued, sponsored, deposited, and underwritten by Credit Suisse Securities (USA) LLC (CSS LLC) and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its affiliates in 2006 and 2007. The Court of Appeals held that the NYAG&#8217;s claim pursuant to New York&#8217;s Martin Act was time-barred and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">remanded the action to the Supreme Court of the State of New York (SCNY), New York County for further proceedings on the NYAG&#8217;s claim </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pursuant to New York&#8217;s Executive Law. On December 21, 2018, pursuant to a settlement that resolved all claims by the NYAG against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CSS LLC and its affiliates, the NYAG filed with the SCNY a stipulation dismissing its action with prejudice. The settlement required the Credit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Suisse defendants to pay USD 10 million to the State of New York. This ends the action with the NYAG against CSS LLC and its affiliates.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Civil litigation</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-156</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_27"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CSS LLC and certain of its affiliates
have also been named as defendants in various civil litigation matters related to their roles as issuer, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">sponsor, depositor and/or underwriter of RMBS transactions. These
cases include a class action lawsuit and putative class action lawsuits, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">actions by individual investors in RMBS, and actions by monoline insurance companies that
guaranteed payments of principal and interest for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain RMBS. Although the allegations vary by lawsuit, plaintiffs in the class actions and individual investor lawsuits
generally allege that the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">offering documents of securities issued by various RMBS securitization trusts contained material misrepresentations and omissions, including
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">statements regarding the underwriting standards pursuant to which the underlying mortgage loans were issued. In addition, certain monoline </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">insurers have alleged that loans that collateralize RMBS they insured breached representations and warranties made with respect to the loans at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the time of securitization; and repurchase action plaintiffs allege breached representations and warranties in respect of mortgage loans and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">failure to repurchase such mortgage loans as required under the applicable agreements.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The amounts disclosed below do not reflect actual realized plaintiff losses to date or anticipated future litigation exposure. Rather, unless </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">otherwise stated, these amounts reflect the original unpaid principal balance amounts as alleged in these actions and do not include any reduction </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in principal amounts since issuance. Further, amounts attributable to an &#8220;operative pleading&#8221; for the individual investor actions are not altered </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for settlements, dismissals or other occurrences, if any, that may have caused the amounts to change subsequent to the operative pleading. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">addition to the mortgage-related actions discussed below, a number of other entities have threatened to assert claims against CSS LLC and/or its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliates in connection with various RMBS issuances, and CSS LLC and/or its affiliates have entered into agreements with some of those </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">entities to toll the relevant statutes of limitations.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Individual investor actions</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In other actions brought against CSS LLC and its affiliates as an RMBS issuer, underwriter and/or other participant, CSS LLC and certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of its affiliates, along with other financial institutions, are defendants in seven separate individual actions filed by the Federal Home Loan Banks </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Seattle, San Francisco, Chicago, Indianapolis and Boston in various state courts. The claims against CSS LLC and its affiliates relate to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately USD 3.3 billion of the RMBS collectively at issue in those actions (approximately 9% of the USD 36 billion at issue against all </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">banks across all the actions and coordinated proceedings). The claims in the Seattle action against CSS LLC and its affiliates relate to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately USD 249 million. On May 4, 2016, the Washington state court presiding in the action granted the motion for partial summary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgment filed by CSS LLC and its affiliates and dismissed, with prejudice, all claims related to certain RMBS, thus reducing the RMBS at issue </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against CSS LLC and its affiliates in the Seattle action to approximately USD 104 million. On August 9, 2016, a stipulation of voluntary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissal with prejudice was filed with the Washington state court, which was entered by the court on August 10, 2016, dismissing the action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">brought by the Federal Home Loan Bank of Seattle (FHLB Seattle) against CSS LLC and its affiliates, relating to approximately USD 104 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million of the RMBS at issue against CSS LLC and its affiliates. On August 30, 2016, FHLB Seattle appealed, seeking reversal of the court&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">order granting CSS LLC and its affiliates&#8217; motion for partial summary judgment, which reduced the RMBS at issue against CSS LLC and its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliates in the FHLB Seattle action from approximately USD 249 million to approximately USD 104 million. On December 11, 2017, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Washington State Court of Appeals affirmed the trial court&#8217;s May 4, 2016 order, dismissing FHLB Seattle&#8217;s claims. The claims in the San </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Francisco actions against CSS LLC and its affiliates relate to approximately USD 1.7 billion (approximately 18% of the USD 9.5 billion at issue </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against all defendants in the operative pleadings, reduced to reflect the dismissal of certain certificates). On June 13, 2016, the California state </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">court presiding in the San Francisco actions dismissed with prejudice certain claims against CSS LLC and its affiliates, reducing the RMBS at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">issue against CSS LLC and its affiliates in the San Francisco actions from approximately USD 1.7 billion to approximately USD 1.6 billion </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(approximately 17% of the USD 9.5 billion at issue against all defendants in the operative pleadings, reduced to reflect dismissal of actions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relating to certain certificates). On June 14, 2016, the court entered an order postponing the trial from August 2016 to October 2016. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 16, 2016, FHLB San Francisco and CSS LLC and its affiliates reached a settlement in principle in this action with respect to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims against CSSL LLC and its affiliates. On September 26, 2016, the California state court removed the trial that had been scheduled to begin </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in October, 2016 from the court&#8217;s calendar. The claims in the Boston action against CSS LLC and its affiliates relate to approximately USD 333 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million, reduced from USD 373 million following the October 27, 2015 stipulation of voluntary dismissal with prejudice of claims pertaining to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain RMBS offerings, including RMBS offerings on which CSS LLC and its affiliates were sued (approximately 6% of the USD 5.7 billion at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">issue against all defendants in the operative pleading). Trial has been scheduled to begin in March 2021. CSS LLC, and in some instances </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain of its affiliates and employees, are also among the defendants, along with other financial institutions, named in: two actions brought by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Cambridge Place Investment Management Inc. in Massachusetts state court, in which claims against CSS LLC and its affiliates relate to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately USD 525 million of the RMBS at issue (approximately 16% of the USD 3.3 billion at issue against all banks); one action brought </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by The Charles Schwab Corporation in California state court, in which claims against CSS LLC and its affiliates relate to USD 125 million of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the RMBS at issue (approximately 9% of the USD 1.4 billion at issue against all banks); two actions brought by Massachusetts Mutual Life </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-157</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_28"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Insurance Company in Massachusetts federal court, in
which claims against CSS LLC and its affiliates and employees relate to approximately </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">USD 107 million of the RMBS at issue (approximately 97% of the USD 110 million at
issue against all banks); one action against CSS LLC </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">brought by Stichting Pensioenfonds ABP in the SCNY, in which claims against CSS LLC relate to an unstated amount of
RMBS at issue; two </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">actions brought by The Union Central Life Insurance Company and certain of its affiliates in the SDNY, in which claims against CSS LLC and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its affiliates and employees relate to approximately USD 71 million of RMBS at issue (approximately 36% of the USD 199 million at issue </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against all banks); one action brought by the West Virginia Investment Management Board in West Virginia state court, in which claims against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CSS LLC relate to approximately USD 6 million of RMBS at issue (approximately 35% of the USD 17 million at issue against all banks); and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">one action brought by the Western &amp; Southern Life Insurance Company and certain of its affiliates in the Court of Common Pleas for Hamilton </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">County, Ohio, in which claims against CSS LLC and its affiliates relate to approximately USD 259 million of RMBS at issue (approximately </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">94% of the USD 276 million at issue against all banks). CSS LLC and certain of its affiliates are the only defendants named in: one action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">commenced by Allstate Insurance Company in the SCNY related to approximately USD 232 million of RMBS at issue; and one action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">commenced by IKB Deutsche Industriebank AG and certain of its affiliates in the SCNY related to approximately USD 240 million of RMBS at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">issue, which is at an intermediate procedural state. CSS LLC and certain of its affiliates and employees are the only defendants named in a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">separate action commenced by Stichting Pensioenfonds ABP in the SCNY related to an unstated amount of RMBS at issue. In September 2011, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Federal Housing Finance Agency (FHFA), as conservator for Fannie Mae and Freddie Mac, filed seventeen separate complaints against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">various major financial institutions concerning a total of more than USD 196 billion of RMBS issued. CSS LLC and certain of its affiliates and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">employees are named as the defendants in one such action filed in the SDNY concerning approximately USD 14.1 billion of RMBS issued </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and/or underwritten by Credit Suisse defendants. CSS LLC is also named as an underwriter defendant in five of the other FHFA actions filed in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 2011, each pending in the SDNY. These claims against CSS LLC relate to approximately USD 5.5 billion of the RMBS at issue </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(about 11% of the approximately USD 51 billion at issue against all banks in those actions). Unless otherwise noted, each of these actions is at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">an early procedural point in the litigation. A number of other entities have threatened to assert claims against CSS LLC and/or its affiliates in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">connection with various mortgage-related offerings, and CSS LLC and its affiliates have entered into agreements with some of those entities to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">toll the relevant statutes of limitations.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In actions brought in connection with being an RMBS issuer, underwriter and/or other participant, CSS LLC, and in some instances </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain of its affiliates, have been named as defendants, along with other financial institutions in: two actions brought by Landesbank </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Baden-W&#252;rttemberg and affiliated entities, on March 8, 2012 and June 11, 2012, in the SCNY, in which claims against CSS LLC relate to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately USD 200 million of RMBS at issue (100% of the total amount at issue against all banks); one action brought by Watertown </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Savings Bank on April 27, 2012 in the SCNY, in which claims against CSS LLC and its affiliates relate to an unstated amount of RMBS at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">issue; one action brought by the Federal Deposit Insurance Corporation (FDIC), as receiver for Citizens National Bank and Strategic Capital </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bank, which, following the United States Supreme Court&#8217;s denial of defendants&#8217; petition for writ of certiorari on December 4, 2017, will resume </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the SDNY, in which claims against CSS LLC and its affiliates relate to approximately USD 28 million of the RMBS at issue (approximately </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">20% of the USD 141 million at issue against all defendants in the operative pleading); and one action brought by Phoenix Light SF Ltd. and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliated entities on May 22, 2012 in the SCNY, in which claims against CSS LLC and its affiliates relate to approximately USD 466 million of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">RMBS at issue (approximately 15% of the USD 3.2 billion at issue against all banks).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 28, 2012, the FHFA, as conservator for Fannie Mae and Freddie Mac, in an amended complaint to one of its five actions against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CSS LLC relating to an aggregate of approximately USD 5.5 billion of RMBS at issue, reduced the RMBS at issue by approximately USD 230 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million; the five actions together now relate to approximately USD 5.2 billion. On July 2, 2012, IKB Deutsche Industriebank AG and affiliated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">entities filed a consolidated complaint relating to their claims against CSS LLC and its affiliates, reducing the RMBS at issue by approximately </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">USD 143 million to approximately USD 97 million. This action is at an intermediate procedural stage.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In actions brought in connection with being an RMBS issuer, underwriter and/or other participant, CSS LLC, and in some instances </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain of its affiliates, have been named as defendants, along with other financial institutions in: one action brought by Royal Park Investments </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SA/NV, on July 27, 2012, in the SCNY, in which claims against CSS LLC and its affiliates relate to approximately USD 403 million of RMBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">at issue (approximately 4% of the USD 9.1 billion at issue against all banks); one action brought by John Hancock Life Insurance Co. (U.S.A.) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and affiliated entities, on July 27, 2012, in the US District Court for the District of Minnesota, in which claims against CSS LLC relate to an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unstated amount of RMBS at issue; four actions brought by the FDIC as receiver for Colonial Bank, on August 10, 2012: one action in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SDNY, in which claims against CSS LLC relate to approximately USD 92 million of RMBS at issue (approximately 23% of the USD 394 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million at issue against all banks), one action in the US District Court for the Central District of California, in which claims against CSS LLC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relate to approximately USD 12 million of RMBS at issue (approximately 5% of the USD 259 million at issue against all banks), and two </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-158</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_29"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">actions in the Circuit Court of Montgomery County,
Alabama, in which claims against CSS LLC and its affiliates relate to approximately USD </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">199 million of RMBS at issue (approximately 33% of the USD 594 million at issue
against all banks); one action brought by Sealink Funding </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Limited, on August 23, 2012, in the SCNY, in which claims against CSS LLC and its affiliates relate to
approximately USD 180 million of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">RMBS at issue (100% of the total amount at issue); one action brought by Minnesota Life Insurance Company and affiliated entities, on
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 19, 2012, in the Second Judicial District Court, Ramsey County, Minnesota, in which claims against CSS LLC and its affiliates relate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to approximately USD 43 million of RMBS at issue (100% of the total amount at issue); and one action brought by the National Credit Union </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Administration Board, as liquidating agent of the US Central Federal Credit Union, Western Corporate Federal Credit Union and Southwest </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Corporate Federal Credit Union, on October 4, 2012, in the US District Court for the District of Kansas, in which claims against CSS LLC and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its affiliates relate to approximately USD 715 million of RMBS at issue (100% of the total amount at issue against all banks).. On October 5, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2012, Phoenix Light SF Ltd. and affiliated entities filed a complaint relating to their claims against CSS LLC and its affiliates, reducing the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">RMBS at issue by approximately USD 104 million to approximately USD 362 million (approximately 13% of the USD 2.8 billion at issue </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against all banks).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In connection with being an RMBS issuer, sponsor, depositor and underwriter, CSS LLC and certain
of its affiliates have been named as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the only defendants in an action brought by The Prudential Insurance Company of America and affiliated entities, on November 21, 2012,
in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">US District Court for the District of New Jersey, in which claims against CSS LLC and its affiliates relate to approximately USD 466 million of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">RMBS. On December 14, 2012, Royal Park Investments SA/NV filed a complaint relating to its claims against CSS LLC and certain of its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliates, reducing the RMBS at issue by approximately USD 43 million to approximately USD 360 million (approximately 4% of the USD 8.4 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">billion at issue against all banks). On December 21, 2012, the SDNY entered an order of discontinuance, discontinuing FHFA v. General </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Electric Company, one of FHFA&#8217;s five actions against CSS LLC relating to an aggregate of approximately USD 5.2 billion of RMBS, as a result </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of a settlement. On January 3, 2013, the SDNY entered an order of voluntary dismissal with prejudice, dismissing Stichting Pensioenfonds ABP </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">v. JPMorgan Chase &amp; Co., in which claims against CSS LLC related to an unstated amount of RMBS, as a result of a settlement. On January 11, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2013, the Indiana state court presiding in the action brought by the Federal Home Loan Bank of Indianapolis dismissed with prejudice claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pertaining to one RMBS offering on which CSS LLC and certain of its affiliates were sued, reducing the RMBS at issue relating to claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against CSS LLC and its affiliates by USD 165 million.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 29, 2013, the SDNY dismissed in its entirety the action brought against CSS LLC and its affiliates and employees by The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Union Central Life Insurance Company and affiliated entities, although plaintiffs have the ability to seek to amend their complaint within 60 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">days of the SDNY&#8217;s decision. On April 8, 2013, the US District Court for the District of Kansas dismissed in part the action brought against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CSS LLC and its affiliates by the National Credit Union Administration Board, as liquidating agent of the US Central Federal Credit Union, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Western Corporate Federal Credit Union and Southwest Corporate Federal Credit Union, reducing the RMBS at issue for CSS LLC and its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliates from approximately USD 715 million to approximately USD 311 million. On April 8, 2013, the US District Court for the Central </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">District of California dismissed in its entirety one of the two actions pending in such court against CSS LLC brought by the Federal Deposit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Insurance Corporation, as receiver for Colonial Bank; claims in the remaining action relate to approximately USD 46 million of the RMBS at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">issue (approximately 16% of the USD 283 million at issue against all defendants in the operative pleading).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 24, 2013, the SCNY dismissed the action brought by Phoenix Light SF Ltd. and affiliated
entities against CSS LLC and its </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliates, although plaintiffs were granted leave to replead. On May 28, 2013, The Union Central Life Insurance Company and affiliated
entities </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed a letter motion to propose a second amended complaint in the action brought against CSS LLC and its affiliates and employees. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">May 13, 2013, following a settlement, a West Virginia state court dismissed with prejudice the action brought by West Virginia Investment </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Management Board against CSS LLC. On June 20, 2013, the US District Court for the Central District of California dismissed in part the action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pending in such court against CSS LLC brought by the FDIC, as receiver for Colonial Bank. This decision was appealed to the Ninth Circuit, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">but on June 8, 2016, following a settlements, the Ninth Circuit granted that stipulation withdrawing the FDIC&#8217;s appeal of the CDC&#8217;s dismissal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with prejudice of all claims against CSS LLC. Thus the entire action is dismissed with prejudice. The remaining claims related to approximately </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">USD 34 million of the RMBS at issue (approximately 12% of the USD 283 million at issue against all defendants in the operative pleading) and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the matter was subsequently transferred to the US District Court of the Middle District of Alabama. Trial had been scheduled to begin in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">October 2016, however, on June 1, 2016, following a settlement, a stipulation of dismissal with prejudice was filed with the US District Court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for the Middle District of Alabama, and entered by the court on June 8, 2016. Thus, the action brought by the FDIC as receiver for Colonial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bank relating to approximately USD 34 million of the RMBS at issue against CSS LLC has been discontinued.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-159</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_30"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 6, 2013, the US District
Court for the District of New Jersey dismissed without prejudice certain claims in the action against </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">CSS LLC and its affiliates brought by The Prudential Insurance
Company of America and affiliated entities, reducing the RMBS at issue for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">CSS LLC and its affiliates from approximately USD 466 million to approximately USD 461 million.
Following the dismissal of an earlier action </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">with leave to replead, on September 9, 2013, Phoenix Light SF Ltd. and affiliated entities filed an action in the SCNY against
CSS LLC and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain of its affiliates as the only defendants in the action, in which claims against CSS LLC and its affiliates relate to approximately USD 362 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million of RMBS. On September 20, 2013, the Federal Home Loan Bank of Boston filed a notice of dismissal with prejudice to discontinue </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain claims against CSS LLC and its affiliates and certain other banks, reducing the RMBS at issue for CSS LLC and its affiliates by USD 50 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million. On December 8, 2020, following a settlement, the Massachusetts state court presiding in the investor action brought by the Federal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Home Loan Bank of Boston dismissed with prejudice all claims against CSS LLC and its affiliates relating to approximately USD 333 million of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">RMBS at issue. On September 23, 2013, the National Credit Union Administration Board, as liquidating agent of the Southwest Corporate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Federal Credit Union and Members United Corporate Federal Credit Union, filed an action against CSS LLC and one of its affiliates in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SDNY, in which claims against CSS LLC and its affiliate relate to approximately USD 229 million of RMBS. On April 22, 2016, the US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">District Court for the Southern District of New York entered judgment without any admission of liability against CSS LLC and its affiliates in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">favor of the National Credit Union Administration, as liquidating agent of the Southwest Corporate Federal Credit Union and Members United </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Corporate Federal Credit Union, in the amount of USD 50.3 million (plus attorneys&#8217; fees and costs to be determined), resolving all claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">related to approximately USD 229 million of RMBS at issue. In reaction to a dismissal with leave to replead of a similar action brought by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Phoenix Light SF Ltd. that would have been applied to the action previously brought by Royal Park Investments SA/NV, on September 25, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2013, Royal Park Investments SA/NV filed a complaint in the SCNY against CSS LLC and certain of its affiliates as the only defendants in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action, in which claims against CSS LLC and its affiliates relate to approximately USD 360 million of RMBS.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 29, 2013, following a settlement, CSS LLC and its affiliates and employees filed a
stipulation of discontinuance with </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">prejudice to discontinue claims against CSS LLC and its affiliates and employees brought by Stichting Pensioenfonds ABP in the SCNY. On
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">November 18, 2013, as a result of settlement, the US District Court for the SDNY entered a stipulation of voluntary dismissal with prejudice, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">discontinuing Federal Housing Finance Agency v. JPMorgan Chase &amp; Co., one of the Federal Housing Finance Agency&#8217;s five actions against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CSS LLC and its affiliates and employees, and other financial institutions, relating to approximately USD 870 million of RMBS at issue against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Credit Suisse defendants in that case. On November 26, 2013, the Indiana state court presiding in the action brought by the Federal Home </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Loan Bank of Indianapolis dismissed with prejudice claims pertaining to certain defendants, including one of the RMBS offerings on which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CSS LLC and certain of its affiliates were sued, reducing the RMBS at issue relating to claims against CSS LLC and its affiliates in that case by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately USD 100 million. On December 5, 2013, the Washington state court presiding in the action brought by the Federal Home Loan </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bank of Chicago dismissed with prejudice one of the actions against CSS LLC and other financial institutions, reducing the RMBS at issue </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relating to claims against CSS LLC by USD 20 million. On December 26, 2013, Commerzbank AG London Branch filed an action against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CSS LLC and certain of its affiliates and other financial institutions in the SCNY, relating to approximately USD 148 million of the RMBS at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">issue (approximately 6% of the USD 2.3 billion at issue against all defendants in the operative pleading). On January 6, 2014, following a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement, CSS LLC and its affiliates filed a stipulation of discontinuance with prejudice to discontinue claims against CSS LLC and its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliates relating to approximately USD 35 million of RMBS at issue brought by Sealink Funding Limited in the SCNY. On January 24, 2014, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the SCNY dismissed with prejudice certain claims in the action against CSS LLC and its affiliates brought by Allstate Insurance Company, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reducing the RMBS at issue for CSS LLC and its affiliates from approximately USD 232 million to approximately USD 187 million.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 3, 2014, CMFG Life Insurance Company and affiliated entities filed an action against CSS
LLC in the US District Court for the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Western District of Wisconsin relating to approximately USD 70 million of RMBS. On April 3, 2014, Texas County and District Retirement
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">System filed an action against CSS LLC and other financial institutions in Texas state court relating to an unstated amount of RMBS at issue. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">On July 28, 2016, following a settlement, the Texas state court presiding in this action dismissed with prejudice all claims against CSS LLC. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">April 11, 2014, following a settlement, the Minnesota state court presiding in the action brought by Minnesota Life Insurance Company and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliated entities against CSS LLC and its affiliates entered an order of dismissal, discontinuing all claims against CSS LLC and its affiliates, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relating to approximately USD 43 million of RMBS. On April 14, 2014, Allstate Insurance Company and CSS LLC and its affiliates filed a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">partial stipulation of dismissal with the SCNY to discontinue certain claims against CSS LLC and its affiliates, reducing the RMBS at issue for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CSS LLC and its affiliates from approximately USD 187 million to approximately USD 169 million. On April 29, 2014, the FHFA entered into </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">an agreement with First Horizon National Corporation and its affiliates and employees to settle all claims in the last remaining action filed by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">FHFA against CSS LLC, relating to approximately USD 230 million of RMBS at issue against CSS LLC.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-160</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_31"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 20, 2014, Commerzbank AG London
Branch filed a complaint against CSS LLC and certain of its affiliates and other financial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">institutions in the SCNY, in which claims against CSS LLC and its affiliates
relate to approximately USD 121 million of the RMBS at issue </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(approximately 6% of the USD 1.9 billion at issue against all defendants in the operative pleading), reducing
the RMBS at issue for CSS LLC </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and its affiliates as stated in the summons filed on December 26, 2013 by approximately USD 27 million. On May 21, 2014, following a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement, the Illinois state court presiding in the action brought by the Federal Home Loan Bank of Chicago dismissed with prejudice all </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims against CSS LLC in the last remaining action filed by the Federal Home Loan Bank of Chicago against CSS LLC, relating to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately USD 38 million of RMBS at issue against CSS LLC. On June 3, 2014, the SCNY dismissed with prejudice certain claims in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action against CSS LLC and its affiliates brought by Deutsche Zentral-Genossenschaftsbank AG, New York Branch, reducing the RMBS at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">issue for CSS LLC and its affiliates from approximately USD 138 million to approximately USD 111 million. On July 3, 2014, following a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement, the Indiana state court presiding in the action brought by the Federal Home Loan Bank of Indianapolis dismissed with prejudice all </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims against CSS LLC, relating to approximately USD 224 million of RMBS at issue against CSS LLC.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 28, 2014, the Ohio state court presiding in the action brought by the Western &amp; Southern Life Insurance Company and affiliated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">entities dismissed with prejudice claims pertaining to certain RMBS offerings, reducing the RMBS at issue relating to claims against CSS LLC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and its affiliates in that case by approximately USD 5 million, and on August 8, 2014, following a settlement, the Ohio state court dismissed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with prejudice all remaining claims against CSS LLC and its affiliates, relating to approximately USD 255 million of RMBS at issue against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CSS LLC and its affiliates. On August 25, 2014, following a settlement, the US District Court for the District of New Jersey presiding in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action brought by The Prudential Insurance Company of America and affiliated entities dismissed with prejudice all claims against CSS LLC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and its affiliates, relating to approximately USD 461 million of RMBS at issue against CSS LLC and its affiliates. On August 29, 2014, the US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">District Court for the SDNY presiding in the action brought by the FDIC, as receiver for Colonial Bank, dismissed in its entirety with prejudice, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a decision which is now on appeal, all claims against CSS LLC, relating to approximately USD 92 million of RMBS at issue against CSS LLC. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">On October 2, 2014, following a settlement, the Massachusetts state court presiding in the two actions brought by Cambridge Place Investment </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Management Inc. dismissed with prejudice all claims against CSS LLC and its affiliates, relating to less than USD 525 million of RMBS at issue </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against CSS LLC and its affiliates. On October 7, 2014, following a settlement, CSS LLC and its affiliates filed a stipulation of discontinuance </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with prejudice to discontinue claims against CSS LLC and its affiliates relating to approximately USD 169 million of RMBS at issue brought by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The Allstate Insurance Company in the SCNY.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 24, 2015, the US District Court for the SDNY presiding in the action brought by the FDIC, as receiver for Citizens National </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bank and Strategic Capital Bank, dismissed in its entirety all claims against CSS LLC and its affiliates, relating to approximately USD 28 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million of RMBS at issue (approximately 20% of the USD 141 million at issue against all defendants in the operative pleading). On April 7, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2015, FDIC appealed the SDNY&#8217;s March 24, 2015 order.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 16, 2015, the SCNY presiding in the action brought by Phoenix Light SF Ltd. and affiliated entities, dismissed in its entirety all </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims against CSS LLC and its affiliates relating to approximately USD 362 million of RMBS at issue.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 27, 2015, the US District Court for the District of Kansas issued an order vacating its prior partial dismissal of the action brought </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against CSS LLC and its affiliates by the National Credit Union Administration Board, as liquidating agent of the US Central Federal Credit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Union, Western Corporate Federal Credit Union and Southwest Corporate Federal Credit Union, increasing the RMBS at issue for CSS LLC and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its affiliates from approximately USD 311 million to USD 715 million. On June 22, 2015, Tennessee Consolidated Retirement System filed an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amended complaint against CSS LLC and other financial institutions in Tennessee state court relating to approximately USD 24 million of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">RMBS at issue against CSS LLC (approximately 4% of the USD 644 million at issue against all defendants in the operative pleading).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 17, 2015, a stipulation of discontinuance with prejudice was filed with the SCNY
discontinuing the action brought by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commerzbank AG London Branch against CSS LLC and its affiliates, in which claims against CSS LLC and its affiliates relate to
approximately</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> USD 121 million of RMBS at issue (approximately 6% of the USD 1.9 billion at issue against all defendants in the operative pleading).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 9 and 15, 2015, following a settlement, the California state court presiding in the
action brought by the Charles Schwab </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Corporation dismissed with prejudice all claims against CSS LLC and its affiliates relating to USD 100 million of the RMBS at issue
against </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">CSS LLC and its affiliates, and dismissed without prejudice the remaining claim against CSS LLC relating to USD 25 million of the RMBS at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">issue against CSS LLC. Thus, the entire action is dismissed.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-161</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_32"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On December 15, 2015, following a settlement, the US Court of Appeals for the Second Circuit, presiding in the
appeal of the action </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">brought by The Union Central Life Insurance Company and affiliated entities (Union Central) in the SDNY, granted the stipulation withdrawing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Union Central&#8217;s appeal of the SDNY&#8217;s dismissal with prejudice of all claims against CSS LLC and its affiliates and employees, relating to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately USD 65 million of RMBS. Thus, the entire action is dismissed with prejudice.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 12, 2017, the Supreme Court of the State of New York, New York County (SCNY) presiding in the action brought by Royal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Park Investments SA/NV (Royal Park), dismissed with prejudice all claims against CSS LLC and its affiliate relating to approximately USD 360 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million of RMBS at issue. On February 13, 2018, Royal Park appealed the SCNY&#8217;s April 12, 2017 dismissal. On October 9, 2018, the SCNY, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Appelate Division, First Department affirmed the trial court&#8217;s April 12, 2017 order dismissing with prejudice all claims against CSS LLC and its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliate and, on January 15, 2019, the New York State Court of Appeals denied Royal Park&#8217;s request to further appeal.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 2, 2017, following a settlement in the amount of USD 400 million, the US District Court
for the District of Kansas presiding in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the action brought by the National Credit Union Administration Board (NCUA) as liquidating agent of the US Central Federal Credit
Union, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Western Corporate Federal Credit Union and Southwest Corporate Federal Credit Union dismissed with prejudice all claims against CSS LLC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and its affiliate related to approximately USD 715 million of RMBS at issue.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 29, 2017, following a settlement, the Supreme Court for the State of New York, New York County (SCNY), presiding in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action brought by Deutsche Zentral-Genossenschaftsbank AG, New York Branch dismissed with prejudice all claims against CSS LLC and its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliates related to approximately USD 111 million of RMBS at issue.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 5, 2017, Phoenix Light SF Ltd. and affiliated entities filed an amended complaint against CSS LLC and its affiliate in the SCNY, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reducing the RMBS at issue by approximately USD 81 million; the action now relates to approximately USD 281 million of RMBS.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 12, 2017, following a settlement, the US District Court for the District of
Massachusetts, presiding in the two actions </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">brought by Massachusetts Mutual Life Insurance Company, dismissed with prejudice all claims against CSS LLC and its employees
related to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately USD 107 million of RMBS at issue (approximately 97% of the USD 110 million at issue against all defendants in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">operative pleadings).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, on November 24, 2017, following a settlement, the US District Court for the Western
District of Wisconsin, presiding over </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the action brought by CMFG Life Insurance Company and affiliated entities, dismissed with prejudice all claims against CSS LLC
related to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately USD 62 million, reduced from approximately USD 70 million following the December 16, 2016 dismissal in part of the action.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 30, 2017, CSS LLC reached an agreement in principle with CMFG Life Insurance Company
and affiliated entities to settle </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the action brought against CSS LLC relating to approximately USD 62 million of RMBS.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 3, 2018, the Washington State Supreme Court granted a petition for review of the dismissal
of the action brought by the Federal </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Home Loan Bank of Seattle against CSS LLC and its affiliates relating to approximately USD 104 million of RMBS at issue. On October 3,
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019, in the investor action brought by the Federal Home Loan Bank of Seattle (FHLB Seattle) in Washington state court, the Washington State </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Supreme Court reversed the trial court&#8217;s May 4, 2016 summary judgment order, previously affirmed by the Washington State Court of Appeals, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in which the trial court dismissed FHLB Seattle&#8217;s claims against CSS LLC and its affiliates relating to approximately USD 145 million of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">RMBS at issue. The Washington State Supreme Court remanded the action for further proceedings before the trial court. On July 16, 2020, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">following a settlement, the Washington state trial court presiding in the action dismissed with prejudice all claims against Credit Suisse </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Securities (USA) LLC (CSS LLC) and its affiliates relating to approximately USD 145 million of RMBS at issue.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 9, 2018, following a settlement, the Tennessee state court presiding in the action
brought by the Tennessee Consolidated </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Retirement System dismissed with prejudice all claims against CSS LLC relating to approximately USD 24 million of RMBS at
issue.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 27, 2018, following a settlement, the SCNY presiding in the action
brought by Phoenix Light SF Ltd. and affiliated entities </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissed with prejudice all claims against CSS LLC and its affiliates related to approximately USD 281 million of
RMBS at issue.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the action brought in the Circuit Court of Montgomery County,
Alabama by the Federal Deposit Insurance Corporation, as receiver for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Colonial Bank, the court postponed the commencement of trial from October 2018 to April
2019.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-162</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_33"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 16, 2019, following a settlement, the Circuit Court of Montgomery County, Alabama presiding in the action
brought by the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Federal Deposit Insurance Corporation, as receiver for Colonial Bank, dismissed with prejudice all claims against Credit Suisse Securities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(USA) LLC and its affiliates relating to approximately USD 139 million of RMBS at issue.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 18, 2019, in the investor action brought by the Federal Deposit Insurance Corporation (FDIC) as receiver for Citizens </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">National Bank and Strategic Capital Bank relating to approximately USD 28 million of RMBS at issue, the US District Court for the Southern </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">District of New York (SDNY) denied a motion filed in September 2017 by the defendants, including CSS LLC and its affiliates, to dismiss the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">FDIC&#8217;s second amended complaint.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Monoline insurer disputes</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CSS LLC and certain of its affiliates are defendants in three pending actions each commenced by a monoline insurer that guaranteed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">payments of principal and interest that in aggregate total approximately USD 1.5 billion of RMBS issued in eight different offerings sponsored </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by Credit Suisse. One theory of liability advanced by the monoline insurers is that an affiliate of CSS LLC must repurchase affected mortgage </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">loans from the trusts at issue. To date, the monoline insurers have submitted repurchase demands for loans with an aggregate original principal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">balance of approximately USD 2.3 billion. These actions are pending in the SCNY. In each action, plaintiff claims that the underlying mortgage </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">loans breach certain representations and warranties, and that CSS LLC and its affiliates have failed to repurchase the allegedly defective loans. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">In two of the actions, those brought by monoline insurers Ambac Assurance Corp. and MBIA Insurance Corp. (MBIA) against CSS LLC and its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliates, plaintiff claims that it was fraudulently induced into providing the insurance. In those actions, the court dismissed both of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">monoline insurer plaintiffs&#8217; fraudulent inducement claims against CSS LLC and its affiliates, but plaintiffs requested reconsideration by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">court. On October 7, 2011, the court reinstituted the monoline insurer plaintiffs&#8217; fraudulent inducement claims against CSS LLC and its affiliates </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">but reinstated its earlier decisions to deny plaintiffs&#8217; demands for a jury trial. Discovery in these actions is ongoing. The third action by a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">monoline insurer was brought by Assured Guaranty Corp. on October 17, 2011. In the action brought by Assured Guaranty Corp., on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">October 11, 2012, the court dismissed certain claims against CSS LLC and its affiliates, including plaintiffs&#8217; demands for rescissory damages, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">indemnification, attorneys&#8217; and accountants&#8217; fees and expenses, and consequential damages. Separately, CSS LLC and other underwriters and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">individuals are defendants in an action pending in California state court brought by MBIA. The action relates to approximately USD 650 million </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in securities issued by IndyMac, including approximately USD 98 million of RMBS for which CSS LLC was an underwriter in one of the three </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">offerings at issue, and as to which MBIA provided financial guaranty insurance. MBIA purports to be subrogated to the rights of the RMBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">holders and seeks recovery of sums it has paid and will pay pursuant to those policies. Discovery in the action is ongoing.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On January 15, 2013, the SCNY, Appellate Division, First Department, issued an order reinstating
the demands for jury trial made by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">monoline insurers MBIA Insurance Corp. and Ambac Assurance Corp. in their respective actions against CSS LLC and certain of its
affiliates. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">On February 27, 2013, CSS LLC and its affiliate settled the action brought by Ambac Assurance Corp. in the SCNY for an amount covered by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">existing provisions. On March 8, 2013, CSS LLC settled an action brought by MBIA in California state court in which MBIA purported to be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">subrogated to the rights of certain RMBS holders who purchased RMBS underwritten by CSS LLC; that settlement was covered by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">existing provisions.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 2, 2013, Financial Guaranty Insurance Company (FGIC) filed an action against CSS LLC and
one of its affiliates in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Supreme Court for the SCNY relating to insurance issued by FGIC guaranteeing payment of principal and interest on approximately USD 240
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">million of RMBS issued in one offering sponsored by CSS LLC&#8217;s affiliate. FGIC has demanded that the Credit Suisse defendants repurchase </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">loans underlying the offering with an aggregate principal amount of approximately USD 36.6 million.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 16, 2013, Assured Guaranty Corp. and its affiliate (Assured) filed an amended complaint against CSS LLC and its affiliates </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">related to financial guaranty insurance policies issued by Assured guaranteeing payment of principal and interest on RMBS issued in offerings </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sponsored by Credit Suisse. In addition to existing claims made by Assured, the amended complaint alleges the Credit Suisse defendants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">fraudulently induced Assured to issue its insurance policies on the RMBS.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On November 15, 2013, CIFG Assurance North America, Inc. (CIFG) filed an action against CSS LLC in the SCNY, relating to financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">guaranty insurance issued by CIFG on a credit default swap guaranteeing payment on approximately USD 396 million of notes of a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">collateralized debt obligation. CIFG alleges material misrepresentation in the inducement of an insurance contract and fraud relating to alleged </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affirmative misrepresentations and material omissions made to induce CIFG to guarantee the securities.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-163</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_34"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 14, 2014, the SCNY ruled from
the bench following oral argument and granted CSS LLC&#8217;s motion to dismiss all claims in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">action filed by CIFG without prejudice relating to financial guaranty
insurance issued by CIFG on a credit default swap guaranteeing payment </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">on approximately USD 396 million of notes of a collateralized debt obligation.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On November 20, 2014, U.S. Bank, National Association, as trustee of six trusts, filed a motion
to intervene as it was not previously a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">party in the action brought by Assured. Following a settlement, on November 25, 2014, a stipulation discontinuing the action
brought by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Assured was filed in the SCNY. On March 5, 2015, the SCNY denied U.S. Bank, National Association&#8217;s motion to intervene. Thus, the action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is dismissed.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On
May 28, 2015, the Supreme Court of New York, Appellate Division, First Department, issued an order affirming the dismissal of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint against CSS LLC filed by CIFG
Assurance North America, Inc.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Further, on November 16, 2015, a stipulation of
discontinuance with prejudice was filed with the SCNY, discontinuing the action brought </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">by Financial Guaranty Insurance Company (FGIC) against CSS LLC and one of its
affiliates. FGIC guaranteed payments of principal and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">interest related to approximately USD 240 million of RMBS issued in offerings sponsored by Credit Suisse and had
submitted repurchase </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">demands for loans with an original principal balance of approximately USD 37 million.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 31, 2017, the SCNY ruled on both parties&#8217; respective summary judgment motions in
the action filed by MBIA Insurance Corp. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(MBIA) against CSS LLC and certain of its affiliates. The SCNY granted in part and denied in part both parties&#8217; respective
summary judgment </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">motions, which resulted, among other things, in the dismissal of MBIA&#8217;s fraud claim with prejudice. Both MBIA and the Credit Suisse entities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">involved in this action have filed notices of appeal. On September 13, 2018, the SCNY, Appellate Division, First Department issued its decision </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on the parties&#8217; cross-appeals from the trial courts&#8217; summary judgment order in the action filed by MBIA against CSS LLC and certain of its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliates. The First Department, among other things, affirmed the dismissal of MBIA&#8217;s fraud claim with prejudice. The First Department also </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ruled in favor of the Credit Suisse entities on their cross-appeal, reversing the trial court&#8217;s interpretation of certain representations and warranties </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and ruling that they should be decided at trial. Following its decision, the First Department remanded the action to the trial court for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">further proceedings.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 2, 2019, the Supreme Court for the State of New York, New York County (SCNY) concluded
a two-week bench trial in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">action against CSS LLC and certain of its affiliates commenced by MBIA Insurance Corp. as guarantor for payments of principal and interest
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">related to approximately USD 770 million of RMBS issued in an offering sponsored by the Credit Suisse defendants. The parties are now </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">engaging in post-trial briefing. The parties completed post-trial briefing on November 21, 2019. On November 30, 2020, the SCNY issued a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">post-trial order determining liability, and on January 25, 2021 entered an order setting damages in the amount of USD 604 million. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">February 11, 2021, following a settlement in the amount of USD 600 million, for which Credit Suisse was fully reserved, the SCNY dismissed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with prejudice all claims against CSS LLC and its affiliates.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Repurchase litigations</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 3, 2012, the FHFA, as conservator for Freddie Mac, on behalf of the Trustee of Home Equity Asset Trust 2006-5, filed an action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against DLJ Mortgage Capital, Inc. (DLJ) in the SCNY. The action alleges that DLJ breached representations and warranties in respect of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain mortgage loans and failed to repurchase such mortgage loans as required under the applicable agreements. No damages amount </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is alleged.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July
31, 2012 and October 2, 2012, the FHFA, as conservator for Freddie Mac, respectively on behalf of the Trustee of Home Equity </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Asset Trust 2006-6 and the Trustee of Home
Equity Asset Trust 2006-7, filed actions against DLJ in the SCNY. The actions allege that DLJ </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">breached representations and warranties in respect of certain mortgage loans
and failed to repurchase such mortgage loans as required under the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">applicable agreements. No damages amount is alleged in either action. On August 31, 2012, Home Equity
Mortgage Trust Series 2006-1, Home </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Equity Mortgage Trust Series 2006-3, and Home Equity Mortgage Trust Series 2006-4 filed an action against DLJ and Select Portfolio
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Servicing, Inc. (SPS), in the SCNY. The action alleges that DLJ breached representations and warranties in respect of certain mortgage loans </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and failed to repurchase such mortgage loans as required under the applicable agreements, and that SPS obstructed the investigation into the full </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">extent of the defects in the mortgage pools by refusing to afford the trustee reasonable access to certain origination files. Plaintiffs allege </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">damages of not less than USD 720 million.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-164</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_35">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 30, 2012, Home Equity Mortgage Trust Series 2006-5 filed an action against DLJ, in which plaintiff alleges damages of not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">less than USD 497 million. On November 29, 2012, Asset Backed Securities Corporation Home Equity Loan Trust, Series 2006-HE7, filed an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action against DLJ and another defendant, in which no damages amount is alleged. On November 30, 2012, Home Equity Asset Trust, Series </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2006-8, filed an action against DLJ, in which no damages amount is alleged. On January 25, 2013, the SCNY consolidated into one action the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">three actions that were brought by the FHFA, as conservator for Freddie Mac, on behalf of the respective Trustees of Home Equity Asset Trust </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2006-5, Home Equity Asset Trust 2006-6 and Home Equity Asset Trust 2006-7. On February 1, 2013, Home Equity Asset Trust 2007-1 filed an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action against DLJ. These actions are in the SCNY and allege that defendants breached representations and warranties in respect of certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">mortgage loans and failed to repurchase such mortgage loans as required under the applicable agreements.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 8, 2013, Home Equity Mortgage Trust Series 2006-5 filed a complaint relating to its claims against DLJ, adding Select Portfolio </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Servicing, Inc. (SPS) as a defendant, alleging that SPS likely discovered DLJ&#8217;s alleged breaches of representations and warranties but did not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">notify the trustee of such breaches, in alleged violation of its contractual obligations. The complaint also increased the alleged damages from not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">less than USD 497 million to more than USD 500 million. On April 30, 2013, Home Equity Asset Trust Series 2007-3 filed an action against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">DLJ in the SCNY, alleging that DLJ breached representations and warranties in respect of certain mortgage loans and failed to repurchase such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">mortgage loans as required under the applicable agreements. No damages amount is alleged.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 31, 2013, Asset Backed Securities Corporation Home Equity Loan Trust Series AMQ 2007-HE2 filed an action against DLJ in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the SCNY, alleging that DLJ breached representations and warranties in respect of certain mortgage loans and failed to repurchase such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">mortgage loans as required under the applicable agreements. No damages amount is alleged.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 31, 2013, Home Equity Asset Trust 2007-2 filed an action against DLJ in the SCNY, alleging that DLJ breached representations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and warranties in respect of certain mortgage loans and failed to repurchase such mortgage loans as required under the applicable agreements. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The plaintiff alleges damages of not less than USD 495 million. On July 31, 2013, CSMC Asset-Backed Trust 2007-NC1 filed an action against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">DLJ in the SCNY, alleging that DLJ breached representations and warranties in respect of certain mortgage loans and failed to repurchase such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">mortgage loans as required under the applicable agreements. No damages amount is alleged. On August 28, 2013, Home Equity Asset Trust </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2007-3 filed an amended complaint against DLJ in the SCNY, alleging damages of not less than USD 206 million. On January 3, 2014, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SCNY dismissed with prejudice the consolidated actions brought by Home Equity Asset Trust 2006-5, Home Equity Asset Trust 2006-6 and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Home Equity Asset Trust 2006-7 against DLJ Mortgage Capital, Inc., in which the plaintiffs had alleged damages of not less than USD 319 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million. Those dismissals are on appeal.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 24, 2015, the SCNY dismissed without prejudice the action brought by Asset Backed Securities Corporation Home Equity </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Loan Trust, Series 2006-HE7, against DLJ and another defendant, in which plaintiff had alleged damages of not less than USD 319 million. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">April 8, 2015, the SCNY dismissed without prejudice the action brought by Asset Backed Securities Corporation Home Equity Loan Trust </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Series AMQ 2007-HE2, against DLJ, in which no damages amount had been alleged in the complaint.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 17, 2015, Asset Backed Securities Corporation Home Equity Loan Trust, Series 2006-HE7, re-filed an action against DLJ </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and another defendant in the SCNY alleging that DLJ and the other defendant breached representations and warranties in respect of certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">mortgage loans and failed to repurchase such mortgage loans as required under the applicable agreements. The plaintiff alleges damages of not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">less than USD 341 million. The plaintiff and DLJ have appealed the plaintiff&#8217;s prior action, which was dismissed without prejudice on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">March 24, 2015. In addition, on May 13, 2015, Asset Backed Securities Corporation Home Equity Loan Trust Series AMQ 2007-HE2 and DLJ </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">appealed the April 8, 2015 dismissal without prejudice of the action brought by Asset Backed Securities Corporation Home Equity Loan Trust </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Series AMQ 2007-HE2, in which no damages amount had been alleged in the complaint. On September 18, 2015, the plaintiff and DLJ filed a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">stipulation withdrawing the appeal with the SCNY.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 19, 2019, in the action brought against DLJ in the SCNY by Asset Backed Securities Corporation Home Equity Loan Trust, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Series 2006-HE7, the plaintiff filed an amended complaint and alleged revised damages of not less than USD 374 million. This action is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceeding in the SCNY following the resolution of a previously pending appeal. On January 13, 2020, DLJ filed a motion to dismiss this action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in its entirety.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On
December 21, 2015, the action brought by Home Equity Asset Trust 2007-3, in which plaintiff alleges damages of not less than USD </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">206 million, was dismissed without
prejudice by order of the SCNY and which the plaintiff moved to restore on December 20, 2016, which the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">court granted on March 15, 2017 by restoring the case to active
status.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-165</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_36"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On January 10, 2019, the Supreme Court for the State of New York, New York County (SCNY) denied DLJ&#8217;s
motion for partial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">summary judgment, and on June 12, 2019, the SCNY set trial to begin in December 2019 in two actions in which DLJ Mortgage Capital, Inc. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(DLJ) and its affiliate, Select Portfolio Servicing, Inc., are defendants: one action brought by Home Equity Mortgage Trust Series 2006-1, Home </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Equity Mortgage Trust Series 2006-3 and Home Equity Mortgage Trust Series 2006-4, in which plaintiffs allege damages of not less than USD </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">730 million; and one action brought by Home Equity Mortgage Trust Series 2006-5, in which plaintiff alleges damages of not less than USD 500 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million. On September 17, 2019, the First Department affirmed the SCNY&#8217;s summary judgment order on, and October 22, 2019, the SCNY </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rescheduled the bench trial that was scheduled to begin in December 2019 to January 27, 2020. The trial has been postponed pending final </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">resolution of DLJ&#8217;s summary judgment appeal. On December 12, 2019, DLJ obtained leave to further appeal to the New York State Court of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Appeals. Subject to final resolution of DLJ&#8217;s summary judgment appeal, the SCNY has scheduled trial in these actions to begin on January 10, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2022.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 8,
2019, in the three consolidated actions against DLJ brought by Home Equity Asset Trust 2006-5, Home Equity Asset Trust </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2006-6 and Home Equity Asset Trust 2006-7 that were
dismissed with prejudice in 2013, the notice of appeal plaintiffs filed before the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Appellate Division First Department of the SCNY was deemed dismissed when plaintiffs
declined to further pursue their appeal by a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">court-ordered deadline.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As disclosed in Credit Suisse&#8217;s fourth quarter Financial Report 2013 and Annual Report 2018, three consolidated repurchase actions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">asserting substantially similar claims against DLJ as those alleged in the new repurchase action were dismissed with prejudice by the SCNY in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2013, and those dismissals were upheld by the New York State Court of Appeals on February 19, 2019. On July 8, 2019, the notice of appeal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs filed before the First Department from the SCNY&#8217;s April 2017 denial of plaintiffs&#8217; request that its 2013 dismissal decision be modified </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to allow plaintiffs to assert new claims not previously included in plaintiffs&#8217; consolidated complaint was deemed dismissed when plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">declined to further pursue their appeal by a court-ordered deadline. On August 15, 2019, the trustees for Home Equity Asset Trust 2006-5, Home </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Equity Asset Trust 2006-6 and Home Equity Asset Trust 2006-7 commenced a new repurchase action against DLJ in the SCNY, in which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs alleged damages of not less than USD 936 million, asserting substantially similar claims against DLJ as those alleged in the three </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consolidated repurchase actions that were dismissed with prejudice in 2013. On September 20, 2019, DLJ filed a motion to dismiss and on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">November 25, 2019, the SCNY entered an order dismissing this new action with prejudice. On December 20, 2019, the plaintiffs filed a notice </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of appeal to the First Department.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On December 27, 2018, the SCNY denied DLJ&#8217;s motion for partial summary judgment in the action brought by Home Equity Asset Trust </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2007-1, in which plaintiff alleges damages of not less than USD 420 million. The First Department affirmed the SCNY&#8217;s summary judgment </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">order on October 10, 2019. On January 30, 2020, the First Department granted DLJ leave to further appeal its decision to the New York State </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Court of Appeals. On March 2, 2020, trial in this action, which was scheduled to begin in October 2020, was postponed pending final resolution </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of DLJ&#8217;s summary judgment appeal. Subject to final resolution of DLJ&#8217;s summary judgment appeal, the SCNY has scheduled trial in this action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to begin on October 11, 2021.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 6, 2021, in the action brought by Home Equity Asset Trust 2007-1 against DLJ Mortgage Capital, Inc. (DLJ), in which plaintiff </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleges damages of not less than USD 420 million, following oral argument before the New York State Court of Appeals in DLJ&#8217;s appeal from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the denial of its motion for partial summary judgment, the New York State Court of Appeals ordered re-argument of the appeal. On June 1, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2021, the Supreme Court for the State of New York, New York County (SCNY) postponed the commencement of the trial that had been </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">scheduled to begin on October 11, 2021 until May 31, 2022. The commencement of the trial remains subject to the final resolution of DLJ&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">summary judgment appeal.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 19, 2021, the parties in two actions filed against DLJ Mortgage Capital, Inc. (DLJ) and its affiliate Select Portfolio Servicing, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Inc. and consolidated in the Supreme Court for the State of New York, New York County (SCNY) executed an agreement to settle both actions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for the aggregate amount of USD 500 million, for which Credit Suisse was fully reserved: one action brought by Home Equity Mortgage Trust </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Series 2006-1, Home Equity Mortgage Trust Series 2006-3 and Home Equity Mortgage Trust Series 2006-4, in which plaintiffs allege damages </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of not less than USD 730 million; and one action brought by Home Equity Mortgage Trust Series 2006-5, in which plaintiff alleges damages of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">not less than USD 500 million. The settlement remains subject to approval through a trust instruction proceeding to be brought in Minnesota </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">state court by the trustee of the plaintiff trusts. On April 22, 2021, the parties jointly requested that the SCNY vacate the trial in these actions that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">had been scheduled to begin on January 10, 2022. Pursuant to the settlement, on April 23, 2021, DLJ&#8217;s appeal to the New York State Court of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Appeals from the denial of its partial summary judgment motion in these actions was withdrawn.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-166</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_37"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 4, 2021, following the
parties&#8217; April 19, 2021 settlement of the actions, which remains subject to approval in a trust instruction </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceeding to be brought in Minnesota state court by the
trustee of the plaintiff trusts, the SCNY vacated the trial that had been scheduled to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">begin on January 10, 2022 in two consolidated actions filed against DLJ and its
affiliate Select Portfolio Servicing, Inc.: one action brought by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Home Equity Mortgage Trust Series 2006-1, Home Equity Mortgage Trust Series 2006-3 and Home Equity
Mortgage Trust Series 2006-4, in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">which plaintiffs allege damages of not less than USD 730 million; and one action brought by Home Equity Mortgage Trust Series 2006-5, in
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">which plaintiff alleges damages of not less than USD 500 million.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Bank loan litigation</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On January 3, 2010, the Bank and other affiliates were named as defendants in a lawsuit filed in the US District Court for the District of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Idaho by homeowners in four real estate developments, Tamarack Resort, Yellowstone Club, Lake Las Vegas and Ginn Sur Mer. The Bank </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">arranged, and was the agent bank for, syndicated loans provided for all four developments, which have been or are now in bankruptcy or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">foreclosure. Plaintiffs generally allege that the Bank and other affiliates committed fraud by using an unaccepted appraisal method to overvalue </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the properties with the intention to have the borrowers take out loans they could not repay because it would allow the Bank and other affiliates to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">later push the borrowers into bankruptcy and take ownership of the properties. The claims originally asserted by the plaintiffs include Racketeer </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Influenced and Corrupt Organizations (RICO), fraud, negligent misrepresentation, breach of fiduciary duty, tortious interference and conspiracy, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">among others. Plaintiffs are seeking class action status and have demanded USD 24 billion in damages. Cushman &amp; Wakefield, the appraiser for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the properties at issue, is also named as a defendant. An amended complaint was filed against all of the defendants on January 25, 2010, adding </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">six new homeowner plaintiffs in the same four real estate developments. On March 29, 2010, the Bank and its named affiliates moved to dismiss </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the amended complaint in its entirety. The Bank and its named affiliates argued that the claims against them fail because they had no </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relationship with the plaintiff homeowners, and made no representations to them, fraudulent or otherwise, so there is no legal basis for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs&#8217; claims against them. The Bank and its affiliates also argued, among other things, that the plaintiffs failed to plead the necessary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">elements of the claims asserted against them in the amended complaint. On March 31, 2011, the court dismissed the RICO claim with prejudice </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and dismissed certain other claims with leave to replead. A third amended complaint was filed on April 21, 2011, adding a Consumer Protection </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Act claim. On May 5, 2011, the Bank and its affiliates moved to dismiss the third amended complaint. On July 22, 2011, two developers moved </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to intervene in the lawsuit. On February 17, 2012, the magistrate judge issued a report and recommendation to deny the motion to intervene and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to dismiss certain of the claims while allowing others to proceed. The Bank and its affiliates filed objections to the recommendations on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">March 5, 2012 and are awaiting the district court&#8217;s decision to adopt or deny the recommendation. On March 30, 2012, the court dismissed the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unjust enrichment, fiduciary duty and Consumer Protection Act claims and limited fraud and negligent misrepresentation claims to three named </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs. On September 17, 2012, plaintiffs filed a motion for class certification. On December 12, 2012, the Bank opposed the motion. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 24, 2013, the court denied the plaintiffs&#8217; motion for class certification so the case cannot proceed as a class action. On February 5, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2015, the court granted plaintiffs&#8217; motion for leave to file an amended complaint, adding additional individual plaintiffs. On April 13, 2015, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">court granted plaintiffs&#8217; motion for leave to add a claim for punitive damages. On November 20, 2015, the plaintiffs moved for partial summary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgment, which the defendants opposed on December 14, 2015. On December 18, 2015, the defendants filed motions for summary judgment. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">On July 27, 2016, the US District Court for the District of Idaho granted the defendants&#8217; motions for summary judgment, dismissing the case </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with prejudice. The plaintiffs have filed notices of appeal. Oral argument on the appeal took place on February 9, 2018. On April 26, 2018, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">United States Court of Appeals for the Ninth Circuit affirmed the granting of summary judgment for Credit Suisse AG and certain of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its affiliates.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The
Bank and other affiliates continue to be the subject of certain litigation regarding the four real estate developments that are the subject </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the lawsuit filed in the US
District Court for the District of Idaho and other similar real estate developments. Such litigation includes two </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">cases brought in Texas and New York state courts against
Bank affiliates by entities related to Highland Capital Management LP (Highland).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In
the Texas state court case a jury trial was held in December 2014 on Highland&#8217;s claim for fraudulent inducement by affirmative </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">misrepresentation and omission. A
verdict was issued for the plaintiff on its claim for fraudulent inducement by affirmative misrepresentation, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">but the jury rejected its claim that the Bank&#8217;s
affiliates had committed fraudulent inducement by omission. The Texas judge held a bench trial on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Highland&#8217;s remaining claims in May and June 2015, and entered
judgment in the amount of USD 287 million (including prejudgment interest) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for the plaintiff on September 4, 2015. Both parties filed notices of appeal from that judgment
and briefing was completed on March 10, 2017. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Oral argument on the appeals took place on October 18, 2017 and on February 21, 2018 the appeals court affirmed the lower
court&#8217;s decision. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">On March 7, 2018, the Bank affiliates filed a motion for rehearing with the appeals court. On April 2, 2018, the motion for rehearing was
</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-167</font></div>
</div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_38"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">denied. On July 18, 2018, the defendants filed a request
for review by the Texas Supreme Court. On December 14, 2018, the court issued an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">order requiring briefs on the merits in the request for review.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 4, 2019, in the case brought in Texas state court by entities related to Highland
Capital Management LP, the Texas Supreme </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Court granted the request for review filed by CSS LLC and certain of its affiliates. On January 8, 2020, the Texas Supreme Court
heard oral </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">argument. On April 24, 2020, the Texas Supreme Court issued a ruling on the parties&#8217; appeals related to the trial court&#8217;s judgment in favor of the
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiff entered on September 4, 2015. The Texas Supreme Court reversed the portion of the trial court&#8217;s judgment related to the bench trial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">held in May and June 2015, thereby dismissing plaintiff&#8217;s breach of contract, breach of the implied duty of good faith and fair dealing, aiding </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and abetting fraud, and civil conspiracy claims, including damages of approximately USD 212 million, exclusive of interest, but left standing the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">separate December 2014 jury verdict for plaintiff on its claim for fraudulent inducement by affirmative misrepresentation. The Texas Supreme </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Court remanded the case back to the trial court for further proceedings related to the calculation of damages. On June 10, 2020, Highland filed a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion for rehearing in the Texas Supreme Court. On October 2, 2020, the Texas Supreme Court denied Highland&#8217;s motion for rehearing.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 25, 2021, in the Texas state court action against CSS LLC and certain of its affiliates
brought by entities related to Highland </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Capital Management LP, the trial court entered a new judgment. This new judgment followed the Texas Supreme Court&#8217;s decision
that reversed </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">a portion of the September 4, 2015 judgment and dismissed various claims, but left standing the separate December 2014 jury verdict for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiff on its claims for fraudulent inducement by affirmative misrepresentation and remanded the case back to the trial court for further </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings related to the calculation of damages and interest. The new judgment of June 25, 2021 awarded plaintiff a total of approximately </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">USD 121 million. CSS LLC and its affiliates filed a notice of appeal from the judgment on July 23, 2021.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the case in New York state court, the court granted in part and denied in part the Bank&#8217;s summary judgment motion. Both parties </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">appealed that decision, but the appellate court affirmed the decision in full. Bank affiliates separately sued Highland-managed funds on related </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trades and received a favorable judgment awarding both principal owed and prejudgment interest. Highland appealed the portion of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgment awarding prejudgment interest, however the original decision was affirmed in its entirety. The parties have subsequently agreed to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settle the amount owed by the Highland-managed funds under the judgment.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Rates-related matters</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Regulatory authorities in a number of jurisdictions, including the US, UK, EU and Switzerland, have for an extended period of time been </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conducting investigations into the setting of LIBOR and other reference rates with respect to a number of currencies, as well as the pricing of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain related derivatives. These ongoing investigations have included information requests from regulators regarding LIBOR-setting practices </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and reviews of the activities of various financial institutions, including the Group. The Group, which is a member of three LIBOR rate-setting </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">panels (US Dollar LIBOR, Swiss Franc LIBOR and Euro LIBOR), is cooperating fully with these investigations.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In particular, it has been reported that regulators are investigating whether financial
institutions engaged in an effort to manipulate </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR, either individually or in concert with other institutions, in order to improve market perception of these
institutions&#8217; financial health </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and/or to increase the value of their proprietary trading positions. In response to regulatory inquiries, Credit Suisse commissioned a
review of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">these issues. To date, Credit Suisse has seen no evidence to suggest that it is likely to have any material exposure in connection with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">these issues.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In
addition, members of the US Dollar LIBOR panel, including Credit Suisse, have been named in various civil lawsuits filed in the US.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In LIBOR multi-district litigation in the SDNY, the briefing on defendants&#8217; motions to dismiss was completed in April 2015. In one of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">two matters not consolidated in the multi-district litigation, the SDNY granted the defendants&#8217; motion to dismiss on March 31, 2015, but gave </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiff leave to file a new pleading. Regarding the civil class action lawsuits in the SDNY relating to the alleged manipulation of foreign </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange rates, one of the foreign-based investors has appealed the dismissal of its case. Additional plaintiffs have recently filed two new civil </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">class action complaints alleging that Credit Suisse Group AG and certain of its affiliates, as well as other financial institutions, manipulated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">prices for foreign exchange futures and options on foreign exchange futures. On April 13, 2015, the defendants filed a motion to dismiss the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pending consolidated civil class action lawsuit relating to the alleged manipulation of the ISDAFIX rate for US dollars in the SDNY. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">May 11, 2016, the SDNY preliminarily approved plaintiffs&#8217; settlement agreements with Credit Suisse AG, New York Branch, and six other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial institutions in the consolidated civil class action lawsuit relating to the alleged manipulation of the ISDAFIX rate for US dollars. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement provides for dismissal of the case with prejudice and a settlement payment of USD 50 million by Credit Suisse. The settlements </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-168</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_39"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">remain subject to final court approval. On June 1, 2018,
the US District Court for the Southern District of New York (SDNY) approved </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs&#8217; settlement agreement with Credit Suisse AG, New York Branch, and several
other financial institutions. The settlement provides for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissal of the case with prejudice and a settlement payment of USD 50 million.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In one of the two US dollar LIBOR matters not consolidated in the multi-district litigation, on
June 1, 2015, plaintiff filed a motion for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">leave to file a second amended complaint in the US District Court for the SDNY; defendants&#8217; opposition brief was filed on
July 15, 2015. On </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">June 19, 2015, plaintiffs in the Swiss franc LIBOR litigation filed an amended complaint. Regarding the civil class action lawsuits in the SDNY </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relating to the alleged manipulation of foreign exchange rates, the foreign-based investor who appealed the dismissal of its case has withdrawn </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that appeal. Besides the civil class action complaints alleging that Credit Suisse Group AG and certain of its affiliates, as well as other financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">institutions, manipulated prices for foreign exchange futures and options on foreign exchange futures filed in 1Q15, additional plaintiffs have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">recently filed similar civil class action complaints and other plaintiffs have filed an action alleging violations of the US Employee Retirement </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Income Security Act of 1974 based on the same alleged conduct (see below).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 4, 2015, the US District Court for the SDNY in the US Dollar LIBOR multi-district litigation ruled on certain of defendants&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pending motions to dismiss and dismissed certain of plaintiffs&#8217; claims, including claims under the Racketeer Influenced and Corrupt </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Organizations Act and the Sherman Antitrust Act, while allowing certain Commodity Exchange Act claims, fraud, breach of contract, and unjust </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">enrichment claims to survive. On May 23, 2016, the Second Circuit reversed the decision dismissing the Sherman Antitrust Act claims and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">remanded the claims to the SDNY for additional briefing on the issue of whether such claims have been adequately alleged In one of the two US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Dollar LIBOR matters not consolidated in the multi-district litigation, plaintiffs agreed to dismiss all claims and the matter has been concluded. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">On August 18, 2015, defendants in the Swiss franc LIBOR litigation filed motions to dismiss. Regarding the putative civil class action lawsuits </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the SDNY relating to the alleged manipulation of foreign exchange rates, in July 2015, plaintiffs filed a second consolidated amended </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint, adding additional defendants and asserting additional claims on behalf of a second putative class of exchange investors. In August </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2015, the court consolidated all FX-related actions pending in the SDNY, except one putative class action alleging violations of the US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Employee Retirement Income Security Act based on the same alleged conduct. On September 20, 2016, the SDNY granted in part and denied in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">part a motion to dismiss filed by defendants, including Credit Suisse Group AG, Credit Suisse AG, and CSS LLC, in this consolidated action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relating to the alleged manipulation of foreign exchange rates. The decision reduced the size of the putative class, but allowed the primary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">antitrust and Commodity Exchange Act claims to survive</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 19, 2016, affiliates of the Group, along with several other financial institutions, filed
a motion to dismiss a putative class action </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the SDNY. The plaintiffs allege that the defendant financial institutions conspired to manipulate certain foreign exchange
rates in violation of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the US Employee Retirement Income Security Act of 1974. On August 23, 2016, the SDNY dismissed this putative class action brought against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse AG and CSS LLC, along with other financial institutions, alleging that the defendants conspired to manipulate certain foreign </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange rates in violation of the US Employee Retirement Income Security Act of 1974. On September 22, 2016, plaintiffs filed an appeal of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that decision.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The
Group and several affiliates, with other financial institutions, have also been named in two Canadian putative class actions, which </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">make similar allegations.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CSS LLC, along with over 20 other primary dealers of US treasury securities, has been named in a
number of putative civil class action </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaints in the US relating to the US treasury markets. These complaints generally allege that defendants colluded to manipulate US
treasury </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">auctions, as well as the pricing of US treasury securities in the when-issued market, with impacts upon related futures and options. These actions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">have been consolidated into a multi-district litigation in the SDNY. Plaintiffs have not yet filed a consolidated amended complaint.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Additionally, putative class action complaints and another individual lawsuit were filed against
Credit Suisse Group AG and affiliates, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">along with other financial institutions, relating to interest rate swaps (IRS). Similar to previously filed complaints, plaintiffs
allege that dealer </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants conspired with trading platforms to prevent the development of IRS exchanges. The second individual lawsuit was brought by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Javelin Capital Markets L LC, a swap execution facility, and an affiliate, which claim to have suffered lost profits as a result of defendants&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleged conspiracy. All IRS actions, including the two individual actions, have been consolidated in a multi-district litigation in the SDNY. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Plaintiffs have not yet filed a consolidated complaint.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 1, 2016, Credit Suisse AG and Credit Suisse Group AG, along with other financial institutions, were named in a putative class </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action brought in the SDNY, alleging manipulation of the Singapore Interbank Offered Rate and Singapore Swap Offer Rate.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-169</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_40"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 16, 2016, Credit Suisse Group
AG and Credit Suisse AG, along with other financial institutions, were named in a putative </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">class action brought in the SDNY, alleging manipulation of the Australian Bank
Bill Swap reference rate. Plaintiffs filed an amended complaint </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">on December 16, 2016, which defendants moved to dismiss on February 24, 2017. On November 26, 2018, the
SDNY granted in part and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">denied in part defendants&#8217; motions to dismiss including dismissing the complaint in its entirety against Credit Suisse Group AG and Credit
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Suisse AG. On March 4, 2019, plaintiffs were granted leave to file a second amended complaint.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 3, 2019, in the putative class action brought in the SDNY alleging manipulation of the
Australian Bank Bill Swap reference rate, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs filed a second amended complaint. On May 20, 2019, in the putative class action brought in the SDNY alleging
manipulation of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Australian Bank Bill Swap reference rate, defendants filed motions to dismiss. On February 13, 2020, the SDNY granted in part and denied in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">part defendants&#8217; motion to dismiss.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 26, 2016, the Group and affiliates, as well as other financial institutions, were named in a putative class action filed in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SDNY alleging manipulation of the foreign exchange market on behalf of indirect purchasers of foreign exchange instruments.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 24, 2017, plaintiffs filed an amended complaint in lieu of opposing defendants&#8217;
motions to dismiss in the putative class action </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the SDNY, alleging manipulation of the foreign exchange instruments. On April 28, 2017, plaintiffs dismissed the pending
action and filed </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the amended complaint as a new putative class action in the SDNY.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse Group AG and affiliates, along with other financial institutions and individuals, have been named in several putative class </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action complaints filed in the SDNY relating to supranational, sub-sovereign, and agency (SSA) bonds. The complaints generally allege that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants conspired to fix the prices of SSA bonds sold to and purchased from investors in the secondary market.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 7, 2017, plaintiffs filed a consolidated amended complaint in the consolidated class
action in the SDNY relating to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">supranational, sub-sovereign and agency (SSA) bonds. The amended complaint generally alleges that defendants conspired to fix the prices of
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">SSA bonds sold to and purchased from investors in the secondary market. Plaintiffs filed a second consolidated amended class action complaint </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on November 3, 2017, which defendants moved to dismiss on December 12, 2017. On August 24, 2018, in the consolidated class action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">litigation relating to supranational, sub-sovereign and agency (SSA) bonds, the SDNY granted defendants&#8217; motion to dismiss for failure to state </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a claim, but granted plaintiffs&#8217; leave to amend. On November 6, 2018, plaintiffs filed a second consolidated amended class action complaint, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which defendants moved to dismiss on December 21, 2018. On September 30, 2019, the SDNY granted defendants&#8217; motion to dismiss for lack </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of personal jurisdiction and improper venue. The court indicated that it will further address defendants&#8217; motion to dismiss for failure to state a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claim. On March 18, 2020, the SDNY issued an additional opinion granting the motion to dismiss the second amended complaint for failure to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">state a claim made by CSS LLC and certain other defendants.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On February 7, 2019, Credit Suisse AG and certain of its affiliates, together with other financial institutions and individuals, were named </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in a putative class action filed in the SDNY, which makes allegations similar to the consolidated class action, but seeks to represent a putative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">class of indirect purchasers of US dollar SSA bonds where the purchase was made in or connected to New York.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 1, 2020, in the consolidated class action litigation brought in the SDNY relating to
supranational, sub-sovereign and agency </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(SSA) bonds, plaintiffs filed a notice of appeal.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 19, 2021, in the consolidated class action litigation brought in the SDNY relating to SSA bonds, the United States Circuit Court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Appeals for the Second Circuit affirmed the SDNY&#8217;s September 30, 2019 and March 18, 2020 decisions granting defendants&#8217; motions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to dismiss.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June
25, 2020, in the putative class action brought in the SDNY on behalf of indirect purchasers of US dollar SSA bonds, plaintiff </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">voluntarily dismissed the
lawsuit.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse Group AG and certain of its affiliates, together with other
financial institutions, have also been named in two Canadian </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">putative class actions, which make allegations similar to the consolidated class action.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 26, 2017, the only named plaintiff with class claims remaining against a Credit Suisse
entity that survived a motion to dismiss </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">withdrew as a class representative. Credit Suisse AG has moved to dismiss this remaining putative class action on the ground that
there are no </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">remaining class representatives with claims against it.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-170</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_41"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 10, 2017, Credit Suisse Group AG and affiliates, along with other financial institutions, were named in
a second putative class </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">action brought in the US District Court for the SDNY alleging manipulation of the foreign exchange market on behalf of indirect purchasers of
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">foreign exchange instruments. Both putative class actions have been consolidated in the SDNY, and plaintiffs filed a consolidated complaint on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">June 30, 2017.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Regulatory authorities in a number of jurisdictions, including the Swiss Competition Commission,
the European Competition </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commission, the South African Competition Commission, the Brazilian Competition Authority and the New York Department of Financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Services, have been conducting investigations into the trading activities, information sharing and the setting of benchmark rates in the foreign </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange (including electronic trading) markets. On March 31, 2014, the Swiss Competition Commission announced a formal investigation of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">numerous Swiss and international financial institutions, including the Group, in relation to the setting of exchange rates in foreign exchange </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading. The Group is cooperating fully with these investigations.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 29, 2017, the US District Court for the Southern District of New York (SDNY) in the multi-district litigation concerning </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">US Dollar LIBOR dismissed without prejudice Credit Suisse AG from the remaining non-stayed putative class action on the ground that there </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">were no remaining class representatives with claims against any Credit Suisse entity.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 25, 2017, the SDNY granted defendants&#8217; motion to dismiss all claims against Credit Suisse Group AG and other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants in the putative class action relating to Swiss franc LIBOR. The SDNY granted plaintiffs leave to file an amended complaint by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">November 6, 2017, and plaintiffs filed an amended complaint on November 6, 2017. Defendants filed motions to dismiss on February 7, 2018.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 18, 2017, the SDNY dismissed all claims against Credit Suisse Group AG and affiliates in the putative class action lawsuit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relating to the Singapore Interbank Offered Rate and Singapore Swap Offer Rate. On September 18, 2017, the plaintiffs filed an amended </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint. On October 18, 2017, defendants filed motions to dismiss the amended complaint.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 11, 2017, defendants filed motions to dismiss the consolidated putative class action complaint in the SDNY alleging </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">manipulation of the foreign exchange market on behalf of indirect purchasers of foreign exchange instruments.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 23, 2017, the SDNY appointed lead counsel in the consolidated putative class actions
relating to the US treasury markets. On </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">August 25, 2017, three purported class representatives re-filed their complaints as a collective individual action.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 28, 2017, the SDNY granted in part and denied in part defendants&#8217; motion to dismiss
plaintiffs&#8217; consolidated putative civil class </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">action complaint and plaintiffs&#8217; consolidated individual complaint, relating to interest rate swaps.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 6, 2017, in response to defendants&#8217; motions to dismiss the putative class action
in the SDNY relating to supranational, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">sub-sovereign, and agency bonds, plaintiffs filed a motion for leave to file a consolidated amended class action
complaint.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 17, 2017, Credit Suisse Group AG and affiliates, along with
other financial institutions, were named in a civil putative class </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">action lawsuit filed in the SDNY, alleging that defendants conspired to keep stock loan trading fixed in
an over-the-counter market and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">collectively boycotted certain trading platforms which sought to enter the market.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Members of the US Dollar LIBOR panel, including Credit Suisse, have been named in various civil
lawsuits filed in the US. All but one </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of these matters have been consolidated for pre-trial purposes into a multi-district litigation in the SDNY. On March 29, 2013, the
court in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">multi-district litigation dismissed a substantial portion of the consolidated cases against the panel banks, dismissing the claims under Sherman </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Antitrust Act and the Racketeer Influenced and Corrupt Organizations Act, as well as all state law claims, leaving only certain claims under the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commodity Exchange Act based on LIBOR-related instruments entered into after May 30, 2008 (extended to after April 14, 2009 in a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">subsequent order). Plaintiffs appealed part of the decision. On May 23, 2016, the United States Court of Appeals for the Second Circuit (Second </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Circuit) reversed the decision of the SDNY dismissing plaintiffs&#8217; Sherman Antitrust Act claims and remanded the claims to the SDNY for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">additional briefing on the issue of whether such claims have been adequately alleged. Briefing was completed in August 2016 and, in a series of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rulings between December 2016 and February 2017, the SDNY dismissed all of plaintiffs&#8217; antitrust claims against Credit Suisse. Between April </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2013 and November 2015, the SDNY has issued a number of decisions narrowing and defining the scope of the permissible claimants and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims for the consolidated case in the multi-district litigation. On August 23, 2013, the SDNY rejected plaintiffs&#8217; requests to replead the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissed causes of action, except for certain of plaintiffs&#8217; state law claims, which plaintiffs asserted in amended complaints. In June 2014, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SDNY denied most of defendants&#8217; motion to dismiss.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-171</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_42"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On November 3, 2015, the SDNY further dismissed purported classes brought by student loan borrowers and lending
institutions and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">allowed certain over-the-counter plaintiffs to amend their complaints to add new plaintiffs to certain claims. Plaintiffs appealed several of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SDNY&#8217;s rulings to the Second Circuit. On February 23, 2018, the Second Circuit issued a decision in an appeal of one non-class action that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">largely affirmed the SDNY&#8217;s rulings, including upholding dismissal of certain state law and securities law claims as to Credit Suisse, but </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">vacated certain rulings and remanded the case for further proceedings. Another consolidated Second Circuit appeal is still pending. On June 26, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2017, the only named plaintiff with putative class claims remaining against a Credit Suisse entity that survived a motion to dismiss withdrew as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a class representative. On February 28, 2018, the SDNY issued a decision dismissing Credit Suisse AG with prejudice from the remaining </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">non-stayed putative class action.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Separately, on May 4, 2017, the plaintiffs in the three non-stayed putative class actions moved for class certification. On February 28, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2018, the SDNY denied certification in two of the actions and granted certification over a single antitrust claim in an action brought by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">over-the-counter purchasers of LIBOR-linked derivatives. In the same decision, the court dismissed Credit Suisse AG, the only remaining Credit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Suisse entity in the action, from the over-the-counter action. All parties moved for immediate appellate review of the class-certification </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">decisions, and the Second Circuit denied their petitions for review.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The one matter that is not consolidated in the multi-district litigation is also in the SDNY, and the SDNY granted the defendants&#8217; motion </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to dismiss on March 31, 2015, but gave plaintiff leave to file a new pleading. On June 1, 2015, plaintiff filed a motion for leave to file a second </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amended complaint in the SDNY; defendants&#8217; opposition brief was filed on July 15, 2015. On March 20, 2018, the SDNY denied the plaintiff&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">request for leave to file an amended pleading and dismissed the case on the merits. Plaintiff appealed to the Second Circuit.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the multi-district litigation before the US District Court for the Southern District of New
York (SDNY), on June 15, 2018, plaintiffs in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">several non-class actions filed amended complaints or filed for leave to amend their currently operative complaints. On July
13, 2018, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants moved to dismiss the amended complaints and opposed leave to amend. On March 25, 2019, the SDNY granted in part and denied in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">part defendants&#8217; motions to dismiss various actions and certain plaintiffs&#8217; motions for leave to amend their complaints. The SDNY&#8217;s decision </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">narrowed the claims in several of the remaining individual investor actions on grounds relating to personal jurisdiction, the statute of limitations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the merits.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On
May 31, 2018, plaintiffs served a motion for class certification in the consolidated class action relating to the alleged manipulation of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">foreign exchange
rates.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 10, 2018, the United States Court of Appeals for the Second Circuit
issued an order affirming in full the SDNY&#8217;s decision to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss the putative US Employee Retirement Income Security Act of 1974 (ERISA) class action against Credit
Suisse AG and affiliates as well </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">as other defendant financial institutions and denying plaintiffs&#8217; request for leave to amend their complaint.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In January 2019, members of the US dollar Intercontinental Exchange (ICE) LIBOR panel, including
Credit Suisse Group AG and certain </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of its affiliates, were named in three civil putative class action lawsuits alleging that panel banks suppressed US dollar ICE LIBOR to
benefit </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants&#8217; trading positions. These actions have been consolidated in the SDNY.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 30, 2019, in the one matter that is not consolidated in the multi-district litigation,
the United States Court of Appeals for the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Second Circuit affirmed the SDNY&#8217;s March 20, 2018 decision that dismissed the case. On July 29, 2019, plaintiff filed a
petition for a writ of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">certiorari with the Supreme Court of the United States, which was denied on October 7, 2019.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 1, 2019, in the consolidated putative class action brought in the US District Court for
the Southern District of New York (SDNY) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleging that panel banks suppressed US dollar ICE LIBOR to benefit defendants&#8217; trading positions, plaintiffs filed a
consolidated complaint. On </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">August 30, 2019, defendants filed a motion to dismiss. On March 26, 2020, the SDNY granted defendants&#8217; motion to dismiss. On April 24,
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2020, plaintiffs filed a notice of appeal. On December 28, 2020, a proposed intervener filed a motion to intervene because of the current </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs&#8217; intent to withdraw. On January 7, 2021, defendants filed a motion to dismiss the appeal based on the current plaintiffs&#8217; intent </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to withdraw.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On
June 23, 2020, in one of the non-stayed putative class actions related to USD LIBOR brought in the multi-district litigation in the US </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">District Court for the Southern
District of New York (SDNY), plaintiffs filed a notice of appeal.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-172</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_43">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 18, 2020, members of the US dollar Intercontinental Exchange (ICE) LIBOR panel, including Credit Suisse Group AG and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain of its affiliates, were named in a civil action in the US District Court for the Northern District of California, alleging that panel banks </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">manipulated ICE LIBOR to profit from variable interest loans and credit cards. On November 10, 2020, plaintiffs filed a motion for preliminary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and permanent injunction that seeks to enjoin the panel banks from continuing to set LIBOR or that would automatically set the benchmark to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">zero every day. On November 11, 2020, defendants filed a motion to transfer the case to the SDNY. On June 3, 2021, the court denied </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants&#8217; motion to transfer the case to the US District Court for the Southern District of New York (SDNY).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">CHF LIBOR litigation</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In February 2015, various banks that served on the Swiss franc LIBOR panel, including Credit
Suisse Group AG, were named in a civil </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">putative class action lawsuit filed in the SDNY, alleging manipulation of Swiss franc LIBOR to benefit defendants&#8217; trading
positions. On </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">June 19, 2015, the plaintiffs filed an amended complaint. On August 18, 2015, the defendants filed motions to dismiss. On September 25, 2017, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the SDNY granted defendants&#8217; motion to dismiss all claims. The SDNY granted plaintiffs leave to file an amended complaint, and plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed an amended complaint on November 6, 2017. Defendants filed motions to dismiss on February 7, 2018. On September 16, 2019, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SDNY granted defendants&#8217; motions to dismiss. On October 16, 2019, plaintiffs filed a notice of appeal.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Regulatory matters</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Regulatory authorities in a number of jurisdictions, including the US, UK, EU and Switzerland, have for an extended period of time been </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conducting investigations into the setting of LIBOR and other reference rates with respect to a number of currencies, as well as the pricing of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain related derivatives. These ongoing investigations have included information requests from regulators regarding LIBOR-setting practices </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and reviews of the activities of various financial institutions, including the Group. The Group, which is a member of three LIBOR rate-setting </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">panels (US Dollar LIBOR, Swiss Franc LIBOR and Euro LIBOR), is cooperating fully with these investigations. In particular, it has been </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reported that regulators are investigating whether financial institutions engaged in an effort to manipulate LIBOR, either individually or in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">concert with other institutions, in order to improve market perception of these institutions&#8217; financial health and/or to increase the value of their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proprietary trading positions. In response to regulatory inquiries, Credit Suisse commissioned a review of these issues. To date, Credit Suisse has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">seen no evidence to suggest that it is likely to have any material exposure in connection with these issues.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Regulatory authorities in a number of jurisdictions, including the Swiss Competition Commission,
the European Competition </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commission, the South African Competition Commission, the DFS and the Brazilian Competition Authority have been conducting </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations into the trading activities, information sharing and the setting of benchmark rates in the foreign exchange (including electronic </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading) markets.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 31, 2014, COMCO announced its formal investigation of numerous Swiss and international
financial institutions, including </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse Group AG, in relation to the setting of exchange rates in foreign exchange trading. Credit Suisse continues to cooperate
with this </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">ongoing investigation.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On November 13, 2017, Credit Suisse AG and Credit Suisse AG, New York Branch reached a settlement with the DFS, resulting in a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pre-tax charge of USD 135 million. The agreement with the DFS settles claims relating to certain areas of Credit Suisse&#8217;s voice and electronic </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">foreign exchange trading business between 2008 and 2015.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The reference rates investigations have also included information requests from regulators concerning supranational, sub-sovereign and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agency (SSA) bonds and commodities (including precious metals) markets. The Group is cooperating fully with these investigations.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 26, 2018, Credit Suisse Group AG and certain affiliates received a Statement of
Objections from the European Commission </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(Commission), alleging that Credit Suisse engaged in anticompetitive practices in connection with its foreign exchange trading
business. The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Statement of Objections sets out the Commission&#8217;s preliminary views and does not prejudge the final outcome of its investigation.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 19, 2021, Credit Suisse Group AG and certain affiliates received a Supplemental
Statement of Objection from the European </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commission (Commission), which alleges that Credit Suisse entities engaged in anticompetitive practices in connection with their
foreign </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange trading business. The Supplemental Statement of Objections sets out the Commission&#8217;s preliminary views and does not prejudge the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">final outcome of its investigation.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-173</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_44">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The investigation is ongoing and it is too soon to predict the final outcome of the investigation.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On December 20, 2018, Credit Suisse Group AG and Credit Suisse (Securities) Europe Limited
received a Statement of Objections from </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Commission, alleging that Credit Suisse entities engaged in anticompetitive practices in connection with its supranational,
sub-sovereign, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and agency (SSA) bonds trading business. The Statement of Objections sets out the Commission&#8217;s preliminary views and does not prejudge the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">final outcome of its investigation. On April 28, 2021, the Commission issued a formal decision imposing a fine of EUR 11.9 million. Credit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Suisse intends to appeal this decision to the EU General Court.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SIBOR/SOR litigation</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In July 2016, various banks that served on the Singapore Interbank Offered Rate (SIBOR) and Singapore Swap Offer Rate (SOR) panels, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including Credit Suisse Group AG and affiliates, were named in a civil putative class action lawsuit filed in the SDNY, alleging manipulation of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SIBOR and SOR to benefit defendants&#8217; trading positions. On October 31, 2016, the plaintiffs filed an amended complaint. On November 18, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2016, defendants filed motions to dismiss. On August 18, 2017, the SDNY dismissed all claims against Credit Suisse Group AG and affiliates. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">On September 18, 2017, the plaintiffs filed an amended complaint. On October 18, 2017, defendants filed motions to dismiss the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amended complaint.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 12, 2018, the US District Court for the Southern District of New York (SDNY) issued a
tentative ruling that it would dismiss </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs&#8217; claims for lack of capacity and failure to plead antitrust injury with the requisite specificity, but granted
plaintiffs leave to amend.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 4, 2018, in the civil putative class action
litigation alleging manipulation of Singapore Interbank Offered Rate (SIBOR) and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Singapore Swap Offer Rate (SOR) to benefit defendants&#8217; trading positions, the SDNY
granted in part and denied in part defendants&#8217; motion to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss plaintiffs&#8217; second amended complaint. On October 25, 2018, plaintiffs filed a third amended
complaint. The remaining defendants </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">moved to dismiss on November 15, 2018.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 26, 2019, the SDNY issued a decision granting defendants&#8217; motion to dismiss and denying plaintiff&#8217;s motion for leave to amend. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">On August 26, 2019, plaintiffs filed a notice of appeal.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 17, 2021, in the civil putative class action litigation alleging manipulation of the Singapore Interbank Offered Rate (SIBOR) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and Singapore Swap Offer Rate (SOR) to benefit defendants&#8217; trading positions, the US Court of Appeals for the Second Circuit (Second Circuit) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">vacated the judgment from the US District Court for the Southern District of New York (SDNY) dismissing the case for lack of subject matter </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">jurisdiction and remanded the case to the SDNY for further proceedings. On April 14, 2021, defendants filed a petition for rehearing and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rehearing en banc of the Second Circuit&#8217;s decision.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Treasury markets litigation</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CSS LLC, along with over 20 other primary dealers of US treasury securities, has been named in a number of putative civil class action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaints in the US relating to the US treasury markets. These complaints generally allege that defendants colluded to manipulate US treasury </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">auctions, as well as the pricing of US treasury securities in the when-issued market, with impacts upon related futures and options. These actions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">have been consolidated into a multi-district litigation in the SDNY. On August 23, 2017, the SDNY appointed lead counsel, and on August 25, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2017, three purported class representatives re-filed their complaints as a collective individual action. On November 15, 2017, plaintiffs filed a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consolidated amended class action complaint naming CSS LLC, Credit Suisse Group AG, and Credit Suisse International (CSI), along with a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">narrower group of other defendants. The consolidated complaint contains previously-asserted allegations as well as new allegations concerning a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">group boycott to prevent the emergence of anonymous, all-to-all trading in the secondary market for treasury securities. On February 23, 2018, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants served motions to dismiss on plaintiffs and the SDNY entered a stipulation voluntarily dismissing Credit Suisse Group AG and other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendant holding companies. A stipulation of voluntary dismissal of CSI is currently pending.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 26, 2018, the SDNY entered a stipulation voluntarily dismissing Credit Suisse International for lack of personal jurisdiction in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the consolidated putative class action relating to the US treasury markets. The claims against Credit Suisse Securities LLC remain pending.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 31, 2021, in the consolidated putative class action relating to the US treasury markets,
the SDNY granted defendants&#8217; motions </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to dismiss.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-174</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_45"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 14, 2021, in the consolidated putative class action relating to the US treasury markets, plaintiffs filed
an amended complaint </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">against CSS LLC, Credit Suisse International (CSI) and other defendants. On July 20, 2021, the SDNY entered a stipulation voluntarily </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissing CSI.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Foreign exchange litigation</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse Group AG and affiliates as well as other financial institutions are named in five
pending civil class action lawsuits in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">SDNY relating to the alleged manipulation of foreign exchange rates.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The first pending matter is a consolidated class action. On January 28, 2015, the court denied
defendants&#8217; motion to dismiss the original </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">consolidated complaint brought by US-based investors and foreign plaintiffs who transacted in the US, but granted their
motion to dismiss the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims of foreign-based investors for transactions outside of the US. In July 2015, plaintiffs filed a second consolidated amended complaint, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">adding additional defendants and asserting additional claims on behalf of a second putative class of exchange investors. The Group and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliates, together with other financial institutions, filed a motion to dismiss the second consolidated amended complaint, which the court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">granted in part and denied in part on September 20, 2016. The motion to dismiss decision reduced the size of the putative class, but allowed the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">primary antitrust and Commodity Exchange Act claims to survive. On May 31, 2016, plaintiffs served a motion for class certification, which the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Group and affiliates opposed on October 25, 2016.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 3, 2019, in the consolidated action relating to the alleged manipulation of foreign exchange rates, the SDNY denied </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs&#8217; motion for certification of a Rule 23(b)(3) damages class, ruling that proof of both injury and damages must proceed on an individual </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">basis, but granted certification as to two threshold issues concerning the alleged conspiracy. The SDNY also denied plaintiffs&#8217; motion for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certification of a second proposed class in its entirety. On January 29, 2021, Credit Suisse Group AG and affiliates moved for summary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgment. On March 5, 2021, plaintiffs moved for summary judgment.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The second pending matter names Credit Suisse AG and affiliates, as well as other financial institutions in a putative class action filed in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the SDNY on June 3, 2015. This action is based on the same alleged conduct as the consolidated class action and alleges violations of the US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Employee Retirement Income Security Act of 1974 (ERISA). On May 19, 2016, affiliates of Credit Suisse AG, along with several other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial institutions, filed a motion to dismiss the putative ERISA class action, which the SDNY granted on August 23, 2016. Plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">appealed that decision, and on July 10, 2018, the Second Circuit issued an order affirming in full the SDNY&#8217;s decision to dismiss the putative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ERISA class action against Credit Suisse AG and affiliates as well as other defendant financial institutions and denying plaintiffs&#8217; request for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">leave to amend their complaint.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The third pending matter names Credit Suisse Group AG and affiliates, as well as other financial institutions, in a putative class action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed in the SDNY on September 26, 2016, alleging manipulation of the foreign exchange market on behalf of indirect purchasers of foreign </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange instruments. Defendants moved to dismiss the indirect purchaser complaint on January 23, 2017. On March 24, 2017, plaintiffs filed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">an amended complaint in lieu of opposing defendants&#8217; motions to dismiss. On April 28, 2017, plaintiffs dismissed the pending action and filed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the amended complaint as a new putative class action in the SDNY. On June 10, 2017, Credit Suisse Group AG and affiliates, along with other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial institutions, were named in a second putative class action brought in the SDNY alleging manipulation of the foreign exchange market </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on behalf of indirect purchasers of foreign exchange instruments. Both putative class actions have been consolidated in the SDNY, and plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed a consolidated complaint on June 30, 2017. On August 11, 2017, defendants filed motions to dismiss. On March 15, 2018, the court issued </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a decision granting defendants&#8217; joint motion to dismiss and dismissing the consolidated complaint in its entirety. On October 25, 2018, in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">putative class action alleging manipulation of the foreign exchange market on behalf of indirect purchasers of foreign exchange instruments, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SDNY granted in substantial part plaintiffs&#8217; motion for leave to file a proposed second consolidated class action complaint, which plaintiffs filed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on November 28. On December 20, 2018, the Group, together with other financial institutions, filed a motion to dismiss on the basis of personal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">jurisdiction. On February 19, 2019, plaintiffs voluntarily dismissed Credit Suisse Group AG.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 17, 2020, in the consolidated putative class action filed in the SDNY alleging manipulation of the foreign exchange market on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">behalf of indirect purchasers of foreign exchange instruments, the court entered an order preliminarily approving a group settlement of USD 10 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million with the remaining defendants, including Credit Suisse AG and an affiliate. The settlement remains subject to final approval by the court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and a hearing is scheduled for November 2020. On November 19, 2020, the court entered an order granting final approval of the settlement and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">directing that the litigation be dismissed with prejudice.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-175</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_46"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The fourth pending matter names Credit Suisse Group AG and affiliates in a putative class action filed in the
SDNY on July 12, 2017, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleging improper practices in connection with electronic foreign exchange trading. Plaintiffs amended their complaint on October 19, 2017, and
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">on December 7, 2017, defendants filed a consolidated motion to compel arbitration or dismiss on the grounds of forum non conveniens. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">April 12, 2018, the SDNY granted defendants&#8217; motion to compel arbitration.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The fifth pending matter names Credit Suisse Group AG and affiliates, as well as other financial institutions, in a civil action filed in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SDNY on November 13, 2018. This action is based on the same alleged conduct as the consolidated class action. On March 1, 2019, plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed an amended complaint. On September 6, 2019, plaintiffs voluntarily dismissed Credit Suisse International. The claims against Credit Suisse </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">AG and CSS remain pending.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 5, 2018, plaintiffs moved for leave to file a second consolidated class action complaint on behalf of indirect purchasers of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">foreign exchange instruments.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 1, 2019, in the civil action filed on November 13, 2018 in the SDNY, defendants filed motions to dismiss. On April 23, 2019, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs sought leave to file a second amended complaint in lieu of responding to defendants&#8217; motions. On April 26, 2019, the SDNY ordered </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs to file their proposed second amended complaint subject to defendants&#8217; right to oppose the amendment and to renew their motions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to dismiss.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June
11, 2019, in the civil action filed on November 13, 2018 in the SDNY, plaintiffs filed a second amended complaint. Defendants </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed motions to dismiss on July 25, 2019. On
September 6, 2019, plaintiffs voluntarily dismissed Credit Suisse International. The claims against </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse AG and CSS remain pending. On May 28, 2020, the court
granted in part and denied in part defendants&#8217; motion to dismiss the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">second amended complaint. On July 28, 2020, plaintiffs filed a third amended
complaint.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Group and several affiliates, together with other financial
institutions, have also been named in two Canadian putative class actions, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">which make allegations similar to the consolidated class action. Further, Credit Suisse Group AG
and certain of its affiliates, together with other </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial institutions, have also been named in two putative class actions in Israel, which make allegations similar to
the consolidated </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">class action.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 14, 2020, in one of the putative class actions pending in Canada, the court granted in part and denied in part plaintiffs&#8217; motion </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for class certification in the matter proceeding in Ontario, certifying a class comprising all persons in Canada who, between 2003 and 2013, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">entered into an FX instrument transaction with a defendant or through an intermediary.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse AG, together with other financial institutions, has also been named in a consolidated putative class action in Israel, which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">makes allegations similar to the consolidated class action</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Mexican government bonds litigation</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse AG and affiliates have been named in multiple putative class actions in US federal court alleging a conspiracy among Credit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Suisse and other dealer banks to manipulate the Mexican government bond market. These actions have been consolidated in the SDNY and on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">July 18, 2018 plaintiffs filed their consolidated amended complaint. On September 17, 2018, defendants filed motions to dismiss the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consolidated amended complaint. On September 30, 2019, the SDNY granted defendants&#8217; motion to dismiss. On December 9, 2019, plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed a second consolidated amended complaint that does not name any Credit Suisse entity as a defendant.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Government-sponsored entity bonds litigation</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Since February 22, 2019, Credit Suisse AG and CSS LLC, together with other financial institutions, have been named in multiple putative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">class action complaints filed in the SDNY, alleging a conspiracy among the financial institutions to fix prices for unsecured bonds issued by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Freddie Mac and Fannie Mae.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 3, 2019, the SDNY consolidated the putative class action complaints alleging a conspiracy among financial institutions to fix </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">prices for unsecured bonds issued by Freddie Mac and Fannie Mae.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-176</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_47"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 23, 2019, in the consolidated putative class action brought in the SDNY alleging a conspiracy among
financial institutions to fix </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">prices for unsecured bonds issued by certain government-sponsored entities, plaintiffs filed a consolidated amended complaint. On June 13,
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019, defendants filed a motion to dismiss. On July 12, 2019, plaintiffs filed a second consolidated amended complaint.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 29, 2019, in the consolidated putative class action brought in the SDNY alleging a
conspiracy among financial institutions to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">fix prices for unsecured bonds issued by certain government-sponsored entities, the SDNY granted defendants&#8217; motion to
dismiss, but granted </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs leave to amend. On September 10, 2019, plaintiffs filed a third consolidated amended complaint. On September 17, 2019, defendants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed a motion to dismiss certain aspects of the complaint, which was denied on October 15, 2019. On December 6, 2019, the parties reached an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreement in principle to settle the putative class action in its entirety. Class plaintiffs filed a motion seeking preliminary approval of the global </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement on December 16, 2019, and the SDNY issued an order preliminarily approving the global settlement on February 3, 2020. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">June 16, 2020, the court issued an order granting final approval to all settlements, including the global settlement which CSS LLC is a party.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse AG and CSS LLC, along with other financial institutions, have been named in two
civil actions in the US District Court for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Middle District of Louisiana, alleging a conspiracy among financial institutions to fix prices for unsecured bonds issued by
certain </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">government-sponsored entities: one action brought by the Louisiana Attorney General on behalf of the State of Louisiana on September 23, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019 and one action brought by the City of Baton Rouge on October 21, 2019.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 13, 2020, in the civil action filed on September 23, 2019 in the US District Court for the Middle District of Louisiana alleging a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conspiracy among financial institutions to fix prices for unsecured bonds issued by certain government-sponsored entities, plaintiff filed an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amended complaint. On July 24, 2020, Credit Suisse AG and CSS LLC filed an answer.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 1, 2020, Credit Suisse AG and CSS LLC, along with other financial institutions, were named in a civil action in the US District </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Court for the Eastern District of Louisiana, alleging a conspiracy among financial institutions to fix prices for unsecured bonds issued by certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">government-sponsored entities. On June 26, 2020, CSS LLC and certain other defendants filed a partial motion to dismiss state law claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">brought under the Louisiana Unfair Trade Practices Act. On July 17, 2020, the plaintiff filed a first amended complaint in response to the partial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion to dismiss. On July 31, 2020, CSS LLC and certain other defendants filed a partial motion to dismiss plaintiff&#8217;s first amended complaint </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleging state law claims brought under the Louisiana Unfair Trade Practices Act. On December 31, 2020, the court transferred the action to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">US District Court for the Middle District of Louisiana for consolidation with the two earlier-filed Louisiana cases.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 21, 2020, Credit Suisse AG and an affiliate, along with other financial
institutions, were named in a civil action brought by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the City of New Orleans, the New Orleans Municipal Employees Retirement System and the New Orleans Aviation Board in
the US District </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Court for the Eastern District of Louisiana, which also alleges a conspiracy among financial institutions to fix prices for unsecured bonds issued </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by certain government sponsored entities. On February 17, 2021, the court dismissed without prejudice the claims against Credit Suisse AG for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">lack of service. The claim against CSS LLC remains pending. On March 8, 2021, the court transferred the action to the US District Court for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Middle District of Louisiana for consolidation with the three earlier-filed Louisiana cases.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the four civil actions brought in the US District Court for the Middle District of Louisiana, the parties entered into an agreement to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settle all claims. On June 9, 2021, plaintiffs voluntarily dismissed each action.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">OTC Trading cases</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse Group AG and affiliates, along with other financial institutions, have been named in one consolidated putative civil class </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action complaint and one consolidated complaint filed by individual plaintiffs relating to interest rate swaps, alleging that dealer defendants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conspired with trading platforms to prevent the development of interest rate swap exchanges. The individual lawsuits were brought by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">TeraExchange LLC, a swap execution facility, and affiliates, and Javelin Capital Markets LLC, a swap execution facility, and an affiliate, which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claim to have suffered lost profits as a result of defendants&#8217; alleged conspiracy. All interest rate swap actions have been consolidated in a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">multi-district litigation in the SDNY. Both class and individual plaintiffs filed second amended consolidated complaints on December 9, 2016, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which defendants moved to dismiss on January 20, 2017. On July 28, 2017, the SDNY granted in part and denied in part defendants&#8217; motions to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss. On February 21, 2018, class plaintiffs moved for leave to amend and file a proposed third amended consolidated class action complaint. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">On May 30, 2018, class plaintiffs filed a third amended consolidated class action complaint.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 8, 2017, Credit Suisse Group AG and affiliates, along with other financial institutions, were named in a civil action filed in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SDNY by Tera Group, Inc. and related entities (collectively &#8220;Tera&#8221;), alleging violations of antitrust law in connection with the allegation that </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-177</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_48"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">credit default swap (CDS) dealers conspired to block
Tera&#8217;s electronic CDS trading platform from successfully entering the market. On </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 11, 2017, defendants filed motions to dismiss. On July 30, 2019, the SDNY
granted in part and denied in part defendants&#8217; motion to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss. On January 30, 2020, plaintiffs filed an amended complaint. On April 3, 2020, defendants filed a
motion to dismiss.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 10, 2018, in the consolidated multi-district litigation
relating to interest rate swaps, the SDNY issued an order granting in part </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and denying in part class plaintiffs&#8217; motion for leave to amend and file a third amended
consolidated class action complaint. The SDNY granted </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs&#8217; motion to add a new plaintiff and factual allegations relating to the claims that survived the
motion to dismiss, but denied plaintiffs&#8217; </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">attempt to revive the dismissed claims. On May 30, 2018, plaintiffs filed the third amended complaint. On June 14, 2018, a
new direct action </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint was filed by swap execution facility trueEx LLC.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 20, 2018, the trueEx LLC complaint was added to the existing multi-district litigation. On August 9, 2018, in the consolidated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">multi-district litigation relating to interest rate swaps, plaintiff trueEX LLC filed an amended complaint against Credit Suisse Group AG and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliates, along with other financial institutions. On August 28, 2018, defendants filed a joint motion to dismiss the amended complaint. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">November 20, 2018, the SDNY issued an order granting in part and denying in part defendants&#8217; motion to dismiss the trueEX LLC amended </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint. The SDNY granted defendants&#8217; motion to dismiss trueEX LLC&#8217;s state law claims, but denied the motion as to trueEX LLC&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">antitrust claims. On October 25, 2018, class plaintiffs moved for leave to file a fourth amended consolidated complaint.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On February 20, 2019, class plaintiffs filed motions for class certification. On March 13, 2019,
the SDNY issued an order granting in part </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and denying in part class plaintiffs&#8217; motion for leave to amend and file a fourth amended consolidated class action
complaint. On March 20, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019, in the consolidated multi-district litigation relating to interest rate swaps, plaintiffs filed a fourth amended consolidated class action
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint. On June 18, 2019, in the consolidated multi-district litigation relating to interest rate swaps, defendants filed an opposition to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs&#8217; motion for class certification.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse Group AG and certain of its affiliates, as well as other financial institutions, have been defending against a number of civil </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">lawsuits in the SDNY, certain of which are brought by class action plaintiffs alleging that the defendants conspired to keep stock-loan trading in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">an over-the-counter market and collectively boycotted certain trading platforms that sought to enter the market, and certain of which are brought </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by trading platforms that sought to enter the market alleging that the defendants collectively boycotted the platforms. The SDNY denied </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants&#8217; motions to dismiss in the putative class action. On February 22, 2021, plaintiffs filed a motion for class certification in the putative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">class action. In each of the lawsuits, the court entered a stipulation voluntarily dismissing Credit Suisse Group AG and other defendant holding </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">companies, although certain Credit Suisse Group AG affiliates remain part of the ongoing action.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 16, 2017, Credit Suisse Group AG and affiliates, along with other financial institutions, were named in a civil putative class </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action lawsuit filed in the SDNY, alleging that defendants conspired to keep stock loan trading fixed in an over-the-counter market and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">collectively boycotted certain trading platforms that sought to enter the market. Plaintiffs filed an amended complaint on November 17, 2017. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Defendants filed motions to dismiss on January 26, 2018. On January 26, 2018, the court entered a stipulation voluntarily dismissing Credit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Suisse Group AG and other defendant holding companies, although certain Credit Suisse Group AG affiliates remain part of the ongoing action.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 27, 2018, in the civil putative class action litigation alleging that defendants
conspired to keep stock loan trading fixed in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">an over-the-counter market and collectively boycotted certain trading platforms that sought to enter the market, the SDNY
denied defendants&#8217; </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">motions to dismiss.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 29, 2021, in the putative class action brought against certain Credit Suisse AG affiliates, as well as other financial institutions, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleging that the defendants conspired to keep stock-loan trading in an over-the-counter market and collectively boycotted certain trading </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">platforms that sought to enter the market, defendants filed their opposition to plaintiffs&#8217; motion for class certification.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Separately, on January 30, 2018, Credit Suisse Group AG and affiliates, along with other
financial institutions, were named in a civil </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">lawsuit filed in the SDNY by the purported successor in interest to a trading platform for stock loans that sought to enter
the market. As in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">civil putative class action lawsuit, the plaintiff alleges that defendants collectively boycotted its trading platform. On August 6, 2019, the SDNY
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">granted defendants&#8217; motion to dismiss and entered judgment in favor of the defendants. On September 3, 2019, plaintiff filed a motion to amend </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the judgment to permit plaintiff to file an amended complaint or, in the alternative, to dismiss certain claims without prejudice. On September</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> 10, 2019, the SDNY denied in part plaintiff&#8217;s motion to amend the judgment but ordered additional briefing on whether certain claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">should be dismissed without prejudice. On January 6, 2020, the SDNY denied plaintiff&#8217;s motion to amend the judgment.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-178</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_49"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 21, 2020, CSS LLC and other
financial institutions were named in a putative class action complaint filed in the SDNY, alleging </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">a conspiracy among the financial institutions to boycott electronic
trading platforms and fix prices in the secondary market for odd-lot corporate </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">bonds. On July 14, 2020, plaintiff filed an amended complaint. On September 10, 2020,
defendants filed a motion to dismiss.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">CDS-related matters</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In July 2013, the Directorate General for Competition of the European Commission (DG Comp) issued
a Statement of Objections to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">various entities of thirteen CDS dealer banks, certain Markit entities and ISDA in relation to DG Comp&#8217;s investigation into possible
violations of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">competition law by certain CDS market participants. Certain Credit Suisse entities were among the named bank entities. In December 2015, DG </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Comp announced that it was closing the proceedings against the Credit Suisse entities and the other dealer banks without a finding of any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">wrongdoing, although the proceedings would continue against the Markit entities and ISDA.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, certain Credit Suisse entities, as well as other banks and entities, have been named defendants in a consolidated multi-district </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">civil litigation proceeding in the SDNY alleging violations of antitrust law related to CDS. In September 2014, the court overseeing the litigation </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">granted in part and denied in part the defendants&#8217; motion to dismiss, which allowed the case to proceed to discovery. On September 30, 2015, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse and the other defendants executed agreements with the putative class action plaintiffs to settle this litigation. The court has granted </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">preliminary approval to the settlement agreements and they remain subject to final court approval.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Further, a Credit Suisse entity had received civil investigative demands from the United States Department of Justice relating to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">competition in credit derivatives trading, processing, clearing and information services. By letter dated September 15, 2016, the United States </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Department of Justice notified Credit Suisse that it has closed its investigation.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 8, 2017, Credit Suisse Group AG and affiliates, along with other financial institutions, were named in a civil action filed in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SDNY by Tera Group, Inc. and related entities (collectively, &#8220;Tera&#8221;), alleging violations of antitrust law in connection with the allegation that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CDS dealers conspired to block Tera&#8217;s electronic CDS trading platform from successfully entering the market.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 11, 2017, defendants filed motions to dismiss the civil action in the SDNY filed by
Tera Group, Inc. and related entities </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleging violations of antitrust law by credit default swap dealers. On July 30, 2019, the SDNY granted in part and denied in part
defendants&#8217; </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion to dismiss. On January 30, 2020, plaintiffs filed an amended complaint. On April 3, 2020, defendants filed a motion to dismiss.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 30, 2021, Credit Suisse Group AG and affiliates, along with other banks and entities,
were named in a putative class action </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint filed in the US District Court for the District of New Mexico alleging manipulation of credit default swap final auction
prices.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Tax and securities law matters</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Since 2011, Credit Suisse had been responding to subpoenas and other requests for information
from the DOJ, the SEC and other </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">authorities involving historical Private Banking services provided on a cross-border basis to US persons. US authorities were investigating
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">possible violations of US tax and securities laws. In particular, the DOJ was investigating whether US clients violated their US tax obligations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and whether Credit Suisse and certain of its employees assisted such clients. The SEC investigated whether certain of our relationship managers </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">triggered obligations for Credit Suisse or the relationship managers in Switzerland to register with the SEC as a broker-dealer or investment </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">advisor. A limited number of current or former employees have been indicted and two former employees have pleaded guilty (in one case, as to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conduct while employed at other financial institutions that did not involve Credit Suisse and in the other case as to conduct while employed at a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">former Credit Suisse subsidiary prior to 2006 and other financial institutions after 2006). Credit Suisse received a grand jury target letter from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the DOJ in July 2011. We understand that certain US authorities are also investigating other Swiss and non-US financial institutions. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">February 21, 2014, Credit Suisse AG reached a settlement with the SEC that resolved the SEC&#8217;s investigation regarding registration as an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investment advisor and broker-dealer. In a settled administrative and cease-and-desist proceeding, the SEC charged Credit Suisse AG with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violating Section 15(a) of the US Securities Exchange Act of 1934 (Exchange Act) and Section 203(a) of the US Investment Advisers Act of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1940 (Advisers Act). Specifically, the SEC&#8217;s Order found that from at least 2002 through its exit from the US cross-border securities business </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which Credit Suisse AG began in 2008, Credit Suisse AG, through actions of certain of its relationship managers, violated the federal securities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">laws by providing certain cross-border brokerage and investment advisory services to US clients at a time when Credit Suisse AG was not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">registered with the SEC as a broker-dealer or investment advisor. As part of the settlement of the investigation, Credit Suisse AG agreed, among </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other things, to cease-and-desist from committing or causing any future violations of Section 15(a) of the Exchange Act or Section 203(a) of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Advisers Act and to pay approximately USD 196 million, inclusive of disgorgement of approximately USD 82 million, prejudgment interest of </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-179</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_50"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately USD 64 million, and a civil money penalty
in the amount of USD 50 million. Credit Suisse AG also agreed to the appointment of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">an independent consultant who will review its cross-border compliance policies with
respect to the US securities laws and will verify that Credit </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Suisse AG has exited the US cross-border business.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 19, 2014, Credit Suisse AG entered into a settlement regarding all outstanding US
cross-border matters, including agreements </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">with the DOJ, the New York State Department of Financial Services (DFS) and the Board of Governors of the US Fed. As part of the
settlement, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse AG entered a guilty plea to one count of conspiracy to assist US customers in presenting false income tax returns to the US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Internal Revenue Service (IRS) in violation of Title 18, US Code section 371, in connection with the former Swiss-based cross border Private </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Banking business. In total, Credit Suisse AG agreed to pay USD 2,815 million comprised of the following components: (a) USD 2,000 million </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for the DOJ, including USD 666.5 million in restitution to the IRS and USD 1,333.5 million as a fine (including USD 196 million for the SEC as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">described in the preceding paragraph); (b) USD 715 million for the DFS; and (c) USD 100 million for the Fed. In prior quarters, Credit Suisse </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">had taken litigation provisions totaling CHF 892 million related to this matter. As a result, the pre-tax impact of the final settlement in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">second quarter 2014 was CHF 1,618 million and the after-tax impact was CHF 1,598 million. The amount due to the DOJ, including the part </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">thereof allocated to the IRS, is expected to be paid following the sentencing hearing for Credit Suisse AG. The penalties due to the SEC, Fed and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">DFS were paid in May 2014. In addition to such payments, Credit Suisse AG agreed, among other things, to engage an independent corporate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">monitor reporting to the DFS (a separate position from the independent consultant agreed to in the settlement with the SEC), provide ongoing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reports to various agencies (Credit Suisse AG is paying for the cost of the monitor) and terminate the employment of certain individuals at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse AG associated with the improper conduct.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 19, 2014, Credit Suisse AG entered into settlement agreements with several US regulators regarding its US cross-border matters. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">As part of the agreements, Credit Suisse AG, among other things, engaged an independent corporate monitor that reports to the New York State </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Department of Financial Services (DFS). As of July 31, 2018, the monitor has concluded both his review and his assignment.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Net new assets-related matters</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On February 26, 2014, the United States Senate Permanent Subcommittee on Investigations issued a
report that included a discussion of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse&#8217;s determinations about and disclosures of net new assets and, as previously disclosed, Credit Suisse is conducting
a review of this </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">topic. The SEC is also conducting an investigation. The disclosure of net new assets is required by banks operating in Switzerland pursuant to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Guidelines on Accounting Standards issued by the FINMA.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Alternative trading systems</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse is responding to inquiries from various governmental and regulatory authorities concerning the operation of its alternative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading systems, and is cooperating with those requests. On January 31, 2016 and February 1, 2016, the SEC and NYAG, respectively, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">announced settlements with Credit Suisse in three such inquiries. Credit Suisse has paid, on a without admitting-or-denying basis, a total of USD </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">84.3 million as part of a settlement of various matters related to the operation of its US based alternative trading systems and order handling </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">practices, and related disclosures. Credit Suisse Group AG is also among more than thirty defendants named in putative class action complaints </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed in the US District Court for the SDNY since April 2014, alleging violations of US securities laws related to high-frequency trading.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Caspian Energy Litigation</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A lawsuit was brought against CSI in English court by Rosserlane Consultants Limited and
Swinbrook Developments Limited. The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">litigation relates to the forced sale by CSI in 2008 of Caspian Energy Group LP (CEG), the vehicle through which the plaintiffs held a
51% stake </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the Kyurovdag oil and gas field in Azerbaijan. CEG was sold for USD 245 million following two unsuccessful merger and acquisition </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">processes. The plaintiffs allege that CEG should have been sold for at least USD 700 million. The trial took place at the end of 2014 and on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">February 20, 2015, the case was dismissed and judgment given in favor of CSI. The plaintiffs appealed the judgment. In January 2017, the Court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Appeal ruled in CSI&#8217;s favor.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">ATA litigation</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A lawsuit was filed on November 10, 2014 in the US District Court for the Eastern District of New York (EDNY) against a number of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">banks, including Credit Suisse AG, alleging claims under the United States Anti-Terrorism Act (ATA). The action alleges a conspiracy between </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Iran and various international financial institutions, including the defendants, in which they agreed to alter, falsify, or omit information from </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-180</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_51"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">payment messages that involved Iranian parties for the
express purpose of concealing the Iranian parties&#8217; financial activities and transactions </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">from detection by US authorities. The complaint, brought by approximately
200 plaintiffs, alleges that this conspiracy has made it possible for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Iran to transfer funds to Hezbollah and other terrorist organizations actively engaged in harming US
military personnel and civilians.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 16, 2015, Credit Suisse AG and the other
defendants filed motions to dismiss. On April 2, 2015, the plaintiffs filed an amended </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint in the EDNY alleging claims under the United States Anti-Terrorism Act
(ATA) against Credit Suisse AG and a number of other </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">banks. On May 29, 2015, Credit Suisse AG and all other defendants filed motions to dismiss plaintiffs&#8217; amended
complaint.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 12, 2016, plaintiffs filed a second amended complaint in the EDNY
against a number of banks, including Credit Suisse AG, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleging claims under the ATA. On September 14, 2016, Credit Suisse AG and the other defendants filed motions to
dismiss the plaintiffs&#8217; </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">second amended complaint.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 12, 2017, the US District Court for the Southern District of Illinois entered an order granting defendants&#8217; motion to transfer the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">case filed against a number of banks, including Credit Suisse AG, alleging claims under the United States Anti-Terrorism Act, to the Eastern </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">District of New York for further proceedings.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 11, 2017, Credit Suisse AG and other defendants served motions to dismiss the plaintiffs&#8217; amended complaint in the case </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed against a number of banks alleging claims under the United States Anti-Terrorism Act (ATA) that was transferred to the US District Court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for the Eastern District of New York (EDNY) by order dated April 12, 2017. On October 3, 2017, the plaintiffs filed a stipulation of voluntary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissal and withdrew their complaint. A third lawsuit was filed on November 9, 2017, in SDNY against a number of banks, including Credit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Suisse AG, alleging claims under the ATA. On March 2, 2018, Credit Suisse AG and other defendants filed motions to dismiss the plaintiffs&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 16, 2019, the Eastern District of New York granted defendants&#8217; motion to
dismiss the case filed on November 10, 2014, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and directed that the case be closed. Plaintiffs moved for partial reconsideration of portions of the dismissal that do not
relate to Credit Suisse, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">which the court denied on October 28, 2019. On November 26, 2019, plaintiffs filed a notice of appeal.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In December 2018, five additional lawsuits were filed in the EDNY or SDNY against a number of
banks, including Credit Suisse AG and, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in two instances, Credit Suisse AG, New York Branch. Alleging claims under the ATA and the Justice Against Sponsors of Terrorism
Act. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">These actions similarly allege a conspiracy between Iran and various international financial institutions, including the defendants, in which they </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreed to alter, falsify or omit information from payment messages that involved Iranian parties, and that this conspiracy made it possible for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Iran to transfer funds to terrorist organizations actively engaged in harming US military personnel and civilians.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 28, 2019, the SDNY granted the motion to dismiss filed by Credit Suisse AG and other
defendants in the lawsuit alleging </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims under the United States Anti-Terrorism Act (ATA). On April 22, 2019, plaintiffs filed a motion for leave to amend their
complaint.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 11, 2019, another action alleging claims under the ATA was filed
in the US District Court for the Eastern District of New York </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(EDNY) that is related to, and makes allegations materially similar to, the other ATA cases already pending
in the EDNY. On January 6, 2020, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants filed a motion to dismiss two of these cases, which are pending before the same EDNY judge that granted defendants&#8217;
motion </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to dismiss.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Other than cases that have been decided or where a motion to dismiss is pending, these cases have been stayed pending the outcome of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain of the decisions described above.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 28, 2020, in the action filed on November 9, 2017 in the SDNY alleging claims under the United States Anti-Terrorism Act </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(ATA), plaintiffs filed a motion to appeal the court&#8217;s February 25, 2020 decision dismissing the case with prejudice as to Credit Suisse AG and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the other moving bank defendants, which the moving defendants opposed on June 11, 2020.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 5, 2020, the US District Court for the Eastern District of New York (EDNY) granted defendants&#8217; motion to dismiss two of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ATA cases that were filed in December 2018 and April 2019 in the EDNY as to Credit Suisse AG and most of the other bank defendants.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Customer account matters</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-181</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_52"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Several clients have claimed that a
former relationship manager in Switzerland had exceeded his investment authority in the management </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of their portfolios, resulting in excessive concentrations of certain
exposures and investment losses. Credit Suisse AG is investigating the claims, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">as well as transactions among the clients. Credit Suisse AG filed a criminal complaint
against the former relationship manager with the Geneva </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Prosecutor&#8217;s Office upon which the prosecutor initiated a criminal investigation. Several clients of the
former relationship manager also filed </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">criminal complaints with the Geneva Prosecutor&#8217;s Office. On February 9, 2018, the former relationship manager was sentenced to
five years in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">prison by the Geneva criminal court for fraud, forgery and criminal mismanagement and ordered to pay damages of approximately USD 130 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million. Civil liability lawsuits were initiated on August 25, 2017 in the High Court of Singapore, the High Court of New Zealand and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Supreme Court of Bermuda against Credit Suisse AG and certain affiliates, based on the findings established in the criminal proceedings against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the former relationship manager.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 17, 2018, the High Court of New Zealand dismissed, subject to appeal, a civil liability lawsuit brought against Credit Suisse AG </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and an affiliate in connection with claims that a former relationship manager in Switzerland had exceeded his investment authority. The same </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">civil liability lawsuit was stayed against a New Zealand incorporated affiliate. The plaintiffs have appealed the dismissal decision.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 31, 2018, a civil liability lawsuit brought against Credit Suisse AG and an affiliate
in connection with claims that a former </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">relationship manager in Switzerland had exceeded his investment authority was stayed by an Assistant Registrar of the High Court of
Singapore. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">The plaintiffs have appealed. On January 18, 2019, the Singapore High Court dismissed the plaintiffs&#8217; appeal and upheld the Assistant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Registrar&#8217;s decision to stay the civil proceedings in Singapore; the plaintiffs have appealed this decision.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 26, 2019, the Criminal Court of Appeals of Geneva ruled in the appeal of the judgment
against the former relationship manager, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">upholding the main findings of the Geneva criminal court. Several parties have appealed the June 26, 2019 decision.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 29, 2019, the plaintiffs appealed the decision of the Singapore High Court only with
respect to their action against the Credit </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Suisse affiliate. On June 21, 2019, the plaintiffs discontinued their action against Credit Suisse AG in the Singapore courts.
On July 3, 2020, in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the civil lawsuit brought against a Credit Suisse affiliate, the Singapore Court of Appeals granted the plaintiffs&#8217; appeal and lifted the stay of
the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">civil proceedings, allowing the plaintiffs&#8217; civil claim against the Credit Suisse affiliate to proceed in the Singapore High Court. On July 10, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2020, plaintiffs filed an amended statement of claim in the Singapore High Court.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 3, 2019, the plaintiffs filed a notice of abandonment of appeal in the Court of Appeal of New Zealand.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 26, 2019, the Criminal Court of Appeals of Geneva ruled in the appeal of the judgment
against the former relationship manager, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">upholding the main findings of the Geneva criminal court. Several parties have appealed the decision to the Swiss Federal Supreme
Court. On </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">February 19, 2020, the Swiss Federal Supreme Court rendered its judgment on the appeals, substantially confirming the findings of the Criminal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Court of Appeals of Geneva. Civil lawsuits were initiated between August 7, 2017 and August 25, 2017 in the High Court of Singapore, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">High Court of New Zealand and the Supreme Court of Bermuda against Credit Suisse AG and certain affiliates, based on the findings </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">established in the criminal proceedings against the former relationship manager. On July 17, 2018, the High Court of New Zealand dismissed the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">civil lawsuit brought against Credit Suisse AG and stayed the same lawsuit against a New Zealand incorporated affiliate. On August 31, 2018, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the civil lawsuit was stayed by an Assistant Registrar of the High Court of Singapore. Plaintiffs in both the New Zealand and Singapore civil </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings have appealed these decisions. On January 18, 2019 the Singapore High Court dismissed the plaintiffs&#8217; appeal and upheld the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Assistant Registrar&#8217;s decision to stay the civil proceedings in Singapore. On April 29, 2019, the plaintiffs appealed the decision of the Singapore </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">High Court only with respect to their action against the Credit Suisse affiliate. On June 21, 2019, the plaintiffs discontinued their action against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse AG in the Singapore courts. On May 3, 2019, the plaintiffs filed a notice of abandonment of appeal in the Court of Appeal of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">New Zealand.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On
July 3, 2020, the Singapore Court of Appeals granted the plaintiffs&#8217; appeal against the Credit Suisse affiliate and lifted the stay of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">civil proceedings,
allowing the plaintiffs&#8217; civil claim to proceed in the Singapore High Court. On July 10, 2020, plaintiffs filed an amended </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">statement of claim in the Singapore High
Court. On March 9, 2021 the Singapore High Court transferred the civil lawsuit to the Singapore </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">International Commercial Court.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Hiring practices investigation</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse has been responding to requests from certain governmental and regulatory
authorities, including the DOJ and the US </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Securities and Exchange Commission, regarding Credit Suisse&#8217;s hiring practices in the Asia Pacific region and, in
particular, whether Credit </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-182</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_53">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Suisse hired
referrals from government agencies and other state-owned entities in exchange for investment banking business and/or regulatory </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">approvals, in potential violation of the US
Foreign Corrupt Practices Act and related civil statutes. Credit Suisse is cooperating with the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">authorities on this matter.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 30, 2018, Credit Suisse (Hong Kong) Limited (CSHKL) entered into a non-prosecution
agreement to resolve the investigation of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">past hiring practices between 2007 and 2013 in the Asia Pacific region by the US Department of Justice (DOJ), under which CSHKL
paid a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">penalty of USD 47 million. No criminal charges were filed and no monitor was required. As part of the agreement, Credit Suisse AG will </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">continue to cooperate with the DOJ, will maintain prescribed standards in its compliance programs and will report to the DOJ on the functioning </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of its enhanced compliance programs. On July 5, 2018, Credit Suisse Group AG reached a settlement with the US Securities and Exchange </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commission to resolve the parallel investigation of the same conduct for USD 29.8 million.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Write-downs litigation</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On December 22, 2017, Credit Suisse Group AG and certain current and former executives were named in a class action complaint filed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the SDNY on behalf of a putative class of purchasers of Credit Suisse AG American Depositary Receipts (ADRs), asserting claims for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violations of Sections 10(b) and 20(a) of the US Securities Exchange Act of 1934 and Rule 10b-5 thereunder, alleging that defendants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sanctioned increases to trading limits that ultimately led to write-downs in the fourth quarter of 2015 and the first quarter of 2016 and a decline </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the market value of the ADRs</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 18, 2018, plaintiffs filed a consolidated amended complaint in the putative class action relating to write-downs in the fourth </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">quarter of 2015 and the first quarter of 2016 and a decline in the market value of Credit Suisse Group AG&#8217;s American Depositary Receipts.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 2, 2018, Credit Suisse Group AG and the individual defendants named in the putative class
action filed a motion to dismiss the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">amended complaint. On February 19, 2019, the SDNY granted in part and denied in part, defendants&#8217; motion to dismiss the amended
complaint. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">The decision narrows the scope of the action to claims related to statements concerning Credit Suisse&#8217;s risk limits and controls. On March 6, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019, defendants filed a motion for reconsideration. Discovery is ongoing.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 16, 2019, in the putative class action brought in the SDNY relating to write-downs in the fourth quarter of 2015 and the first </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">quarter of 2016 and a decline in the market value of Credit Suisse Group AG&#8217;s American Depositary Receipts, the SDNY denied defendants&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion for reconsideration of the court&#8217;s February 19, 2019 denial of defendants&#8217; motion to dismiss.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 8, 2020, in the putative class action brought in the SDNY relating to write-downs in the
fourth quarter of 2015 and the first </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">quarter of 2016 and a decline in the market value of Credit Suisse Group AG American Depositary Receipts, the parties entered into an
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreement to settle all claims for USD 15.5 million. A motion for preliminary approval of the proposed settlement was filed on July 10, 2020, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the court has scheduled a preliminary approval hearing for August 6, 2020. The settlement remains subject to final approval by the court. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">December 16, 2020, the court issued an order granting final approval to the settlement.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">FIFA-related matters</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In connection with investigations by US and Swiss government authorities into the involvement of financial institutions in the alleged </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">bribery and corruption surrounding the F&#233;d&#233;ration Internationale de Football Association (FIFA), Credit Suisse has received inquiries from these </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">authorities regarding its banking relationships with certain individuals and entities associated with FIFA, including but not limited to certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">persons and entities named and/or described in the May 20, 2015 indictment filed in United States v. Webb (E.D.N.Y. 15 CR 0252 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(RJD)(RML)). The US and Swiss authorities are investigating whether multiple financial institutions, including Credit Suisse, permitted the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">processing of suspicious or otherwise improper transactions, or failed to observe anti-money laundering laws and regulations, with respect to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accounts of certain persons and entities associated with FIFA. Credit Suisse is cooperating with the authorities on this matter. The Swiss </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Financial Market Supervisory Authority FINMA has announced the conclusion of its investigation.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">MPS</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In late 2014, the Monte dei Paschi di Siena Foundation (Foundation) filed a lawsuit in the Civil
Court of Milan, Italy seeking EUR 3 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">billion in damages jointly from Credit Suisse Securities (Europe) Limited (CSSEL), Banca Leonardo &amp; Co S.p.A. and former members of
the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Foundation&#8217;s management committee. The lawsuit relates to the fairness opinions CSSEL and Banca Leonardo &amp; Co S.p.A. delivered to the </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-183</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_54"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Foundation in connection with the EUR 9 billion
acquisition of Banca Antonveneta S.p.A. by Banca Monte dei Paschi di Siena S.p.A. (BMPS) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in 2008. BMPS funded the acquisition by a EUR 5 billion rights offer and the
issuance of unredeemable securities convertible into BMPS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">shares, in which the Foundation invested EUR 2.9 billion and EUR 490 million, respectively. The Foundation
alleges that the fairness opinions </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">were issued in the absence of key financial information. CSSEL believes that the claim lacks merit and is not supported by the available
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">evidence. In November 2017, the Civil Court of Milan rejected the Foundation&#8217;s claims, ruling in favor of CSSEL. In January 2018, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Foundation filed an appeal against this ruling.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 11, 2019, following a settlement, the Civil Court of Milan, Italy dismissed all claims against Credit Suisse Securities (Europe) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Limited (CSSEL) brought by the Monte dei Paschi di Siena Foundation (Foundation) relating to the fairness opinions CSSEL and Banca </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Leonardo &amp; Co S.p.A. delivered to the Foundation in connection with the EUR 9 billion acquisition of Banca Antonveneta S.p.A. by Banca </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Monte dei Paschi di Siena S.p.A. in 2008.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Icelandic banks</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CSSEL is defending clawback claims of USD 16 million and EUR 22 million brought by the Winding Up Committees (WUCs) of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Icelandic banks Kaupthing Bank hf and LBI hf (previously Landsbanki Islands hf) in the District Court of Reykjavik, Iceland. The claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">concern the buyback by the Icelandic banks of their own bonds from CSSEL in the months prior to the Icelandic banks&#8217; insolvency. The primary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">basis for the clawback is that the buybacks constituted early repayments of debt to CSSEL. In addition, CSI is defending a EUR 170 million </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">clawback claim brought by the WUC of Kaupthing Bank hf in the District Court of Reykjavik, Iceland. The claim relates to CSI&#8217;s issuance of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ten credit linked notes in 2008, which the WUC is seeking to challenge under various provisions of Icelandic insolvency law in order to claw </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">back funds paid to CSI. The WUCs are also claiming significant penalty interest under Icelandic law in respect of both the CSSEL and CSI </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims. CSSEL argues that the buyback transactions are governed by English or New York law and CSI argues that the purchase of the credit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">linked notes is governed by English law, neither of which provides a legal basis for such clawback actions. In October 2014, the Court of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">European Free Trade Association States issued a non-binding decision supporting CSI&#8217;s and CSSEL&#8217;s position that the governing law of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions is relevant. A trial was expected to take place in respect of the CSSEL claims in the second half of 2016 and in respect of the CSI </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claim in 2017. Separately, CSI is pursuing a claim for USD 226 million in the District Court of Reykjavik, Iceland against Kaupthing Bank hf&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">WUC in order to enforce certain security rights arising under a 2007 structured trade. CSI acquired the security rights following Kaupthing Bank </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">hf&#8217;s insolvency in 2008. A trial of this claim was expected to take place in 2017. In December 2016, CSSEL, CSI and Kaupthing ehf (formerly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Kaupthing Bank hf) entered into a settlement agreement and the Kaupthing related proceedings have now been concluded.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Italian investigation</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse AG has resolved a previously-disclosed Italian investigation into alleged tax and
money laundering issues through </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreements to pay an administrative tax penalty and an administrative sanction. The premise of the alleged tax liability was failure to
make </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">required disclosures regarding the activities of Italian clients, and Credit Suisse AG agreed to pay a EUR 18 million administrative tax penalty to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">resolve these claims. As discussed in &#8220;Note 23 &#8211; Tax&#8221;, Credit Suisse AG is also making a tax payment of EUR 83 million comprising EUR 70 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million of income tax, associated penalties and interest, on revenue associated with this matter, and EUR 13 million relating to tax and interest </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on an unrelated Italian tax matter. The premise of the alleged administrative liability was the inadequacy of historical internal controls, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse AG has entered an agreement under Article 63 of Italian Administrative Law 231 to pay EUR 8 million in disgorgement of profits </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and a EUR 1 million administrative sanction. This agreement under Law 231 is subject to judicial ratification. On December 14, 2016, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">competent Italian judge approved this agreement under Law 231, which marked the end of the investigation by the Italian authorities. No </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">admission of wrongdoing was required in connection with either agreement.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Net new assets-related matters</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 5, 2016, the SEC announced a settlement pursuant to which Credit Suisse agreed to pay USD 90 million and admitted that it </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">did not adequately disclose certain practices related to the recognition of net new assets during the period from 4Q11 until 4Q12.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">External asset manager matter</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Several clients have claimed that an external asset manager based in Geneva misappropriated
funds, forged bank statements, transferred </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">assets between client accounts at Credit Suisse as custodian to conceal losses and made investments without the authorization of
those clients. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse is investigating the claims. The Geneva Prosecutor&#8217;s Office initiated a criminal investigation against representatives of the external
</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-184</font></div>
</div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_55"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">asset manager and two former Credit Suisse employees.
This investigation was expanded in November 2018 to also include one former and one </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">current Credit Suisse AG employee and Credit Suisse AG itself in order to assess the
sufficiency of Credit Suisse AG&#8217;s controls and supervision. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse AG, in March 2019, reached a tentative settlement with the affected clients. In the third
quarter of 2019, Credit Suisse AG entered </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">into a two stage, conditional settlement agreement with affected clients. With the cooperation of the Geneva Prosecutor&#8217;s
Office, the first stage </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the settlement was completed in November 2019.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 15, 2021, the Geneva Prosecutor&#8217;s Office issued an order closing and discontinuing the criminal investigation against Credit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Suisse AG and its employees in connection with alleged criminal offenses committed by an external asset manager based in Geneva. In May </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2021, Credit Suisse completed the second and final stage of the settlement with affected clients.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">CFTC Speculative Position Limit Settlement</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 22, 2016, the CFTC announced an order for payment of penalties totally $665,000 by Credit Suisse International (&#8220;CSI&#8221;) of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">London, U.K. and Credit Suisse Securities (USA) LLC (&#8220;CSS USA&#8221;). The CFTC order required CSI to pay a $525,000 penalty for exceeding </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the CFTC all-months speculative position limit for CBOT wheat futures contracts on several days in April and June 2009. The CFTC order </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">required CSS USA to pay a $140,000 penalty for submitting false statements regarding certain positions held which would inflate the hedge </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exemptions for the wheat futures held in excess of the speculative position limits. In addition to the monetary penalties both CSI and CSS USA </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">were required to cease and desist from further similar violations of the CEA and CFTC regulations.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Mozambique matter</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse is responding to requests from regulatory and enforcement authorities related to Credit Suisse&#8217;s arrangement of loan </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financing to Mozambique state enterprises, Proindicus S.A. and Empresa Mocambiacana de Atum S.A. (EMATUM), a distribution to private </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investors of loan participation notes (LPN) related to the EMATUM financing in September 2013, and Credit Suisse&#8217;s subsequent role in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">arranging the exchange of those LPNs for Eurobonds issued by the Republic of Mozambique. Credit Suisse is cooperating with the authorities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on this matter.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On
January 3, 2019, the United States Attorney for the Eastern District of New York unsealed an indictment against several individuals in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">connection with the matter,
including three former Credit Suisse employees. Credit Suisse is cooperating with the authorities on this matter. On </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">February 27, 2019, certain Credit Suisse entities, the
same three former employees, and several other unrelated entities were sued in the English </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">High Court by the Republic of Mozambique. Credit Suisse has not yet been served.
Credit Suisse is aware of statements made by the Attorney </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">General of Mozambique and notes that it had no involvement in the transaction with Mozambique Asset Management
S.A. On January 21, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2020, Credit Suisse filed its defense.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 20, 2019 and July 19, 2019, two former Credit Suisse employees indicted by the United States Attorney for the Eastern District </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of New York pleaded guilty to accepting improper personal benefit in connection with financing transactions carried out with two Mozambique </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">state enterprises. On June 25, 2019, certain Credit Suisse entities were served with civil proceedings in the English High Court by the Republic </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Mozambique.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On
September 6, 2019, the third former Credit Suisse employee indicted by the United States Attorney for the Eastern District of New </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">York pleaded guilty to accepting improper
personal benefit in connection with financing transactions carried out with two Mozambique state </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">enterprises, ProIndicus S.A. and Empresa Mocambiacana de Atum S.A.
(EMATUM). Credit Suisse continues to cooperate with, and respond to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">requests from, regulatory and enforcement authorities in connection with these
transactions.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Separately, certain Credit Suisse entities are defending civil
proceedings brought by the Republic of Mozambique in the English High </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Court. The Republic of Mozambique seeks a declaration that the sovereign guarantee issued in
connection with the ProIndicus loan syndication </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">arranged and funded, in part, by a Credit Suisse subsidiary is void and also seeks unspecified damages alleged to have
arisen in connection with </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the transactions involving ProIndicus and EMATUM, and a transaction in which Credit Suisse had no involvement with Mozambique Asset </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Management S.A.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On
February 27, 2019, certain Credit Suisse entities, the same three former employees, and several other unrelated entities were sued in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the English High Court by the
Republic of Mozambique. On January 21, 2020, the 410 Consolidated financial statements &#8211; Credit Suisse Group </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse entities filed their defense. On June 26,
2020 the Credit Suisse entities filed third party claims against the project contractor and </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-185</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_56">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">several
Mozambique officials. The Republic of Mozambique filed an updated Particulars of Claim on October 27, 2020, and the Credit Suisse </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">entities filed their amended defense and
counterclaim on January 15, 2021. The Republic of Mozambique seeks a declaration that the sovereign </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">guarantee issued in connection with the ProIndicus loan syndication
arranged and funded, in part, by a Credit Suisse subsidiary is void and also </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">seeks unspecified damages alleged to have arisen in connection with the transactions involving
ProIndicus and EMATUM, and a transaction in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">which Credit Suisse had no involvement with Mozambique Asset Management S.A. Also on January 15, 2021, the project contractor
filed a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">cross claim against the Credit Suisse entities (as well as the three former Credit Suisse employees and various Mozambican officials) seeking an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">indemnity and/or contribution in the event that the contractor is found liable to the Republic of Mozambique.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 27, 2020, Banco Internacional de Mo&#231;ambique (BIM), a member of the ProIndicus
syndicate, brought a claim against certain </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse entities seeking, contingent on the Republic of Mozambique&#8217;s claim, a declaration that Credit Suisse is
liable to compensate it for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleged losses suffered as a result of any invalidity of the sovereign guarantee. The Credit Suisse entities filed their defense to this claim
on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">August 28, 2020, to which BIM replied on October 16,
2020.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On December 17, 2020, two members of the ProIndicus syndicate, Beauregarde Holdings LLP and Orobica Holdings LLC, filed a claim </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against certain Credit Suisse entities in respect of their interests in the ProIndicus loan, seeking unspecified damages stemming from the alleged </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">loss suffered due to their reliance on representations made by Credit Suisse to the syndicate lenders.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse is continuing to respond to requests from regulatory and enforcement authorities regarding certain Credit Suisse entities&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">participation in transactions involving Mozambique state enterprises, and is in ongoing dialogue with certain of these authorities regarding the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">nature of Credit Suisse&#8217;s role.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse is in ongoing dialogue with regulatory and enforcement authorities regarding their inquiries into certain Credit Suisse </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">entities&#8217; arrangement of loan financing to Mozambique state enterprises, Proindicus S.A. and Empresa Mocambiacana de Atum S.A. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(EMATUM), a distribution to private investors of loan participation notes (LPN) related to the EMATUM financing in September 2013, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain Credit Suisse entities&#8217; subsequent role in arranging the exchange of those LPNs for Eurobonds issued by the Republic of Mozambique.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The English High Court has scheduled trial to begin in October 2023 in the litigation filed by
the Republic of Mozambique against certain </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse entities, three former employees and several other unrelated entities.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 3, 2021, United Bank for Africa PLC, a member of the ProIndicus syndicate, brought a
claim against certain Credit Suisse </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">entities seeking, contingent on the Republic of Mozambique&#8217;s claim, a declaration that Credit Suisse is liable to compensate it
for alleged losses </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">suffered as a result of any invalidity of the sovereign guarantee. The Credit Suisse entities filed their defense to this claim on July 1,
2021.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Mossack Fonseca/Israel Desk matters</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse, along with many financial institutions, has received inquiries from governmental
and regulatory authorities concerning </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">banking relationships between financial institutions, their clients and the Panama-based law firm of Mossack Fonseca. Credit Suisse
has also </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">received governmental and regulatory inquiries concerning cross-border services provided by Credit Suisse&#8217;s Switzerland-based Israel Desk. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse is conducting a review of these issues and has been cooperating with the authorities.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Cross-border private banking matters</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse offices in various locations, including the UK, the Netherlands and France, have been contacted by regulatory and law </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">enforcement authorities that are seeking records and information concerning investigations into our historical private banking services on a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cross-border basis and in part through our local branches and banks. Credit Suisse has conducted a review of these issues, the UK aspects of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which have now been closed with no action being taken against the bank, and is continuing to cooperate with the authorities. Credit Suisse </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">applies a strict zero tolerance policy on tax evasion. Separately, an inquiry has been opened in Belgium similar to the ongoing reviews. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Currently, we cannot predict with any reasonable certainty the outcome of any of the ongoing investigations.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">XIV ETN litigation</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 14, 2018, Credit Suisse Group AG and certain executives were named in a class action complaint filed in the SDNY on behalf </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of a putative class of purchasers of VelocityShares Daily Inverse VIX Short Term Exchange Traded Notes linked to the S&amp;P 500 VIX </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-186</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_57"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Short-Term Futures Index due December 4, 2030 (XIV
ETNs), asserting claims for violations of Sections 10(b) and 20(a) of the US Securities </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Exchange Act of 1934 and Rule 10b-5 thereunder, alleging that the defendants are
responsible for losses to investors following a decline in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">value of XIV ETNs on February 5, 2018. Separately, on March 15, 2018, Credit Suisse AG and Janus Index &amp;
Calculation Services LLC were </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">named in a class action complaint filed in the SDNY on behalf of a putative class of purchasers of XIV ETNs, asserting claims for violations
of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Section 11 of the US Securities Act of 1933 and Section 10(b) of the US Securities Exchange Act of 1934 and Rule 10b-5 thereunder, alleging </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that the defendants are responsible for investors&#8217; XIV ETN losses.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 20, 2018, plaintiffs in the SDNY litigation brought by a putative class of purchasers of VelocityShares Daily Inverse VIX </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Short Term Exchange Traded Notes linked to the S&amp;P 500 VIX Short-Term Futures Index due December 4, 2030 (XIV ETNs) filed a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consolidated amended complaint against Credit Suisse Group AG and affiliates and certain executives. On September 25, 2019, the SDNY </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">granted defendants&#8217; motion to dismiss and dismissed with prejudice all claims against the defendants. On October 18, 2019, plaintiffs filed a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">notice of appeal.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition to the previously disclosed putative class actions relating to the VelocityShares
Daily Inverse VIX Short Term Exchange </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Traded Notes linked to the S&amp;P 500 VIX Short-Term Futures Index due December 4, 2030 (XIV ETNs), Credit Suisse AG was named in an
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">individual civil action on April 17, 2018 in the Northern District of Alabama that makes allegations similar to the two putative class actions. It is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">possible that additional individual and/or class actions could be brought against Credit Suisse AG and/or its affiliates and certain executives in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the future. In the individual civil action in US federal court in Alabama asserting similar claims, on August 10, 2018, defendants filed a motion </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to transfer the action to the SDNY and, on September 26, 2018, filed a motion to dismiss the complaint. On December 17, 2018, defendants&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion to dismiss was denied. On December 4, 2018, plaintiffs filed an amended complaint, which defendants moved to dismiss on January 11, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019. On August 22, 2019, the granted in part and denied in part defnedants&#8217; motion to dismiss.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On February 4, 2019, Credit Suisse Group AG and certain affiliates and executives, along with Janus Index &amp; Calculation Services LLC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and affiliates, were named in a separate individual action brought in the EDNY, which asserts claims substantially similar to those brought in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consolidated action.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On February 4, 2019, Credit Suisse Group AG and certain affiliates and executives, along with
Janus Index &amp; Calculation Services LLC </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and affiliates, were named in a class action complaint filed in the SDNY brought on behalf of a putative class of purchasers of
VelocityShares </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Daily Inverse VIX Medium Term Exchange Traded Notes linked to the S&amp;P 500 VIX Mid-Term Futures Index due December 4, 2030 (ZIV </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ETNs). The complaint asserts claims for violations of Sections 9(a)(4), 9(f), 10(b) and 20(a) of the US Securities Exchange Act of 1934 and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Rule 10b-5 thereunder and Sections 11 and 15 of the US Securities Act of 1933 and alleges that the defendants are responsible for losses to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investors following a decline in the value of ZIV ETNs in February 2018. On August 20, 2019, plaintiffs filed an amended complaint. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">October 21, 2019, defendants filed a motion to dismiss.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 29, 2019, in the individual action brought in the EDNY by a purchaser of VelocityShares Daily Inverse VIX Short Term </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Exchange Traded Notes linked to the S&amp;P 500 VIX Short-Term Futures Index due December 4, 2030, plaintiff voluntarily dismissed its action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and filed a substantially similar complaint in the SDNY.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 16, 2019, in the individual action brought in the SDNY by a purchaser of VelocityShares Daily Inverse VIX Short Term </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Exchange Traded Notes linked to the S&amp;P 500 VIX Short-Term Futures Index due December 4, 2030 (XIV ETNs), defendants filed a motion to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss. On January 2, 2020, the SDNY granted defendants&#8217; motion to dismiss. On February 3, 2020, plaintiff filed a notice of appeal.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 3, 2019, Credit Suisse Group AG and certain affiliates and executives were named in a
separate individual action brought in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">SDNY by a purchaser of XIV ETNs, which asserts claims similar to those brought in the consolidated class action complaint as well
as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">additional claims under New York and Pennsylvania state law. On November 12, 2019, defendants filed a motion to dismiss. Plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">responded to the motion to dismiss by filing an amended complaint in lieu of opposing the motion to dismiss. The action has been stayed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pending a resolution of the appeal in the consolidated class action.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 14, 2020, in the individual action filed on March 29, 2019 in the SDNY by a purchaser of VelocityShares Daily Inverse VIX </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Short Term Exchange Traded Notes linked to the S&amp;P 500 VIX Short-Term Futures Index due December 4, 2030 (XIV ETNs), plaintiff filed a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion for voluntary dismissal with prejudice of its appeal, which was granted by the Second Circuit on April 15, 2020.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-187</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_58"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 4, 2021, in the individual
action brought in the SDNY by a purchaser of VelocityShares Daily Inverse VIX Short Term Exchange </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Traded Notes linked to the S&amp;P 500 VIX Short-Term Futures Index due
December 4, 2030 (XIV ETNs), which asserts claims similar to those </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">brought in the consolidated class action complaint as well as additional claims under Pennsylvania state
law, plaintiff filed an amended </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint. On July 19, 2021, Credit Suisse AG filed a motion to dismiss.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the class action in the SDNY brought on behalf of a putative class of purchasers of
VelocityShares Daily Inverse VIX Medium Term </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Exchange Traded Notes linked to the S&amp;P 500 VIX Mid-Term Futures Index due December 4, 2030 (ZIV ETNs), plaintiffs did not
appeal the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">decision by the SDNY to dismiss all claims against the defendants and the judgment is now final.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 1, 2020, in the individual civil action filed on April 17, 2018 in the Northern
District of Alabama against Credit Suisse AG as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">well as Janus Index &amp; Calculation Services LLC relating to the VelocityShares Daily Inverse VIX Short Term Exchange
Traded Notes linked to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the S&amp;P 500 VIX Short-Term Futures Index due December 4, 2030 (XIV ETNs), plaintiffs voluntarily dismissed with prejudice their claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against Credit Suisse AG.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 27, 2021, in the consolidated action in the SDNY brought by a putative class of purchasers of VelocityShares Daily Inverse VIX </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Short Term Exchange Traded Notes linked to the S&amp;P 500 VIX Short-Term Futures Index due December 4, 2030 (XIV ETNs), the Second </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Circuit issued an order affirming in part and vacating in part the SDNY&#8217;s decision granting defendants&#8217; motion to dismiss.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">TWINT</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On November 13, 2018, COMCO announced an investigation into several Swiss financial institutions, including UBS Switzerland AG, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Credit Suisse (Schweiz) AG, Aduno Holding AG, PostFinance AG, and Swisscard AECS GmbH. According to COMCO, its investigation is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">focused on whether these institutions entered into an agreement to boycott mobile payment solutions of international providers, including Apple </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Pay and Samsung Pay, in order to protect TWINT, their own Swiss payment solution.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SWM</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CSI is the defendant in a lawsuit brought by the German public utility company Stadtwerke
M&#252;nchen GmbH in a German court, in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">connection with a series of interest rate swaps entered into between 2008 and 2012. The claimant alleges breach of an advisory duty
to provide </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">both investor- and investment-specific advice, including in particular a duty to disclose the initial mark-to-market value of the trades </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">at inception.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On
March 22, 2019, the trial court (the Regional Court of Frankfurt am Main) dismissed in their entirety claims against Credit Suisse </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">International brought by the German
public utility company Stadtwerke M&#252;nchen GmbH in connection with a series of interest rate swaps </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">entered into between 2008 and 2012.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 29, 2019, the German public utility company Stadtwerke M&#252;nchen GmbH filed a notice
of appeal of the decision of the trial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">court (the Regional Court of Frankfurt am Main) dismissing all claims against Credit Suisse International in connection with a
series of interest </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">rate swaps entered into between 2008 and 2012. On November 29, 2019, the court ruled on the supplementary judgment application, finding that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SWM was entitled to a refund of negative interest from CSI. CSI is appealing this ruling.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Bulgarian former clients matter</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Credit Suisse AG has been responding to an investigation by the Swiss Office of the Attorney General concerning the diligence and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">controls applied to a historical relationship with Bulgarian former clients who are alleged to have laundered funds through Credit Suisse AG </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accounts. On December 17, 2020, the SOAG brought charges against Credit Suisse AG and other parties. Credit Suisse AG believes its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">diligence and controls complied with applicable legal requirements, and intends to defend itself vigorously.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Following charges brought in 2020 by the Swiss Office of the Attorney General against Credit
Suisse AG and other parties concerning the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">diligence and controls applied to a historical relationship with Bulgarian former clients who are alleged to have laundered
funds through Credit </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Suisse AG accounts, the Swiss Federal Criminal Court has scheduled trial to take place in February 2022.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SCFF and Archegos matters</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-188</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_59">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">We have received requests for documents and information in connection with inquiries, investigations and/or actions relating to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">supply chain finance fund (SCFF) and/or Archegos matters by FINMA, the DOJ, the US Securities and Exchange Commission (SEC), the US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Federal Reserve, the Commodity Futures Trading Commission (CFTC), the US Senate Banking Committee, the UK Financial Conduct </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authority (FCA) and other regulatory and governmental agencies. Credit Suisse is cooperating with the authorities on these matters. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">connection with FINMA&#8217;s enforcement actions, third parties appointed by it will conduct investigations into these matters. The Luxembourg </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commission de Surveillance du Secteur Financier (CSSF) has also announced its intention to review the SCFF matter through a third party.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 16, 2021, Credit Suisse Group AG and certain current and former executives were named in
a putative class action complaint </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed in the SDNY by a holder of Credit Suisse American Depositary Receipts, asserting claims for violations of Sections 10(b) and 20(a)
of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">US Securities Exchange Act of 1934 and Rule 10b-5 thereunder, alleging that defendants violated US securities laws by making material </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">misrepresentations and omissions regarding Credit Suisse&#8217;s risk management practices with respect to the SCFF and Archegos matters.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As these matters develop, we may become subject to additional litigation and regulatory
inquiries, investigations and actions.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Additional references</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Additional references (and links) to certain publicly-available documents and resources that
discuss various administrative, civil, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">enforcement or criminal complaints or actions filed against CSS LLC during the past three years can be found in Section 7 of CSS
LLC&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;Commodity Futures Trading Commission Rule 1.55(k): FCM-Specific Disclosure Document,&#8221; a link to which is available at:
https://www.credit-suisse.com/us/en/investment-banking/about-investment-banking/customer-notices.html.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Included by the Sponsor from the NFA website and not provided by CSS</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to an offer of settlement in which CSS neither admitted nor denied the rule violations upon which the penalty is based, on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">October 15, 2020, the Clearing House Risk Committee found that CSS violated CBOT Rules 930.D., 930.E.1., 930.E.2., 930.F. and 982. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accordance with the settlement offer, the Committee imposed a $100,000 fine, effective October 16, 2020.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CSS was issued a summary fine in the amount of $2,500 for violating Rule 2.22 by reporting inaccurate open interest for the July 2020 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Cocoa futures contract for trade date June 11, 2020. For this violation, CSS was fined $2,500, effective November 30, 2020.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CBOE Case #: 0002397. A Rule 714 Summary Fine-First Offense was issued to Credit Suisse
Securities (USA) LLC for a violation of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">CFE Rule 407(a). Action Type: Trade Practice Fine: $5,000 Effective Date: 05/26/2021</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">ICE Case #: 2020-023. Credit Suisse Securities (Europe) Ltd. was issued a summary fine in the
amount of $2,000 for violating </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Rule 4.15(a) by failing to properly assign each Automated Trading System a unique identification for the purpose of routing orders </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">automatically to the ETS. Action Type: Office Recordkeeping Fine:
$2,000</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CBOT Case #: 21-CH-2111. Pursuant to an offer of settlement in which Credit Suisse Securities (USA) LLC neither admitted nor denied </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the rule violations upon which the penalty is based, on August 19, 2021, the Clearing House Risk Committee found that Credit Suisse Securities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(USA) LLC violated CBOT Rules 930.D., 930.E.1., 930.E.2. and 930.F. Action Types: Clearing Procedures In accordance with the settlement </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">offer, the Committee imposed a $150,000 fine. Effective Date: 08/20/2021</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">StoneX Financial Inc. &#8211; FCM (f/k/a INTL FCStone Financial Inc. - FCM Division)</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On November 14, 2017, INTL FCStone Financial Inc., without admission or denial or liability, entered into a settlement with the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commodity Futures Trading Commission (&#8220;CFTC&#8221;). The CFTC found that INTL FCStone Financial Inc. failed to have adequate compliance </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">controls to identify trades improperly designated as EFRPs. According to the CFTC Order, the firm failed to determine that the EFPs at issue </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">had the necessary corresponding and related cash or OTC derivative position required for EFRPs. The CFTC Order also found that the firm </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">failed to ensure that the EFPs at issue were documented properly. Finally, the firm failed to ensure that its employees involved in the execution, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">handling, and processing of EFRPs understood the requirements for executing, handing, and processing valid EFRPs. INTL FCStone </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Financial Inc., and its affiliate FCStone Merchant Services, jointly paid a $280,000 civil monetary penalty to the CFTC.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">After a historic move in the natural gas market in November of 2018, INTL FCStone Financial Inc.
&#8211; FCM Division (&#8220;IFF&#8221;) experienced </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">a number of customer deficits. IFF soon thereafter initiated NFA arbitrations, seeking to collect these debits, and
has also been countersued and </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-189</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_60">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">sued in a
number of these arbitrations. These accounts were managed by Optionsellers.com, (&#8220;Optionsellers&#8221;) who is a Commodity Trading </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Advisor (&#8220;CTA&#8221;)
authorized by investors to act as attorney-in-fact with exclusive trading authority over these investors&#8217; trading accounts. These </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">accounts cleared through IFF. After
this significant and historic natural gas market movement, the accounts declined below required </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">maintenance margin levels. IFF&#8217;s role in managing the accounts was
limited. As a clearing firm, IFF did not provide any investment advice, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading advice, or recommendations to customers of Optionsellers who chose to clear with IFF.
Instead, it simply executed and cleared trades </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">placed by Optionsellers on behalf of Optionsellers&#8217; customers. Optionsellers is a CFTC registered CTA operating under
a CFTC Rule 4.7 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exemption from registration. Optionsellers engaged in a strategy that primarily involved selling options on futures products. The arbitrations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">between IFF, Optionsellers, and the Optionsellers customers are currently ongoing.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Futures Commission Merchant (&#8220;FCM&#8221;) division of the INTL FCStone Financial, Inc. (&#8220;IFF&#8221;) is subject to litigation and regulatory </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">enforcement in the normal course of business. Except as discussed above, the current or pending civil litigation, administrative proceedings, or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">enforcement actions in which the firm is involved are not expected to have a material effect upon its condition, financial or otherwise. The firm </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">vigorously defends, as a matter of policy, civil litigation, reparation, arbitration proceedings, and enforcement actions brought </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against it.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;font-weight:bold;">Included by the Sponsor and not provided by StoneX</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Investor claims against Optionsellers exceed $100 million.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">UBS Securities LLC</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS Securities LLC (&#8220;UBS Securities&#8221;) principal business address is 1285 Avenue of the Americas, New York, NY 10019. UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Securities is a futures clearing broker for the Trust. UBS Securities is registered in the US with the Financial Industry Regulatory Authority </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(FINRA) as a Broker-Dealer and with the National Futures Association (NFA) as a Futures Commission Merchant. UBS Securities is a member </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of various US futures and securities exchanges.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS Securities is and has been a defendant in numerous legal proceedings, including actions brought by regulatory organizations and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">government agencies, relating to its securities and commodities business that allege various violations of federal and state securities laws. UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">AG, the ultimate parent company to UBS Securities LLC, files annual reports and quarterly reports to the SEC in which it discloses material </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">information about UBS matters, including information about any material litigation or regulatory investigations. Actions with respect to UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Securities&#8217; futures commission merchant business are publicly available on the website of the NFA (http://www.nfa.futures.org/) and with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">respect to UBS Securities&#8217; brokerage business are publicly available on the website of FINRA. (http://www.finra.org). Additional details are set </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">out in UBS&#8217;s Statement of Financial Condition, which can be found at https://www.ubs.com/global/en/investment-bank/ib/llc-financials.html.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS Securities operates in a legal and regulatory environment that exposes it to significant litigation and similar risks arising from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">disputes and regulatory proceedings. As a result, UBS Securities is involved in various disputes and legal proceedings, including litigation, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">arbitration, and regulatory and criminal investigations.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Such matters are subject to many uncertainties, and the outcome and the timing of resolution are often difficult to predict, particularly in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the earlier stages of a case. There are also situations where UBS Securities may enter into a settlement agreement. This may occur in order to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">avoid the expense, management distraction or reputational implications of continuing to contest liability, even for those matters for which UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Securities believes it should be exonerated. The uncertainties inherent in all such matters affect the amount and timing of any potential outflows </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for both matters with respect to which provisions have been established and other contingent liabilities.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS Securities makes provisions for such matters brought against it when, in the opinion of management after seeking legal advice, it is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">more likely than not that UBS Securities has a present legal or constructive obligation as a result of past events, it is probable that an outflow of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">resources will be required, and the amount can be reliably estimated.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Where these factors are otherwise satisfied, a provision may be established for claims that have not yet been asserted against UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Securities but are nevertheless expected to be, based on UBS Securities&#8217;s experience with similar asserted claims.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">If any of those conditions is not met, such matters result in contingent liabilities. If the
amount of an obligation cannot be reliably </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">estimated, a liability exists that is not recognized even if an outflow of resources is probable. Accordingly, no provision is
established even if the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">potential outflow of resources with respect to such matters could be significant.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Specific litigation, regulatory and other matters are described below, including all such matters
that management considers to be material </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and others that management believes to be of significance due to potential financial, reputational and other effects. The amount
of damages </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-190</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_61"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">claimed, the size of a transaction or other information is provided where available and appropriate in order to assist users in
considering the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">magnitude of potential exposures. It is not practicable to provide an aggregate estimate of liability for our litigation, regulatory and similar </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">matters as a class of contingent liabilities.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Doing so would require us to provide speculative legal assessments as to claims and proceedings that involve unique fact patterns or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">novel legal theories, which have not yet been initiated or are at early stages of adjudication, or as to which alleged damages have not been </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">quantified by the claimants. Although we therefore cannot provide a numerical estimate of the future losses that could arise from the class of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">litigation, regulatory and similar matters, we believe that the aggregate amount of possible future losses from this class that are more than remote </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">substantially exceeds the level of current provisions. Litigation, regulatory and similar matters may also result in non-monetary penalties and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consequences. For example, the non-prosecution agreement which the Parent entered into with the U.S. Department of Justice (&#8220;DOJ&#8221;), </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Criminal Division, Fraud Section in connection with its submissions of benchmark interest rates, including among others the British Bankers&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Association London Interbank Offered Rate (&#8220;LIBOR&#8221;), was terminated by the DOJ based on its determination that the Parent had committed a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8220;US&#8221; crime in relation to foreign exchange matters.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As a consequence, UBS AG pleaded guilty to one count of wire fraud for conduct in the LIBOR matter, paid a fine of $100 million and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">was subject to probation, which ended in January 2020. A guilty plea to, or conviction of, a crime could have material consequences for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Parent or UBS Securities.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Resolution of regulatory proceedings may require the Parent or UBS Securities to obtain waivers of regulatory disqualifications to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">maintain certain operations, may entitle regulatory authorities to limit, suspend or terminate licenses and regulatory authorizations and may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">permit financial market utilities to limit, suspend or terminate participation in such utilities. Failure to obtain such waivers, or any limitation, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">suspension or termination of licenses, authorizations or participations could have material consequences for the Parent or UBS Securities.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Residential Mortgage-backed Securities and Mortgages. From 2002 through 2007, prior to the crisis
in the U.S. residential loan market, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS Securities was a substantial underwriter of U.S. RMBS.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In November 2018, the DOJ filed a civil complaint in the U.S. District Court for the Eastern
District of New York. The complaint seeks </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">unspecified civil monetary penalties under the Financial Institutions Reform, Recovery and Enforcement Act of 1989 related to
UBS&#8217;s issuance, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">underwriting and sale of 40 residential mortgage backed securities transactions in 2006 and 2007. The Parent and UBS Securities moved to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss the civil complaint on February 6, 2019. On December 10, 2019 the district court denied the motion to dismiss.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Government Bonds. Putative class actions have been filed since 2015 in US federal courts against
UBS Securities, the Parent and other </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">banks on behalf of persons who participated in markets for US Treasury securities since 2007. A consolidated complaint was filed in
2017 in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">US District Court for the Southern District of New York alleging that the banks, including UBS Securities, colluded with respect to, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">manipulated prices of, US Treasury securities sold at auction and in the secondary market and asserting claims under the antitrust laws and for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unjust enrichment. Defendants&#8217; motions to dismiss the consolidated complaint are pending. Similar class actions have been filed concerning </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">European government bonds. Government sponsored entities (&#8216;GSE&#8221;) bonds: Starting in February 2019, class action complaints were filed in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">US District Court for the Southern District of New York against UBS Securities and other banks on behalf of plaintiffs who traded GSE bonds. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">A consolidated complaint was filed alleging collusion in GSE bond trading between January 1, 2009 and January 1, 2016.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In December 2019, UBS Securities and eleven other defendants agreed to settle the class action
for a total of $250,000. The settlement </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">has been approved by the court and this matter is now resolved. Additionally, UBS Securities, the Parent and reportedly other banks
are </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">responding to investigations and requests for information from various authorities regarding US Treasury securities and other government bond </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading practices. As a result of its review to date, UBS Securities and the Parent have taken appropriate action.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Interest rate swaps and CDS matters. In 2016, putative class action plaintiffs filed consolidated
amended complaints in the Southern </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">District of New York against numerous financial institutions and others, including UBS Securities and the Parent, alleging violations of
the US </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sherman Antitrust Act and common law. Plaintiffs allege that the defendants unlawfully conspired to restrain competition in the market for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Interest Rate Swap (&#8220;IRS&#8221;) trading. Plaintiffs assert claims on behalf of all purchasers and sellers of IRS that transacted directly with any of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dealer defendants since January 1, 2008, and seek unspecified trebled compensatory damages and other relief. The operators of two swap </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">execution facilities (&#8220;SEFs&#8221;) filed complaints raising similar allegations. In July 2017, the court granted in part and denied in part defendants&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motions to dismiss, limiting the claims to the time period 2013-2016, and dismissing certain state-law claims and claims against certain other </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-191</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_62"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants. In March 2019, the court denied in part and
granted in part class plaintiffs&#8217; motion for leave to file a fourth amended complaint, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">rejecting plaintiffs&#8217; request to add allegations covering the time
period 2008-2012 but allowing plaintiffs to add allegations relating to the time </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">period 2013-2016 (the time period covered by the operative complaint). A third SEF filed a
complaint in June 2018 and an amended complaint </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in August 2018 alleging conduct similar to the conduct alleged by the other SEF plaintiffs but continuing into 2018.
Defendants have moved to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss the third SEF&#8217;s amended complaint, and in November 2018 the court granted the motion in part and denied it in part, dismissing
certain </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">state-law claims but permitting certain federal and state claims relating to the time period 2013-2018. In June 2017, one of the SEF plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed a complaint raising allegations similar to those in the IRS litigation with respect to the trading of credit default swaps. Defendants have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">moved to dismiss that complaint and, in September 2018 and July 2019, certain defendants&#8217; motions, including the Parent&#8217;s, were granted. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SEF plaintiff filed an amended complaint in January 2020 and, in April 2020, the remaining defendants, including the</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Company, moved to dismiss the amended complaint. Following the filing of the first class
complaint the Parent was served with a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">subpoena from the U.S. Commodity Futures Trading Commission (&#8220;CFTC&#8221;) seeking documents and information regarding UBS
Securities&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">swap trading and Futures Commission Merchant businesses going back to 2008.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Southern District of New York against six stock lending prime broker defendants, including UBS
Securities, its Parent and affiliates, as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">well as EquiLend, a trading platform and purveyor of posttrade services. The named plaintiffs purport to represent a class of all
persons or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">entities that entered into stock loan transactions in the United States with one of the prime broker defendants since January 7, 2009. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs allege that the defendants conspired to block the evolution of the stock lending market from an OTC environment, in which stock loans </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">are intermediated by prime brokers, to an electronic market, in which borrowers and lenders can transact directly with one another. Plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">allege violations of Section 1 of the Sherman Act and New York State law and seek unspecified treble damages, fees and costs. In September </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2018, the court overseeing the litigation denied defendants&#8217; motions to dismiss. In January 2018 and November 2018, respectively, QS Holdco </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and SL-x, entities associated with defunct stock lending platforms, each filed an action in the Southern District of New York raising claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">similar to the class plaintiffs&#8217; claims and also seeking treble damages and other relief. Defendants have moved to dismiss the QS Holdco and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SL-x complaints. In May 2019, different SL-x affiliates filed an additional complaint, raising similar allegations. Defendants&#8217; motion to dismiss </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the prior SL-x complaint applies to the new complaint as well. In August 2019, the court dismissed the QS Holdco complaint, and in January </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2020, the court denied QS Holdco&#8217;s motion to alter or amend the judgment.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Included by the Sponsor from the NFA website and not provided by UBSS</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CME Case #: 21-0621-CTRA. Pursuant to the results of a back office CTR exam, for trade dates January 4, 2021 through March 31, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2021, UBS Securities, LLC&#8217;s data entry errors for sequenced cards, verbal orders, and floor orders exceeded the 10% threshold level mandated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by Rule 536.F. Pursuant to the Rule 536.F sanction schedule, UBS Securities, LLC was issued a $2,500 fine on July 16, 2021 for its first </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violation of Rule 536.F. within 24 months. Effective Date: 08/03/2021</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CBOT Case #: 21-CH-2109. Pursuant to an offer of settlement in which UBS Securities LLC neither admitted nor denied the rule </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violations upon which the penalty is based, on August 19, 2021, the Clearing House Risk Committee found that UBS Securities LLC violated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CBOT Rules 930.E.1., 930.E.2., 930.E.3. and 930.F. In accordance with the settlement offer, the Committee imposed a $75,000 fine. Effective </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Date: 08/20/2021</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">ICE Case #: 2019-037 (included by the Sponsor from the NFA website and not provided by UBSS)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 27, 2020, UBSS was issued a summary fine in the amount of $2,000 for violating Exchange Rule 4.15(a) an 4.15(b) by failing to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">assign a unique identification and not affixing the necessary Authorized Trader Identifications found in multiple orders from August 26, 2019 to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">October 3, 2019. The product involved was the MSCI Emerging Markets Index Futures (MME).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">MGE Case #: 19-I-22 (included by the Sponsor from the NFA website and not provided by UBSS)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBSS failed to submit accurate long September Spring Wheat futures positions during the delivery period in apparent violation of MGEX </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Regulations 1227.00 and 2100.00 and MGEX Resolution 2101.C.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 26, 2019, pursuant to the summary fine schedule in MGEX Regulation 1227.00 a $1,000 fine was assessed for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the violation.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-192</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_63">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">OCX Case #: 2018-82 (included by the Sponsor from the NFA website and not provided by UBSS)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to a written offer of settlement that UBSS presented on July 9, 2019, in which UBSS neither admitted nor denied the Rule </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violations upon which the penalty is based, UBSS consented to the finding by the OneChicago, LLC Regulatory Oversight Committee (&#8220;ROC&#8221;) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on July 12, 2019 that it failed to provide audit trail information for an August 2018/September 2018 spread trade in KBE1D futures on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">August 13, 2018 in violation of OneChicago Rules 403(c) and 502.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Further, UBSS consented to the finding by the ROC that it failed to provide, in a timely fashion, written supervisory procedures and audit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trail information for a trade in March 2018 BKNG1D on March 12, 2018, a trade in June 2018 NRG1D futures on May 23, 2018 and a trade in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 2018 BBD1D futures on August 14, 2018 in violation of OneChicago Rule 502. There was no customer harm.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 21, 2019 and in accordance with the terms of settlement, UBSS agreed to pay a monetary
penalty of $7,500.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CBOT Case #:
19-CH-1903 (included by the Sponsor from the NFA website and not provided by UBSS)</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to an offer of settlement in which UBSS neither admitted nor denied the rule violations
upon which the penalty is based, on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">June 27, 2019, the Clearing House Risk Committee found that UBSS violated CBOT Rules 930.E., 930.F., 971.A., 980.A. and 980.B. In
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">accordance with the settlement offer, the Committee imposed a $100,000 fine, effective June 28, 2019</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CME Case #: 19-9962 (included by the Sponsor from the
NFA website and not provided by UBSS)</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">During January 2019, UBSS violated Rule 853 by reporting transfer trades with inaccurate indicators. On April 4, 2019, UBSS, pursuant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to Rule 512(&#8220;Reporting Infractions&#8221;), was issued a $4,000 fine by the 512 Committee for its violation of Rule 853. It became effective on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">April 22, 2019.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CME Case #: 19-9920 CTRA (included by the Sponsor from the NFA website and not provided by UBSS)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to the results of a back office CTR exam, for trade dates January 2, 2019 through January 31, 2019, UBSS&#8217;s data entry errors for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sequenced cards, verbal orders, and floor orders exceeded the 10% threshold level mandated by Rule 536.F. Pursuant to the Rule 536.F sanction </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">schedule, UBSS was issued a $2,500 fine on March 22, 2019, for its first violation of Rule 536.F. within 24 months. It became effective on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">April 8, 2019.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CBOE Case #: CFE 18-0007 (included by the Sponsor from the NFA website and not provided by UBSS)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On various dates throughout 2017, UBSS made erroneous adjustments to OI causing overall exchange open interest in the expiring VX </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contract to be inaccurately reported. As such, UBSS was fined $15,000 on January 23, 2019 for violations of CFE Rule 410a - Reporting Open </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Interest Information to the Clearing Corporation.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">OCX Case #: OCX 2016-35 (included by the Sponsor from the NFA website and not provided by UBSS)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Between December 2014 and June 2016, in 13 trades across 7 different single stock futures in 6 different monthly expirations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(December 19, 2014, September 18, 2015, December 18, 2015, March 18, 2016, April 15, 2016 and June 17, 2016), UBSS engaged in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pre-execution discussions with its customers and subsequently consummated trades based on those pre-execution discussions. The trades were </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consummated by first entering a proprietary order, and then entering the customer order. UBSS was unable to locate communication records for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">some of these 13 trades. As such, UBSS was fined $35,000 on April 12, 2018 for violations of Rule 611 (Trading Against Customers Orders) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and Rule 502 (Inspection and Delivery) by the OCX Regulatory Oversight Committee.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CME Case #: DQA-18-9560 (included by the Sponsor from the NFA website and not provided by UBSS)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">During December 2017 and February 2018, UBSS violated Rule 853 by reporting transfer trades with inaccurate indicators. On March 16, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2018, UBSS, pursuant to Rule 512 (&#8220;Reporting Infractions&#8221;), was issued a $2,000 fine by the 512 Committee for its violation of Rule 853. It </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">became effective on April 3, 2018.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">ICE Case #: 2017-048 (included by the Sponsor from the NFA website and not provided by UBSS)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-193</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_64">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Exchange Rule 6.10 by failing to ensure that the proper CTI codes were affixed to orders entered on behalf of five (5) accounts between </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">January and April 2017. As such UBSS was fined $4,000 for violations of Rule 6.10 (Trade Type Indicators) on November 11, 2017.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CME Case #: 17-9238 (included by the Sponsor from the NFA website and not provided by UBSS)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">During the period of January 1 through March 31, 2017, UBSS violated Rule 576 by failing to maintain accurate and current information </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the Exchange Fee System. On July 19, 2017, UBSS, pursuant to Rule 512 (&#8220;Reporting Infractions&#8221;), was issued a $5,000 fine by the 512 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Committee for its violations of Rule 576.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">ICE Case #: 2016-065 (included by the Sponsor from the NFA website and not provided by UBSS)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">For violations of Exchange Rule 2.22 by reporting inaccurate open interest for the September 2016 Mini MSCI Emerging Market Index </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures contract for trade date August 8, 2016, UBSS was issued a fine of $5,000, effective February 15, 2017.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">ICE Case #: 2016-093 (included by the Sponsor from the
NFA website and not provided by UBSS)</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">For violations of Exchange Rule 2.22 by reporting inaccurate open interest for the December 2016 Coffee &#8220;C&#8221; future contract for trade </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dates November 21-30, 2016, UBSS was issued a fine of $10,000, effective February 15, 2017.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CBOE Case #: ICT NO.109339 (included by the Sponsor from the NFA website and not provided by UBSS)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBSS failed to submit correct CBOE account type with orders during July 2016 through September 2016. As such, UBSS was fined </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$2,500 for violations of CFE Rule 403(a), effective January 26, 2017.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CME Case #: 16-9077 (included by the
Sponsor from the NFA website and not provided by UBSS)</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">During September 2016, UBSS violated Rule 536.D by submitting numerous instances of incorrect CTI codes. On October 12, 2016, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pursuant to Rule 512 (&#8220;Reporting Infractions&#8221;), UBSS was issued a fine $1,000 by the CME and $1,500 by the CBT for its violation of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Rule 536.D, effective October 31, 2016.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CBOE Case #: ICT 109060 (included by the Sponsor from the NFA website and not provided by UBSS)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBSS failed to properly document ECRP trade activity on a customer account statement for trade date January 26, 2015. As such, UBSS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">was issued a fine of $5,000 for violations of CFE Rule 414 (Exchange of Contract for Related Positions), effective September 16, 2016.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">MGE Case #: 15-I-29 (included by the Sponsor from the
NFA website and not provided by UBSS)</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">For violations of Rule 2069 (Reporting Requirements And Sanctions) and Rule 1226 (General Requests), UBSS was issued a fine of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$1,000. The MGEX Department of Audits and Investigations determined UBSS violated the aforementioned MGEX Regulations for the failure </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to submit data, records and other documentation requested by the Exchange in an accurate, complete, and timely manner. It became effective on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">August 2, 2016.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CME Case #: 16-8833 (included by the Sponsor from the NFA website and not provided by UBSS)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">During the period of October 1 through December 31, 2015, UBSS violated Rule 576 by failing to maintain accurate and current </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">information in the Exchange Fee System and submitting a Tag 50 ID across multiple shifts. On March 16, 2016, UBSS was issued a $2,500 fine </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by the 512 Committee for its violations of Rule 576. It became effective on April 18, 2016.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CBOE Case #: ICT NO. 109182 (included by the Sponsor from the NFA website and not provided by UBSS)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBSS failed to designate the subject transaction as a &#8220;block&#8221; on its account statements. As such, UBSS violated CFE Rule 415 (Block </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trading) and was issued a fine of $2,500. It became effective on March 28, 2016.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">ICE Case #: 2014-155F (included by the Sponsor from the NFA website and not provided by UBSS)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-194</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_65">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBSS was issued a fine of $2,500, effective February 8, 2016, for a violation of Exchange Rule 27.12A by failing to provide complete </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">electronic audit trail data corresponding to three (3) orders that was entered onto the ETS in December 2014.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">CBOE Case #: ICT NO.109008 (included by the Sponsor
from the NFA website and not provided by UBSS)</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBSS failed to designate the subject transaction as a &#8220;block&#8221; on its account statement and also failed to create and/or maintain an internal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">order ticket to document the subject block transactions. As such it violated CFE Rule 415 (Block Trading) as was issued a fine of $2,500. It </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">became effective on September 11, 2015.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Goldman Sachs &amp; Co. LLC (&#8220;GS&#8221; or &#8220;GS &amp; Co.&#8221;)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS &amp; Co, in addition to being a registered futures commission merchant, is a registered broker-dealer. From time to time, Goldman Sachs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&amp; Co. LLC and its affiliates are involved in judicial, regulatory and arbitration concerning matters arising in connection with the conduct of its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">business. Goldman Sachs &amp; Co. LLC&#8217;s management believes, based on currently available information, that the results of such proceedings, in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the aggregate, will not have a material adverse effect on the firm&#8217;s financial condition, but may be material to the firm&#8217;s operating results for any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">particular period, depending, in part, upon the results for such period. Please refer to Note 20 contained in Goldman Sachs &amp; Co. LLC&#8217;s June 30, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2020 Consolidated Statement of Financial Condition - https://www.goldmansachs.com/investor-relations/financials/current/subsidiary-financial-info/gsco/gsco-06-30-2020-file.pdf.</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> For further information, please refer to the periodic public filings by The Goldman Sachs Group, Inc.
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(copies of the firm&#8217;s recent filings on Form 10-K and Form 10Q may be found at www.gs.com), to Goldman Sachs &amp; Co. LLC&#8217;s Form BD as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">periodically filed with the Securities and Exchange Commission. (FINRA&#8217;s BrokerCheck, which is based on the Form BD, can be found at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">http://brokercheck.finra.org/) and to the Commodity Futures Trading Commission Rule 1.55(K): FCM-Specific Disclosure Document- </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">https://www.goldmansachs.com/disclosures/cftc_fcm_disclosures/cftc-gsco-disclosure-document.pdf.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In this section, when we use the terms &#8220;we,&#8221; &#8220;us&#8221; and &#8220;our,&#8221; we mean Goldman Sachs &amp; Co. LLC (GS&amp;Co.) and its consolidated
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">subsidiaries, and when we use the term &#8220;Goldman Sachs&#8221; we mean The Goldman Sachs Group, Inc. (Group Inc.) together with its consolidated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">subsidiaries, including GS&amp;Co. GS&amp;Co. is a registered U.S. broker-dealer, futures commission merchant (FCM) and swap dealer and is a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">wholly owned subsidiary of Group Inc., except for de minimis non-voting, non-participating interests held by unaffiliated broker-dealers.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. is or has been involved in a number of judicial, regulatory and arbitration
proceedings concerning matters arising in connection </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">with the conduct of its businesses. In addition, GS&amp;Co. and certain of its affiliates are subject to a number of
investigations and reviews by, and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in some cases have received subpoenas and requests for documents and information from, various governmental and regulatory bodies and
self </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">regulatory organizations relating to various matters relating to their businesses. Pursuant to 17 CFR 1.55(k)(7), the following disclosure is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">intended to provide information that may be material to an FCM customer regarding administrative, civil, enforcement or criminal actions filed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against GS&amp;Co. that have not concluded, and enforcement complaints or actions filed against GS&amp;Co. during the last three years, and is not a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">comprehensive list of all proceedings to which GS&amp;Co. is or has been a party. Additional information on regulatory, civil and arbitration </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings involving Goldman Sachs, including the proceedings described below, proceedings involving GS&amp;Co. that are not required to be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">disclosed under 17 CFR 1.55(k)(7) and proceedings involving other Goldman Sachs entities, is available through FINRA&#8217;s BrokerCheck (which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">can be accessed electronically at www.finra.org), the National Futures Association&#8217;s Background Affiliation Status Information Center (which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">can be accessed electronically at www.nfa.futures.org/basicnet) and under the caption &#8220;Legal Proceedings&#8221; in the notes to the financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">statements included in Group Inc.&#8217;s Annual and Quarterly Reports on Forms 10-K and 10-Q filed with the SEC (which are also available </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">through the investor relations section of Goldman Sachs&#8217; website at www.gs.com).</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Currencies-Related Litigation</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. and Group Inc. are among the defendants named in putative class actions filed in the
U.S. District Court for the Southern District </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of New York beginning in September 2016 on behalf of putative indirect purchasers of foreign exchange instruments. On August
5, 2019, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs filed a third consolidated amended complaint generally alleging a conspiracy to manipulate the foreign currency exchange markets, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">asserting claims under various state antitrust laws and state consumer protection laws and seeking treble damages in an unspecified amount. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">July 17, 2020, the court preliminarily approved a settlement in principle. Goldman Sachs has reserved the full amount of its proposed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contribution to the settlement. GS&amp;Co. and Group Inc. are among the defendants named in an action filed in the U.S. District Court for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Southern District of New York on November 7, 2018 by certain direct purchasers of foreign exchange instruments that opted out of a class </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement reached with, among others, GS&amp;Co. and Group Inc. The third amended complaint, filed on August 3, 2020, generally alleges that </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-195</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_66"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the defendants violated federal antitrust law and state
common law in connection with an alleged conspiracy to manipulate the foreign currency </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange markets and seeks declaratory and injunctive relief, as well as unspecified
amounts of compensatory, punitive, treble and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">other damages.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Underwriting Litigation</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. is among the defendants in a number of proceedings in connection with securities
offerings. In these proceedings, including </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">those described below, the plaintiffs assert class action or individual claims under federal and state securities laws and in
some cases other </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">applicable laws, allege that the offering documents for the securities that they purchased contained material misstatements and omissions, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">generally seek compensatory and rescissory damages in unspecified amounts. Certain of these proceedings involve additional allegations.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">SunEdison, Inc.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. is among the underwriters named as defendants in several putative class actions and individual actions filed beginning in March </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2016 relating to the August 2015 public offering of $650 million of SunEdison, Inc. (SunEdison) convertible preferred stock. The defendants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">also include certain of SunEdison&#8217;s directors and officers. On April 21, 2016, SunEdison filed for Chapter 11 bankruptcy. The pending cases </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">were transferred to the U.S. District Court for the Southern District of New York and on March 17, 2017, plaintiffs in the putative class action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed a consolidated amended complaint. GS&amp;Co., as underwriter, sold 138,890 shares of SunEdison convertible preferred stock in the offering, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">representing an aggregate offering price of approximately $139 million. On April 10, 2018 and April 17, 2018, certain plaintiffs in the individual </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">actions filed amended complaints. The defendants have reached a settlement with certain plaintiffs in the individual actions and a settlement of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the class action, which the court approved on October 25, 2019. Goldman Sachs has paid the full amount of its contribution to the settlement.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Valeant Pharmaceuticals International, Inc.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. and Goldman Sachs Canada Inc. (GS Canada) are among the underwriters and initial purchasers named as defendants in a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">putative class action filed on March 2, 2016 in the Superior Court of Quebec, Canada. In addition to the underwriters and initial purchasers, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants include Valeant Pharmaceuticals International, Inc. (Valeant), certain directors and officers of Valeant and Valeant&#8217;s auditor. As to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">GS&amp;Co. and GS Canada, the complaint relates to the June 2013 public offering of $2.3 billion of common stock, the June 2013 Rule 144A </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">offering of $3.2 billion principal amount of senior notes, and the November 2013 Rule 144A offering of $900 million principal amount of senior </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">notes. The complaint asserts claims under the Quebec Securities Act and the Civil Code of Quebec. On August 29, 2017, the court certified a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">class that includes only non-U.S. purchasers in the offerings. On August 4, 2020, Valeant entered into a settlement agreement with the plaintiffs, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which is subject to court approval. Under the terms of the agreement, Goldman Sachs will not be required to contribute to the settlement.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. and GS Canada, as sole underwriters, sold 5,334,897 shares of common stock in the June
2013 offering to non-U.S. purchasers </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">representing an aggregate offering price of approximately $453 million and, as initial purchasers, had a proportional share of sales
to non-U.S. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">purchasers of approximately CAD14.2 million in principal amount of senior notes in the June 2013 and November 2013 Rule 144A offerings.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Snap Inc.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. is among the underwriters named as defendants in putative securities class actions pending in California Superior Court, County </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Los Angeles, and the U.S. District Court for the Central District of California beginning in May 2017, relating to Snap Inc.&#8217;s $3.91 billion </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">March 2017 initial public offering. In addition to the underwriters, the defendants include Snap Inc. and certain of its officers and directors. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">GS&amp;Co. underwrote 57,040,000 shares of common stock representing an aggregate offering 33 price of approximately $970 million. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">underwriter defendants, including GS&amp;Co., were voluntarily dismissed from the district court action on September 18, 2018. The state court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">actions have been stayed. On April 27, 2020, the district court preliminarily approved a settlement among the parties. Also on April 27, 2020, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the state court plaintiffs filed a motion for preliminary approval of a settlement of the state court actions. Under the terms of the federal and state </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">court preliminary settlements, Goldman Sachs will not be required to contribute to either settlement.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Altice USA, Inc.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. is among the underwriters named as defendants in putative securities class actions
pending in New York Supreme Court, County </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Queens, and the U.S. District Court for the Eastern District of New York beginning in June 2018, relating to Altice USA,
Inc.&#8217;s (Altice) $2.15 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">billion June 2017 initial public offering. In addition to the underwriters, the defendants include Altice and certain of its officers and
directors. </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-196</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_67"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">GS&amp;Co. underwrote 12,280,042 shares of common stock representing an aggregate offering price of approximately $368 million.
On June 26, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2020, the court dismissed the amended complaint in the state court action. Plaintiffs in the district court action filed a second amended complaint </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on October 7, 2020.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Camping World Holdings, Inc.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. is among the underwriters named as defendants in several putative securities class
actions pending in the U.S. District Court for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Northern District of Illinois, New York Supreme Court, County of New York, and the Circuit Court of Cook County,
Illinois, Chancery </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Division, beginning in December 2018. In addition to the underwriters, the defendants include Camping World Holdings, Inc. (Camping World) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and certain of its officers and directors, as well as certain of its stockholders. As to the underwriters, the complaints relate to three offerings of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Camping World common stock, a $261 million October 2016 initial public offering, a $303 million May 2017 offering and a $310 million </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">October 2017 offering. GS&amp;Co. underwrote 4,267,214 shares of common stock in the October 2016 initial public offering representing an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">aggregate offering price of approximately $94 million, 4,557,286 shares of common stock in the May 2017 offering representing an aggregate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">offering price of approximately $126 million and 3,525,348 shares of common stock in the October 2017 offering representing an aggregate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">offering price of approximately $143 million. On August 5, 2020, the Illinois district court approved a settlement among the parties to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Illinois district court action. On August 18, 2020, the Illinois state court action was dismissed and on September 8, 2020, the New York state </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">court action was dismissed. Under the terms of the settlement, Goldman Sachs will not be required to contribute to the settlement.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Alnylam Pharmaceuticals, Inc.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. is among the underwriters named as defendants in a putative securities class action filed on September 12, 2019 in New York </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Supreme Court, County of New York, relating to Alnylam Pharmaceuticals, Inc.&#8217;s (Alnylam) $805 million November 2017 public offering of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">common stock. In addition to the underwriters, the defendants include Alnylam and certain of its officers and directors. GS&amp;Co. underwrote </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2,576,000 shares of common stock representing an aggregate offering price of approximately $322 million.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Uber Technologies, Inc.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. is among the underwriters named as defendants in several putative securities class
actions filed beginning in September 2019 in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">California Superior Court, County of San Francisco and the U.S. District Court for the Northern District of California,
relating to Uber </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Technologies, Inc.&#8217;s (Uber) $8.1 billion May 2019 initial public offering. In addition to the underwriters, the defendants include Uber and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain of its officers and directors. GS&amp;Co. underwrote 35,864,408 shares of common stock representing an aggregate offering price of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately $1.6 billion. On February 11, 2020, plaintiffs in the state court action filed a consolidated amended complaint. On August 7, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2020, defendants&#8217; motion to dismiss the district court action was denied.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Venator Materials PLC.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. is among the underwriters named as defendants in putative securities class actions in Texas District Court, Dallas County, New </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">York Supreme Court, New York County, and the U.S. District Court for the Southern District of Texas, filed beginning in February 2019, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relating to Venator Materials PLC&#8217;s (Venator) $522 million August 2017 initial public offering and $534 million December 2017 secondary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">equity offering. In addition to the underwriters, the defendants include Venator, certain of its officers and directors and certain of its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholders. GS&amp;Co. underwrote 6,351,347 shares of common stock in the August 2017 initial public offering representing an aggregate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">offering price of approximately $127 million and 5,625,768 shares of common stock in the December 2017 secondary equity offering </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">representing an aggregate offering price of approximately $127 million. On January 21, 2020, the Texas Court of Appeals reversed the Texas </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">District Court and dismissed the claims against the underwriter defendants, including GS&amp;Co., in the Texas state court action for lack of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">personal jurisdiction. On July 1, 2020, defendants&#8217; motion to stay the New York state court action in favor of the federal action was denied.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">XP Inc.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. is among the underwriters named as defendants in putative securities class actions pending in New York Supreme Court, County </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of New York, and the U.S. District Court for the Eastern District of York, filed beginning March 19, 2020, relating to XP Inc.&#8217;s (XP) $2.3 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">billion December 2019 initial public offering. In addition to the underwriters, the defendants include XP, certain of its officers and directors and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain of its shareholders. GS&amp;Co. underwrote 19,326,218 shares of common stock in the December 2019 initial public offering representing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">an aggregate offering price of approximately $522 million. On June 22, 2020, plaintiffs in the state court action filed an amended complaint. On </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-197</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_68"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">July 29, 2020, a consolidated amended complaint was
filed in the federal court action. On August 5, 2020, defendants&#8217; motion to stay the state </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">court action in favor of the federal court action was denied.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">GoHealth, Inc.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. is among the underwriters named as defendants in two putative securities class actions filed on September 21, 2020 and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 28, 2020 in the U.S. District Court for the Northern District of Illinois relating to GoHealth, Inc.&#8217;s (GoHealth) $914 million July </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2020 initial public offering. In addition to the underwriters, the defendants include GoHealth, certain of its officers and directors and certain of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its shareholders. GS&amp;Co. underwrote 11,540,550 shares of common stock representing an aggregate offering price of approximately $242 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million. A third putative securities class action relating to GoHealth&#8217;s initial public offering that does not name the underwriters as defendants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">was filed in the U.S. District Court for the Northern District of Illinois on September 25, 2020.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Securities Lending Antitrust Litigation</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Group Inc. and GS&amp;Co. are among the defendants named in a putative antitrust class action and
three individual actions relating to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities lending practices filed in the U.S. District Court for the Southern District of New York beginning in August 2017. The
complaints </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">generally assert claims under federal and state antitrust law and state common law in connection with an alleged conspiracy among the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants to preclude the development of electronic platforms for securities lending transactions. The individual complaints also assert claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for tortious interference with business relations and under state trade practices law and, in the second and third individual actions, unjust </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">enrichment under state common law. The complaints seek declaratory and injunctive relief, as well as unspecified amounts of compensatory, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">treble, punitive and other damages. Group Inc. was voluntarily dismissed from the putative class action on January 26, 2018. Defendants&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion to dismiss the class action complaint was denied on September 27, 2018. Defendants&#8217; motion to dismiss the first individual action was </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">granted on August 7, 2019.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Interest Rate Swap Antitrust Litigation</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Group Inc., GS&amp;Co., Goldman Sachs International (GSI), Goldman Sachs Bank USA (GS Bank USA)
and Goldman Sachs Financial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Markets, L.P. are among the defendants named in a putative antitrust class action relating to the trading of interest rate swaps, filed in
November </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2015 and consolidated in the U.S. District Court for the Southern District of New York. The same Goldman Sachs entities also are among the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants named in two antitrust actions relating to the trading of interest rate swaps, commenced in April 2016 and June 2018, respectively, in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the U.S. District Court for the Southern District of New York by three operators of swap execution facilities and certain of their affiliates. These </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">actions have been consolidated for pretrial proceedings. The complaints generally assert claims under federal antitrust law and state common </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">law in connection with an alleged conspiracy among the defendants to preclude exchange trading of interest rate swaps. The complaints in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">individual actions also assert claims under state antitrust law. The complaints seek declaratory and injunctive relief, as well as treble damages in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">an unspecified amount. The district court dismissed the state common law claims asserted by the plaintiffs in the first individual action and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">otherwise limited the state common law claim in the putative class action and the antitrust claims in both actions to the period from 2013 to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2016. On November 20, 2018, the court granted in part and denied in part the defendants&#8217; motion to dismiss the second individual action, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissing the state common law claims for unjust enrichment and tortious interference but denying dismissal of the federal and state antitrust </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims. On March 13, 2019, the court denied the plaintiffs&#8217; motion in the putative class action to amend their complaint to add allegations related </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to 2008-2012 conduct, but granted the motion to add limited allegations from 2013-2016, which the plaintiffs added in a fourth consolidated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amended complaint filed on March 22, 2019.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Variable Rate Demand Obligations Antitrust Litigation</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. is among the defendants named in a putative class action relating to
variable rate demand obligations (VRDOs), filed beginning </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in February 2019 under separate complaints and consolidated in the U.S. District Court for the Southern District
of New York. The consolidated </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">amended complaint, filed on May 31, 2019, generally asserts claims under federal antitrust law and state common law in connection with an
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleged conspiracy among the defendants to manipulate the market for VRDOs. The complaint seeks declaratory and injunctive relief, as well as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unspecified amounts of compensatory, treble and other damages.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Commodities-Related Litigation</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-198</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_69"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co., GSI, J. Aron &amp; Company
and Metro International Trade Services (Metro), a previously consolidated subsidiary of Group Inc. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">that was sold in the fourth quarter of 2014, are among the defendants in
a number of putative class and individual actions filed beginning on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">August 1, 2013 and consolidated in the U.S. District Court for the Southern District of New York. The
complaints generally allege violations of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">federal antitrust laws and state laws in connection with the storage of aluminum and aluminum trading. The complaints seek
declaratory, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">injunctive and other equitable relief, as well as unspecified monetary damages, including treble damages. In December 2016, the district court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">granted defendants&#8217; motions to dismiss and on August 27, 2019, the Second Circuit vacated the district court&#8217;s dismissals and remanded the case </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to district court for further proceedings. On July 23, 2020, the district court denied the class plaintiff&#8217;s motion for class certification.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Group Inc., GS&amp;Co., GSI, J. Aron &amp; Company and Metro are among the defendants in an
action filed on February 27, 2020 in the High </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Court of Justice, Business and Property Courts of England and Wales. The particulars of claim seeks unspecified compensatory
and exemplary </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">damages based on alleged violations of U.K. and E.U. competition laws in connection with the storage and trading of aluminum.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">U.S. Treasury Securities Litigation</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GS&amp;Co. is among the primary dealers named as defendants in several putative class actions relating to the market for U.S. Treasury </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities, filed beginning in July 2015 and consolidated in the U.S. District Court for the Southern District of New York. GS&amp;Co. is also </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">among the primary dealers named as defendants in a similar individual action filed in the U.S. District Court for the Southern District of New </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">York on August 25, 2017. The consolidated class action complaint, filed on December 29, 2017, generally alleges that the defendants violated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">antitrust laws in connection with an alleged conspiracy to manipulate the when-issued market and auctions for U.S. Treasury securities and that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain defendants, including GS&amp;Co., colluded to preclude trading of U.S. Treasury securities on electronic trading platforms in order to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">impede competition in the bidding process. The individual action alleges a similar conspiracy regarding manipulation of the when-issued market </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and auctions, as well as related futures and options in violation of the Commodity Exchange Act. The complaints seek declaratory and injunctive </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relief, treble damages in an unspecified amount and restitution.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Corporate Bonds Antitrust Litigation</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Group Inc. and GS&amp;Co. are among the dealers named as defendants in a putative class action
relating to the secondary market for odd-lot </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">corporate bonds, filed on April 21, 2020 in the U.S. District Court for the Southern District of New York. The consolidated
complaint, filed on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">July 14, 2020, asserts claims under federal antitrust law in connection with alleged anti-competitive conduct by the defendants in the secondary
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">market for odd-lots of corporate bonds, and seeks declaratory and injunctive relief, as well as unspecified monetary damages, including treble </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and punitive damages and restitution.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Employment-Related Matters</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 15, 2010, a putative class action was filed in the U.S. District Court for the
Southern District of New York by three female </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">former employees. The complaint, as subsequently amended, alleges that Group Inc. and GS&amp;Co. have systematically
discriminated against </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">female employees in respect of compensation, promotion and performance evaluations. The complaint alleges a class consisting of all female </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">employees employed at specified levels in specified areas by Group Inc. and GS&amp;Co. since July 2002, and asserts claims under federal and New </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">York City discrimination laws. The complaint seeks class action status, injunctive relief and unspecified amounts of compensatory, punitive and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other damages.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On
March 30, 2018, the district court certified a damages class as to the plaintiffs&#8217; disparate impact and treatment claims. On </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 4, 2018, the Second Circuit
Court of Appeals denied defendants&#8217; petition for interlocutory review of the district court&#8217;s class </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">certification decision and subsequently denied
defendants&#8217; petition for rehearing. On March 26, 2020, the Magistrate Judge in the district court </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">granted in part a motion to compel arbitration as to class members
who are parties to certain agreements with Group Inc. and/or GS&amp;Co. in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">which they agreed to arbitrate employment-related disputes.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Trading Matters.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 4, 2019, GS&amp;Co. entered into a settlement with ICE Futures Europe (ICE) to settle charges alleging that the timing and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">nature of GS&amp;Co.&#8217;s trading activity in certain ICE commodity contracts on behalf of a client was disruptive, reckless and disorderly. Under this </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement, GS&amp;Co. paid approximately $150,000 to ICE.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-199</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_70"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On November 26, 2019, GS&amp;Co. entered into a consent order with the CFTC to settle charges that, during a
number of days in January </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and February 2014, GS&amp;Co. failed to make and keep certain recordings of oral communications as required under CFTC regulations for swap
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dealers. Under this consent order, GS&amp;Co. paid $1 million to the CFTC and agreed to cease and desist from violating certain regulations under </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Commodities Exchange Act.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Included by the Sponsor from the NFA website and not provided by GS&amp;Co.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to an offer of settlement in which Goldman Sachs &amp; Co. LLC (&#8220;Goldman&#8221;) neither admitted nor denied the rule violations or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">factual findings upon which the penalty is based, on November 25, 2019, a Panel of the Chicago Board of Trade Business Conduct Committee </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(&#8220;Panel&#8221;) found that on July 9, 2018, Goldman executed an Exchange for Related Position (&#8220;EFRP&#8221;) package in the Ten -Year Treasury Note </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures and options markets where the related position components of the Exchange for Risk (&#8220;EFR&#8221;) transaction did not have a reasonable </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">degree of price correlation and did not have opposing market bias to the Exchange component. Further, the related component of the Exchange </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Option for Option (&#8220;EOO&#8221;) transaction was not reasonably equivalent to the Exchange component. The EFRP package was therefore </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">non-bona fide. GSC was fined $15,000, effective November 27. 2019</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to an offer of settlement in which GSC admitted nor denied the rule violation upon which the penalty is based, on June 15, 2020, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a Panel of the CBOT Business Conduct Committee (&#8220;Panel&#8221;) found that from September 11, 2019, through September 13, 2019, a customer of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Goldman carried positions at more than one clearing member firm. Two reportable accounts controlled by the customer held a combined net </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures equivalent long position of 8,015 DEC19 Soybean Oil futures, 15 (0.19%) contracts over the single month position limit and held that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">position on an end-of-day and intraday basis. Goldman, a clearing member, received notification of the overage from the Market Regulation </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Department on September 12, 2019 (and again on September 13 and 16). Despite this notice, Goldman failed to liquidate its pro-rata share of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">customer&#8217;s position in excess of limits or otherwise ensure that its customer was in compliance with the limits within a reasonable period of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">time. The Panel concluded that Goldman thereby violated CBOT Rule 562. In accordance with the settlement offer, the Panel ordered Goldman </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to pay a fine in the amount of $15,000, effective June 17, 2020.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GSC was issued a summary fine in the amount of $10,000 for violating Exchange Rule 6.15(a) by falling to accurately report large trader </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">positions, effective May 27, 2020.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The U.S. Commodity Futures Trading Commission issued on November 26, 2019, an order filing and simultaneously settling charges </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against GSC for failing to make and keep certain audio recordings as required under CFTC regulations for swap dealers. The order requires </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Goldman to pay a $1,000,000 civil monetary penalty and to cease and desist from further violations of Commission regulations, as charged. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">order also finds that Goldman&#8217;s failure impeded an unrelated investigation conducted by the Division of Enforcement (Division).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">&#8220;Registrants must comply with the Commission&#8217;s recordkeeping requirements, as with
all other applicable laws,&#8221; said CFTC </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Enforcement Director James McDonald. &#8220;When they do not, we are committed to holding them accountable. This action
reinforces the critical </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">importance of recordkeeping requirements to the CFTC&#8217;s enforcement mission.&#8221; The order finds that Goldman, to comply with its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">recordkeeping obligations as a swap dealer, began using recording hardware to record the phone lines of trading and sales desks in March 2013. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">In January 2014, after the installation of a software security patch in one of Goldman&#8217;s offices, the recording hardware in that office restarted </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">prematurely and, as a result, failed to record audio. Goldman was unaware of the error for approximately three weeks, until it conducted an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unrelated spot-check of the affected office&#8217;s recording system, at which point Goldman identified the failure and re-engaged the recording </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">system.&#8232;&#8232;The Division subsequently opened an unrelated investigation that concerned the affected office and requested that Goldman produce </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain audio recordings for dates within the period of the recording failure. Because of the recording failure, Goldman was unable to produce a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">significant number of the requested recordings. The Division only learned of Goldman&#8217;s failure to keep and maintain the recordings when </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Goldman informed the Division it was unable to produce them in the context of the Division&#8217;s unrelated investigation. Goldman&#8217;s recordkeeping </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">failure impeded that investigation, because the Division was unable to obtain the information that should have been captured in the missing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">recordings through any other means.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">During the month of August 2019, GSC did not provide large trader position adjustments within the prescribed deadline, in violation of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CME Rule 561. On September 13, 2019, pursuant to Rule 512, a fine in the amount of $1,500 was assessed against GSC for its violation of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CME Rule 561, effective October 4, 2019.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-200</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_71">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GSC failed to maintain a complete electronic audit trail for certain dates ranging from August 2015 and ending in October 2016. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 11, 2019, pursuant to Rule 512, a fine in the amount of $2,000 was assessed against Goldman Sachs &amp; Co. for its violation of CBOT </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Rule 536.B.2, effective September 30, 2019.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GSC was issued a summary fine in the amount of $10,000 for violating Rule 2.22 by reporting inaccurate open interest for the September </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019 FCOJ-A futures contract for three dates--August 29, 2019, August 30, 2019 and September 2, 2019. The fine was effective September 25, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">For trade
date June 18, 2019, GSC offset positions in the physically-delivered June 2019 COMEX Silver (SI) futures contract, in violation </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Rule 854. On August 8, 2019, the Rule
512 Committee, pursuant to Rule 512, assessed a fine in the amount of $2,000 against GSC for its </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">violation of Rule 854, effective August 27, 2019. During the month of May
2019, GSC inaccurately reported long positions eligible for delivery </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the May 2019 Wheat futures contract. On June 14, 2019, the Rule 512 Committee, pursuant to Rule
512, assessed a fine in the amount of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">$1,000 against GSC for its violation of Rule 807, effective July 2, 2019.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to the results of a back office CTR exam, for trade dates December 11, 2017 through
February 23, 2018, GSC&#8217;s data entry errors </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for sequenced cards, verbal orders, and floor orders exceeded the 10% error level mandated by Rule 536.F. Pursuant to the
Rule 536.F sanction </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">schedule, GSC was issued a $5,000 fine on April 12, 2018 for its second violation of Rule 536.F. within 24 months, effective April 30,
2018.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On two occasions in January 2018, GSC did not report block trades in a timely
manner to the Exchange. The block trades were executed </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the following products: March 2018 Long Term U.S. Treasury Bond Futures and March 2018 Ultra 10-Year U.S.
Treasury Note Futures. On </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">April 4, 2018, the Rule 512 committee, pursuant to Rule 512, assessed a fine in the amount of $1,000 against GSC for its violations of CBOT
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Rule 526.F, effective April 23, 2018.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">During the period of May 1, 2017 through July 31, 2017, GSC violated Rule 576 on multiple occasions by failing to submit accurate Tag </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">50 IDs on certain order modifications and cancel messages. On November 29, 2017, GSC, pursuant to Rule 512 (&#8220;Reporting Infractions&#8221;), was </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">collectively issued a $9,000 fine by the 512 Committee for its violations of Rule 576, as follows: CME $1,000; CBOT $2,000; COMEX $2,000; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">NYMEX $4,000, effective December 11, 2017.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The U.S. Commodity Futures Trading Commission (CFTC) issued an Order on December 21, 2016, filing
and settling charges against </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">The Goldman Sachs Group, Inc., and Goldman, Sachs &amp; Co. (collectively, Goldman or the Bank). The Order finds that, beginning in January
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2007 and continuing through March 2012 (the Relevant Period), Goldman attempted, by and through certain of its traders in New York, on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">many occasions to manipulate and made false reports concerning the U.S. Dollar International Swaps and Derivatives Association Fix (USD </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ISDAFIX), a global benchmark for interest rate products. Goldman&#8217;s unlawful conduct involved multiple traders, including the head of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Goldman&#8217;s Interest Rate Products Trading Group in the United States, according to the CFTC Order. The CFTC Order requires Goldman to pay </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a $120 million civil monetary penalty, cease and desist from further violations as charged, and take specified remedial steps, including measures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1) to detect and deter trading intended to manipulate swap rates such as USD ISDAFIX, 2) to ensure the integrity and reliability of the Bank&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark submissions, and 3) to improve related internal controls. The Order also requires the current supervisor responsible for oversight of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">various United States interest-rate trading desks at Goldman to provide a certification as to, among other things, the effectiveness of the internal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">controls and procedures undertaken and implemented by Goldman as a result of this settlement. &#8220;This matter, the third enforcement action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relating to the ISDAFIX benchmark, demonstrates the breadth of this kind of misconduct across the industry, and within Goldman, the extent of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the misconduct across trading desks and product lines,&#8221; commented Aitan Goelman, the CFTC&#8217;s Director of Enforcement. Mr. Goelman further </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">commented that &#8220;the Division will continue to be vigilant and aggressive in protecting the integrity of the ISDAFIX and other important </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmarks relied upon by the markets.&#8221; Goldman, through its traders, bid, offered, and executed transactions in interest rate swap spreads, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Treasuries, and Eurodollar futures contracts in a manner deliberately designed&#8212;in timing, price, and other respects&#8212;to influence the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">published USD ISDAFIX in order to benefit the Bank in its derivatives positions, according to the Order. In addition, Goldman, through its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">employees making the Bank&#8217;s USD ISDAFIX submissions, also attempted to manipulate and made false reports concerning USD ISDAFIX by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">skewing the Bank&#8217;s submissions in order to benefit the Bank at the expense of its derivatives counterparties and clients.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Compliance Staff of ICE found that GSC violated Exchange Rule 6.10 by failing to ensure that
the proper CTI codes were affixed to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">orders. GSC was fined $2000, effective April 4, 2016.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Included by the Sponsor from the NFA Website and not provided by GS</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-201</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_72"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CME Case #: 21-0605-CTRA. Pursuant to the results of a back office CTR audit, on December 2, 2020 through
January 29, 2021, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Goldman Sachs &amp; Co. LLC was found to be in violation of data entry errors for sequenced cards, verbal orders, and floor orders exceeded the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10% error level mandated by Rule 536.F. Action Types: Floor Recordkeeping. Pursuant to the Rule 536.F sanction schedule, Goldman Sachs &amp; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Co. LLC was issued a $2,500 fine on May 19, 2021 for its first violation of Rule 536.F. within 24 months. Effective Date: 05/21/2021</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CME Case #: RSRH-21-6265. During the month of June 2021, Goldman, Sachs &amp; Co. LLC,
inaccurately reported its large trader </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">positions in several instances of CME contracts, in violation of Rule 561. Action Types: Office Recordkeeping. On July 13, 2021,
pursuant to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Rule 512, a fine in the amount of $1,500 was assessed against Goldman, Sachs &amp; Co. LLC for its violation of Rule 561. Effective Date: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">07/30/2021</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">NYME
Case #: RSRH-21-6304. During the month of July 2021, Goldman Sachs &amp; Co. LLC inaccurately reported its open interest in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">August 2021 NYMEX Crude Oil Futures contracts
in violation of Rule 854. Action Type(s): Office Recordkeeping. On August 10, 2021, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">pursuant to Rule 512, a fine in the amount of $2,500 was assessed against Goldman Sachs
&amp; Co. LLC for its violation of Rule 854. Effective </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Date: 08/26/2021</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Goldman Sachs International (&#8220;GSI&#8221;)</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Goldman Sachs International is a subsidiary of The Goldman Sachs Group, Inc.
(&#8220;Group, Inc.&#8221;). From time to time, Group, Inc. (and its </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">subsidiaries, including Goldman Sachs International), its officers and employees are involved in
proceedings and receive inquiries, subpoenas </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and notices of investigation relating to various aspects of its business some of which result in sanction. Details are set out
in Goldman Sachs </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">International&#8217;s entry on the FCA/PRA Financial Services Register (https://register.fca.org.uk/ShPo_HomePage), Goldman Sachs International&#8217;s
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial statements and Group Inc.&#8217;s various regulatory filings under applicable laws and regulations, Forms 10-K and 10-Q and periodic </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filings pursuant to the U.S. Securities Exchange Act of 1934 (http://www.goldmansachs.com/investor-relations/financials/). Goldman Sachs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">International is registered in the US with National Futures Association (NFA) as a provisionally registered Swap Dealer.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The disclosures below are extracts from Group Inc&#8217;s financial statements dating back five
years available on the GS website:</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The firm is involved in a number of judicial,
regulatory and arbitration proceedings (including those described below) concerning matters </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">arising in connection with the conduct of the firm&#8217;s businesses. Many of
these proceedings are in early stages, and many of these cases seek an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">indeterminate amount of damages.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Malaysia Development Berhad (1MDB)-Related Matters</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The firm has received subpoenas and requests for documents and information from various governmental and regulatory bodies and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">self-regulatory organizations as part of investigations and reviews relating to financing transactions and other matters involving 1MDB, a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sovereign wealth fund in Malaysia. Subsidiaries of the firm acted as arrangers or purchasers of approximately $6.5 billion of debt securities of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1MDB. On November 1, 2018, the U.S. Department of Justice (DOJ) unsealed a criminal information and guilty plea by Tim Leissner, a former </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">participating managing director of the firm, and an indictment against Ng Chong Hwa, a former managing director of the firm, and Low Taek </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Jho. Leissner pleaded guilty to a two-count criminal information charging him with conspiring to launder money and conspiring to violate the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Foreign Corrupt Practices Act&#8217;s (FCPA) anti-bribery and internal accounting controls provisions. Low and Ng were charged in a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">three-count indictment with conspiring to launder money and conspiring to violate the FCPA&#8217;s anti-bribery provisions. On August 28, 2018, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Leissner&#8217;s guilty plea was accepted by the U.S. District Court for the Eastern District of New York and Leissner was adjudicated guilty on both </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">counts. Ng was also charged in this indictment with conspiring to violate the FCPA&#8217;s internal accounting controls provisions. The charging </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">documents state, among other things, that Leissner and Ng participated in a conspiracy to misappropriate proceeds of the 1MDB offerings for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">themselves and to pay bribes to various government officials to obtain and retain 1MDB business for the firm. The plea and charging documents </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">indicate that Leissner and Ng knowingly and willfully circumvented the firm&#8217;s system of internal accounting controls, in part by repeatedly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">lying to control personnel and internal committees that reviewed these offerings. The indictment of Ng and Low alleges that the firm&#8217;s system of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">internal accounting controls could be easily circumvented and that the firm&#8217;s business culture, particularly in Southeast Asia, at times prioritized </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consummation of deals ahead of the proper operation of its compliance functions. On May 6, 2019, Ng pleaded not guilty to the DOJ&#8217;s criminal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">charges. On February 4, 2020, the FRB disclosed that Andrea Vella, a former participating managing director whom the DOJ had previously </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">referred to as an unindicted co-conspirator, had agreed, without admitting or denying the FRB&#8217;s allegations, to a consent order that prohibited </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">him from participating in the banking industry. No other penalties were imposed by the consent order. On December 17, 2018, the Attorney </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-202</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_73"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">General of Malaysia filed criminal charges in Malaysia
against Goldman Sachs International (GSI), as the arranger of three offerings of debt </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities of 1MDB, aggregating approximately $6.5 billion in principal amount, for
alleged disclosure deficiencies in the offering documents </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">relating to, among other things, the use of proceeds for the debt securities, as well as against Goldman Sachs
(Asia) LLC (GS Asia) and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Goldman Sachs (Singapore) PTE (GS Singapore). Criminal charges have also been filed against Leissner, Low, Ng and Jasmine Loo Ai Swan. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">In a related press release, the Attorney General of Malaysia indicated that prosecutors in Malaysia will seek criminal fines against the accused in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">excess of $2.7 billion plus the $600 million of fees received in connection with the debt offerings. On August 9, 2019, the Attorney General of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Malaysia announced that criminal charges had also been filed against seventeen current and former directors of GSI, GS Asia and GS Singapore. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The Malaysia Securities Commission issued notices to show cause against Goldman Sachs (Malaysia) Sdn Bhd (GS Malaysia) in December </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2018 and March 2019 that (i) allege possible violations of Malaysian securities laws and (ii) indicate that the Malaysia Securities Commission is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">considering whether to revoke GS Malaysia&#8217;s license to conduct corporate finance and fund management activities in Malaysia. The firm has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">received multiple demands, beginning in November 2018, from alleged shareholders under Section 220 of the Delaware General Corporation </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Law for books and records relating to, among other things, the firm&#8217;s involvement with 1MDB and the firm&#8217;s compliance procedures. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">December 13, 2019, an alleged shareholder filed a lawsuit in the Court of Chancery of the State of Delaware seeking books and records relating </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to, among other things, the firm&#8217;s involvement with 1MDB and the firm&#8217;s compliance procedures. On February 19, 2019, a purported </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholder derivative action relating to 1MDB was filed in the U.S. District Court for the Southern District of New York against Group Inc. and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the directors at the time and a former chairman and chief executive officer of the firm. The amended complaint filed on July 12, 2019, which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">seeks unspecified damages, disgorgement and injunctive relief, alleges breaches of fiduciary duties, including in connection with alleged insider </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading by certain current and former directors, unjust enrichment and violations of the anti-fraud provisions of the Exchange Act, including in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">connection with Group Inc.&#8217;s common stock repurchases and solicitation of proxies. Defendants moved to dismiss this action on September 12, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019. Beginning in March 2019, the firm has also received demands from alleged shareholders to investigate and pursue claims against certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">current and former directors and executive officers based on their oversight and public disclosures regarding 1MDB and related internal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">controls. On November 21, 2018, a summons with notice was filed in New York Supreme Court, County of New York, by International </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Petroleum Investment Company, which guaranteed certain debt securities issued by 1MDB, and its subsidiary Aabar Investments PJS. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">summons with notice makes unspecified claims relating to 1MDB and seeks unspecified compensatory and punitive damages and other relief </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against Group Inc., GSI, GS Asia, GS Singapore, GS Malaysia, Leissner, Ng, and Vella, as well as individuals (who are not current or former </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">employees of the firm) previously associated with the plaintiffs. On December 20, 2018, a putative securities class action lawsuit was filed in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. District Court for the Southern District of New York against Group Inc. and certain former officers of the firm alleging violations of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">anti-fraud provisions of the Exchange Act with respect to Group Inc.&#8217;s disclosures concerning 1MDB and seeking unspecified damages. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs filed the second amended complaint on October 28, 2019, which the defendants moved to dismiss on January 9, 2020. The firm is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cooperating with the DOJ and all other governmental and regulatory investigations relating to 1MDB. The firm is also engaged in discussions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with certain governmental and regulatory authorities with respect to potential resolution of their investigations and proceedings. There can be no </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">assurance that the discussions will lead to resolution of any of those matters. Any such resolution, as well as proceedings by the DOJ or other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">governmental or regulatory authorities, could result in the imposition of significant fines, penalties and other sanctions against the firm, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including restrictions on the firm&#8217;s activities.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Interest Rate Swap Antitrust Litigation</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Group Inc., GS&amp;Co., GSI, GS Bank USA and Goldman Sachs Financial Markets, L.P. (GSFM) are among the defendants named in a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">putative antitrust class action relating to the trading of interest rate swaps, filed in November 2015 and consolidated in the U.S. District Court for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Southern District of New York. The same Goldman Sachs entities also are among the defendants named in two antitrust actions relating to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the trading of interest rate swaps, commenced in April 2016 and June 2018, respectively, in the U.S. District Court for the Southern District of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">New York by three operators of swap execution facilities and certain of their affiliates. These actions have been consolidated for pretrial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings. The complaints generally assert claims under federal antitrust law and state common law in connection with an alleged conspiracy </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">among the defendants to preclude exchange trading of interest rate swaps. The complaints in the individual actions also assert claims under state </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">antitrust law. The complaints seek declaratory and injunctive relief, as well as treble damages in an unspecified amount. Defendants moved to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss the class and the first individual action and the district court dismissed the state common law claims asserted by the plaintiffs in the first </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">individual action and otherwise limited the state common law claim in the putative class action and the antitrust claims in both actions to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">period from 2013 to 2016. On November 20, 2018, the court granted in part and denied in part the defendants&#8217; motion to dismiss the second </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">individual action, dismissing the state common law claims for unjust enrichment and tortious interference, but denying dismissal of the federal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and state antitrust claims. On March 13, 2019, the court denied the plaintiffs&#8217; motion in the putative class action to amend their complaint to add </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-203</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_74"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">allegations related to 2008-2012 conduct, but granted
the motion to add limited allegations from 2013-2016, which the plaintiffs added in a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">fourth consolidated amended complaint filed on March 22, 2019. The plaintiffs in the
putative class action moved for class certification on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">March 7, 2019.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Commodities-Related Litigation</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GSI is among the defendants named in putative class actions relating to trading in platinum and palladium, filed beginning on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">November 25, 2014 and most recently amended on May 15, 2017, in the U.S. District Court for the Southern District of New York. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amended complaint generally alleges that the defendants violated federal antitrust laws and the Commodity Exchange Act in connection with an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleged conspiracy to manipulate a benchmark for physical platinum and palladium prices and seek declaratory and injunctive relief, as well as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">treble damages in an unspecified amount. Defendants moved to dismiss the third consolidated amended complaint on July 21, 2017. GS&amp;Co., </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">GSI, J. Aron &amp; Company and Metro, a previously consolidated subsidiary of Group Inc. that was sold in the fourth quarter of 2014, are among </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the defendants in a number of putative class and individual actions filed beginning on August 1, 2013 and consolidated in the U.S. District Court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for the Southern District of New York. The complaints generally allege violations of federal antitrust laws and state laws in connection with the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">storage of aluminum and aluminum trading. The complaints seek declaratory, injunctive and other equitable relief, as well as unspecified </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">monetary damages, including treble damages. In December 2016, the district court granted defendants&#8217; motions to dismiss as to all remaining </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims. Certain plaintiffs subsequently appealed in December 2016. On August 27, 2019, the Second Circuit vacated the district court&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissals and remanded the case to district court for further proceedings.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Included by the Sponsor from the NFA Website and not provided by Goldman Sachs International:</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">TRS Case #17-001 (May 26, 2017) &#8211; Failure to report a canceled or amended transaction.
513-Cancelled trades and amended trade </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">information. Fine of $1,000.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">BLB Case #161 (August 12, 2016) &#8211; For trade date June 2, 2016, Goldman Sachs International did not notify nor receive prior approval to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">offset an error trade as required under BSEF Rule 516. Fine of $1,250.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">For trade date March 13, 2020, GSI failed to report two Block Trades to BSEF within 10 minutes after the Participants agreed to and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">executed the terms of each Block Trade as required under BSEF Rule 531.A(d). Summary Notice of Fine ($1250), effective November 11, 2020.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Margin Levels Expected to be Held at the FCMs</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">While the portfolio composition may vary over time, it is not expected that, as of any daily rebalance, the Matching Fund and the Short </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Fund will ever have futures exposure greater than one times (1x) such Fund&#8217;s assets or that the Ultra Funds or UltraShort Funds will ever have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures exposure greater than two times (2x) such Fund&#8217;s assets (although this is possible in some circumstances, such as during periods of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">market volatility or in situations where margin requirements are high). It currently is anticipated that each Fund could have as much as 100% of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its assets held in segregated accounts as collateral for its transactions in futures contracts and other Financial Instruments.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds receive the income on any securities or other property of the Funds transferred to the
FCMs to fulfill requirements for margin </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to be held by the FCMs in respect of commodity interests, and receive a negotiated portion of any income derived by the FCMs in
respect of any </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">cash transferred to the FCMs and held for this purpose.</font></div> <div style="line-height:13.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">SWAP COUNTERPARTIES</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Funds intend to use Citibank, N.A. (&#8220;Citi&#8221;), Soci&#233;t&#233; G&#233;n&#233;rale (&#8220;SG&#8221;), UBS AG (&#8220;UBS&#8221;), Royal Bank of Canada
(&#8220;RBC&#8221;), Goldman </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sachs International (&#8220;GSI&#8221;), and Morgan Stanley &amp; Co. International PLC (&#8220;Morgan Stanley&#8221;) as counterparties to
swap agreements that are not </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">cleared on an exchange. Goldman Sachs &amp; Co. (&#8220;GS&amp;Co.&#8221;) may in the future act as a swap counterparty to the Funds. Each
such entity may act </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">as a counterparty for many other funds and individuals.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Investors should be advised that none of Citi, SG, UBS, RBC, GS&amp;Co. (to the extent that it acts as a swap agreement counterparty in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">future) GSI or Morgan Stanley is affiliated with or acts as a supervisor of the Funds or the Funds&#8217; commodity pool operators, commodity trading </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">advisors, investment managers, trustees, general partners, administrators, transfer agents, registrars or organizers, as applicable. Additionally, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">none of Citi, SG, UBS, RBC, GS&amp;Co. (to the extent that it acts as a swap agreement counterparty in the future) GSI or Morgan Stanley, in its </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-204</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_75"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">capacity as swap counterparty, is acting as an
underwriter or sponsor of the offering of any Shares or interests in the Funds or has passed upon </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the merits of participating in this offering.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">None of Citi, SG, UBS, RBC, GS&amp;Co. (to the extent that it acts as a swap agreement
counterparty in the future) GSI or Morgan Stanley </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">has passed upon the adequacy of this Prospectus or on the accuracy of the information contained herein. Additionally,
none of Citi, SG, UBS, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">RBC, GS&amp;Co. (to the extent that it acts as a swap agreement counterparty in the future) GSI or Morgan Stanley provides any commodity trading
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">advice regarding the Funds&#8217; trading activities. Investors should not rely upon Citi, SG, UBS, RBC, GS&amp;Co. (to the extent that it acts as a swap </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreement counterparty in the future) GSI or Morgan Stanley in deciding whether to invest in the Funds or retain their interests in the Funds. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Investors should also note that the Funds may select additional swap counterparties or replace Citi and/or SG and/or UBS and/or RBC and/or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">GS&amp; Co. (to the extent that it acts as a swap agreement counterparty in the future) and/or GSI and/or Morgan Stanley as the Funds&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">swap counterparty.</font></div>
<div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Litigation and Regulatory Disclosure Relating to Swap Counterparties</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;">Citibank, N.A.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Citibank, N.A. (&#8220;Citi&#8221; or &#8220;Citibank&#8221;) is acting as a swap dealer for ProShares Trust II. Citi is registered in the US with National Futures
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Association (NFA) as a registered Swap Dealer. Citi is and has been a defendant in numerous legal proceedings, including actions brought by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">regulatory organizations and government agencies, relating to its derivatives, securities and commodities business that allege various violations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of federal and state securities laws. Citigroup, Inc. (&#8220;Citigroup&#8221;) files annual reports and quarterly reports in which it discloses material </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">information about Citigroup matters, including information about any material litigation or regulatory investigation. Full details on the items </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">noted below can be found here: http://www.citigroup.com/citi/investor/sec.htm. This disclosure does not include any matters initiated against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Citibank during or after the fourth quarter of 2020. For active matters initiated prior to the fourth quarter of 2020, updates were based on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">matters&#8217; public U.S. state or federal court dockets.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Commodities Financing Contracts</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Beginning in May 2014, Citigroup became aware of reports of potential fraud relating to the financing of physical metal stored at the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Qingdao and Penglai ports in China. Citibank and Citigroup Global Markets Limited (&#8220;CGML&#8221;) had financing contracts with Mercuria Energy </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trading Pte. Ltd collateralized by physical metal stored at these ports, with the agreements providing that Mercuria would repurchase the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inventory at a specified date in the future.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 22, 2014, Citibank and CGML commenced proceedings in the High Court in London to enforce their rights under the relevant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreements in relation to approximately $285 million in financing. That counterparty and a Chinese warehouse provider previously brought </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">actions in the English courts to establish the parties&#8217; rights and obligations under these agreements.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In December 2016, the Citigroup affiliates reached a resolution on this matter with Mercuria, and
subsequently took steps to withdraw the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings in London, as well as related initiatives in Chinese courts. Additional information concerning this action is publicly
available in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">court filings under the claim reference: Mercuria Energy Trading PTE Ltd &amp; Another Citibank &amp; Another, Claim No. 2014 Folio 709, Appeal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Nos. 2015/2407 (Citigroup) and 2015/2395 (Mercuria).</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Credit Crisis-Related Litigation and Other Matters</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Mortgage-Backed Securities Trustee Actions:</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2014, investors in 27 residential MBS trusts for which Citibank served or currently serves as trustee filed an action in the United States </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">District Court for the Southern District of New York, captioned FIXED INCOME SHARES: SERIES M ET AL. v. CITIBANK N.A., alleging </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims that Citibank failed to pursue contractual remedies against securitization sponsors and servicers. Subsequently, all claims were dismissed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as to 26 of the 27 trusts. On March 22, 2018, the court granted Citibank&#8217;s motion for summary judgment and denied plaintiffs&#8217; motions for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">partial summary judgment and class certification, which plaintiffs appealed. On June 7, 2019, plaintiffs withdrew their appeal and the case was </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissed. Additional information concerning this action is publicly available in court filings under the docket number 14-cv-9373 (S.D.N.Y.) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(Furman, J.) and 18-1196 (2d Cir.)</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-205</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_76">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On November 24, 2015, largely the same group of investors filed another action in the New York State Supreme Court, captioned FIXED </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">INCOME SHARES: SERIES M, ET AL. v. CITIBANK N.A., related to 24 of the trusts dismissed from the federal court action and one </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">additional trust, asserting claims similar to the original complaint filed in federal court. In 2017, the court granted in part and denied in part </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Citibank&#8217;s motion to dismiss plaintiffs&#8217; amended complaint. Citibank appealed as to the sustained claims, and on January 16, 2018, the New </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">York State appeals court dismissed all of the remaining claims except the claim for breach of contract related to purported discovery of alleged </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">underwriter breaches of representations and warranties. On June 7, 2019, plaintiffs filed an unopposed motion to discontinue the action. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 24, 2019, the parties filed a stipulation discontinuing the action and the case was dismissed. Additional information concerning this </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action is publicly available in court filings under the docket number 653891/2015 (N.Y. Sup. Ct.) (Borrok, J.).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, the Federal Deposit Insurance Corporation (FDIC), as receiver for a financial
institution, filed a civil action against Citibank in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the United States District Court for the Southern District of New York, captioned FEDERAL DEPOSIT INSURANCE
CORPORATION AS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">RECEIVER FOR GUARANTY BANK v. CITIBANK N.A. The complaint concerns one RMBS trust for which Citibank formerly served as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trustee, and alleges that Citibank failed to pursue contractual remedies against the sponsor and servicers of that trust. After the court granted </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Citibank&#8217;s motion to dismiss on grounds that the FDIC lacked standing to pursue its claims, the FDIC filed an amended complaint. In 2018, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Citibank filed a motion to dismiss the amended complaint. On March 20, 2019, the court granted Citibank&#8217;s motion to dismiss the FDIC&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 15-cv-6574 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(S.D.N.Y.) (Carter, J.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Lehman Brothers Bankruptcy Proceedings</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On February 8, 2012, Citibank and certain Citigroup affiliates were named as defendants in an adversary proceeding asserting objections </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to proofs of claim totaling approximately $2.6 billion filed by Citibank and those affiliates, and claims under federal bankruptcy and state law to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">recover $2 billion deposited by Lehman Brothers Holdings Inc. (LBHI) with Citibank against which Citibank asserts a right of setoff. A global </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement between the parties was approved by the bankruptcy court on October 13, 2017. As part of the global settlement, Citibank retained </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$350 million from LBHI&#8217;s deposit at Citibank and returned to LBHI and its affiliates the remaining deposited funds, and LBHI withdrew its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">remaining objections to the bankruptcy claims filed by Citibank and its affiliates. This action was dismissed by stipulation on November 3, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2017. Additional information concerning this action is publicly available in court filings under the docket numbers 12-01044 and 08-13555 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(Bankr. S.D.N.Y.) (Chapman, J.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 21, 2014, an adversary proceeding was filed on behalf of Lehman Brothers Finance AG against Citibank, Citibank Korea Inc. and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CGML asserting that defendants improperly have withheld termination payments under certain derivatives contracts. An amended complaint </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">was filed on August 6, 2014, and defendants filed an answer on October 6, 2014. On July 1, 2016, the bankruptcy court entered an order </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approving a settlement between the parties. A stipulation of dismissal with prejudice was filed on July 26, 2016. Additional information </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">concerning this action is publicly available in court filings under the docket numbers 14-02050 and 09-10583 (Bankr. S.D.N.Y.) (Chapman, J.).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Terra Firma Litigation</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In December 2009, the general partners of two related private equity funds filed a complaint in
New York state court, subsequently </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">removed to the United States District Court for the Southern District of New York, asserting multi-billion dollar claims against
Citigroup and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain of its affiliates arising out of the May 2007 auction of the music company, EMI, in which Citigroup affiliates acted as advisor to EMI and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as a lender to plaintiffs&#8217; acquisition vehicle. Following a jury trial, a verdict was returned in favor of Citigroup on November 4, 2010. Plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">appealed from the entry of the judgment. On May 31, 2013, the United States Court of Appeals for the Second Circuit vacated the November </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2010 jury verdict in favor of the defendants and ordered that the case be retried. On March 7, 2014, the parties stipulated to the dismissal of all </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">remaining claims in the action, without prejudice to plaintiffs&#8217; rights to re-file those claims in England.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Additional information concerning this action is publicly available in court filings under the
docket numbers 09 Civ. 10459 (S.D.N.Y.) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(Rakoff, J.) and 11-0126-cv (2d Cir.). In August and September 2013, plaintiffs in the New York proceedings, together with their
affiliates and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">principal, filed claims against CGML, Citibank and Citigroup arising out of the EMI auction in the High Court of Justice, Queen&#8217;s Bench </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Division and Manchester District Registry Mercantile Court in Manchester, England. The cases have since been transferred to the High Court of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Justice, Queen&#8217;s Bench Division, Commercial Court in London. On March 7, 2014, the parties to the separate proceedings filed by Terra Firma </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in 2013 before the High Court of Justice, Queen&#8217;s Bench Division, consented to the service by plaintiffs of an amended complaint incorporating </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the claims that would have proceeded to trial in the United States District Court for the Southern District of New York in July 2014, had the </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-206</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_77"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">New York action not been dismissed. On June 15, 2016, by
consent of the parties, the English High Court of Justice dismissed Terra Firma&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">lawsuit against CGML, Citibank and Citigroup with prejudice and ordered Terra Firma
to pay the Citigroup defendants&#8217; costs associated with </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">defending the lawsuit. Additional information concerning this action is publicly available in court filings
under the claim reference Terra Firma </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Investments (GP) 2 Ltd. &amp; Ors v Citigroup Global Markets Ltd. &amp; Ors (CL-2013-000293).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Credit Default Swaps Matters</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Putative class action complaints were filed by various entities against Citigroup, CGMI and
Citibank, among other defendants, alleging </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">anticompetitive conduct in the credit default swap (CDS) industry and asserting various claims under Sections 1 and 2 of the
Sherman Act as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">well as a state law claim for unjust enrichment. On October 16, 2013, the U.S. Judicial Panel on Multidistrict Litigation centralized these </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">putative class actions in the Southern District of New York for coordinated or consolidated pretrial proceedings before Judge Denise Cote. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 4, 2014, the United States District Court for the Southern District of New York granted in part and denied in part defendants&#8217; motion </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to dismiss the second consolidated amended complaint, dismissing plaintiffs&#8217; claim for violation of Section 2 of the Sherman Act and certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims for damages, but permitting the case to proceed as to plaintiffs&#8217; claims for violation of Section 1 of the Sherman Act and unjust </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">enrichment. On September 30, 2015, the defendants, including Citigroup, Citibank, and related parties, entered into settlement agreements to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settle all claims of the putative class, and on October 29, 2015 and April 16, 2016, the court granted plaintiffs&#8217; motion for preliminary approval </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and final approval of the proposed settlements, respectively. Additional information relating to this action is publicly available in court filings </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">under the docket number 13 MD 2476 (S.D.N.Y.) (Cote, J.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 8, 2017, a complaint was filed in the United States District Court for the Southern District of New York against numerous CDS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">market participants, including Citigroup, Citibank, CGMI, and Citigroup Global Markets Ltd. (CGML), under the caption TERA GROUP, INC., </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ET AL. v. CITIGROUP INC., ET AL. The complaint alleges that defendants colluded to prevent plaintiffs&#8217; electronic CDS trading platform, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">TeraExchange, from entering the market, resulting in lost profits to plaintiffs. The complaint asserts federal and state antitrust claims, and claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for unjust enrichment and tortious interference with business relations. Plaintiffs seek a finding of joint and several liability, treble damages, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">attorneys&#8217; fees, interest, and injunctive relief. On September 11, 2017, defendants, including Citigroup, Citibank, CGMI, and CGML, filed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motions to dismiss all claims. On July 30, 2019, the court granted in part and denied in part defendants&#8217; motion to dismiss. On January 30, 2020, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs filed an amended complaint. On March 30, 2020, the Court issued an order granting defendants leave to file a motion to dismiss. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Defendants filed a motion to dismiss on April 2, 2020 and the motion was fully briefed on May 15, 2020. Additional information concerning this </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action is publicly available in court filings under the docket number 17-cv-04302 (S.D.N.Y.) (Sullivan, J.).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Depositary Receipts Conversion Litigation</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Regulatory Actions: On November 7, 2018, the SEC entered an order accepting an offer of
settlement from Citibank concerning the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">SEC&#8217;s investigation into activity relating to pre-released American Depositary Receipts from 2011 to 2015. While neither
admitting nor denying </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the SEC&#8217;s allegations, Citibank agreed to a violation under Section 17(a)(3) of the Securities Act, as well as disgorgement of $20,903,858.25
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and pre-judgment interest of $4,258,893.71 plus a civil money penalty of $13,587,507.86 for a total of $38,750,259.82.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Other Litigation: In 2015, Citibank was sued by a purported class of persons or entities who,
from January 2000 to the present, are or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">were holders of depositary receipts for which Citibank served as the depositary bank and converted, or caused to be converted,
foreign currency </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dividends or other distributions into U.S. dollars. On March 23, 2018, the court granted in part and denied in part plaintiffs&#8217; motion for class
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">certification, certifying only a class of holders of Citi-sponsored American depositary receipts that plaintiffs own. On September 6, 2018, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">court granted preliminary approval of a class action settlement. On July 12, 2019, the court granted final approval. Additional information </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">concerning this action is publicly available in court filings under the docket number 15 Civ. 9185 (S.D.N.Y.) (McMahon, C.).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Foreign Exchange Matters</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Regulatory Actions: Government and regulatory agencies in the U.S. and in other jurisdictions are
conducting investigations or making </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">inquiries regarding Citigroup&#8217;s foreign exchange business. Citigroup is fully cooperating with these and related investigations
and inquiries.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2017, the Competition Commission of South Africa confirmed a
Consent Agreement with Citibank resolving allegations that between </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 2007 and October 2013, Citibank and its affiliates engaged with non-Citi market participants
in certain collusive conduct with </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">regards to trading in FX involving the South African Rand (ZAR) in violation of South African law. A penalty of ZAR 69,500,860 was paid.
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">This was the equivalent of between US $5M and $5.5M.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-207</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_78"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 16, 2019, the EC announced a settlement with Citigroup and Citibank resolving its foreign exchange spot
investigation. Citi was </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">among six banks settling the EC&#8217;s investigation. As part of the settlement, Citi agreed to pay a fine of 310,776,000 Euro.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 6, 2019, the Swiss Competition Commission (COMCO) announced a settlement with Citigroup
for the same conduct covered by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the EC settlement. Citigroup was among six banks settling COMCO&#8217;s investigation. As part of the settlement, Citigroup agreed to pay a
fine of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">28,500,000 CHF.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Antitrust and Other Litigation: Numerous foreign exchange dealers, including Citigroup and Citibank, are named as defendants in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">putative class actions that are proceeding on a consolidated basis in the United States District Court for the Southern District of New York under </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the caption IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION. The plaintiffs allege that they suffered losses </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as a result of the defendants&#8217; alleged manipulation of, and collusion with respect to, the foreign exchange market. The plaintiffs allege violations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Commodity Exchange Act, the Sherman Act, and/or the Clayton Act, and seek compensatory damages, treble damages and declaratory </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and injunctive relief.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On December 15, 2015, the court entered an order preliminarily approving a proposed settlement between the Citi defendants and classes </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of plaintiffs who traded foreign exchange instruments in the spot market and on exchanges. The proposed settlement provides for the Citi </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants to receive a release in exchange for a payment of approximately $400 million. On December 20, 2016, the court approved the notice </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of settlements and preliminarily approved the plan of distribution. The court granted final approval on August 6, 2018. Additional information </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">concerning these actions is publicly available in court filings under the consolidated lead docket number: 13 Civ. 7789 (S.D.N.Y.) (Schofield, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">J.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 3,
2015, an action captioned ALLEN v. BANK OF AMERICA CORPORATION, ET AL. was brought in the United States </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">District Court for the Southern District of New York against
Citigroup, as well as numerous other foreign exchange dealers. The plaintiffs seek </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to represent a putative class of participants, beneficiaries, and named fiduciaries of
qualified Employee Retirement Income Security Act </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(ERISA) plans for whom a defendant provided foreign exchange transactional services or authorized or permitted foreign
exchange transactional </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">services involving a plan&#8217;s assets in connection with its exercise of authority or control regarding an ERISA plan. The plaintiffs allege
violations </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of ERISA, and seek compensatory damages, restitution, disgorgement and declaratory and injunctive relief.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 6, 2016, the plaintiffs filed a second amended class action complaint against numerous
foreign exchange dealers, including </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Citigroup and Citibank. On April 15, 2016, the settling defendants in IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">LITIGATION moved to enjoin the ALLEN action pending final settlement approval in IN RE FOREIGN EXCHANGE BENCHMARK </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">RATES ANTITRUST LITIGATION. On June 1, 2016, the court granted the motion in part as to claims based on collusive conduct and directed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs to file a separate pleading for claims based exclusively on non-collusive conduct. The plaintiffs filed a third amended complaint on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">July 15, 2016.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On
September 20, 2016, the plaintiffs and settling defendants in IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">LITIGATION filed a joint stipulation dismissing
plaintiffs&#8217; claims with prejudice. On October 20, 2016, the ALLEN plaintiffs appealed the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">lower court&#8217;s dismissal of claims against settling defendants in IN
RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">LITIGATION to the United States Court of</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Appeals for the Second Circuit, after having also appealed dismissal as to other defendants. The Second Circuit consolidated the two </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">appeals and, on July 10, 2018, affirmed dismissal. Additional information concerning this action is publicly available in court filings under the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">docket numbers 13 Civ. 7789 (S.D.N.Y.) (Schofield, J.); 15 Civ. 4285 (S.D.N.Y.) (Schofield, J.); 16-3327 (2d Cir.); and 16-3571 (2d Cir.).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 10, 2016, Citibank, Citigroup and various other banks were joined as defendants in a pro
se action captioned WAH ET AL. v. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">HSBC NORTH AMERICA HOLDINGS INC. ET AL. pending in the United States District Court for the Southern District of New York. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint asserts claims based on alleged FX market collusion in violation of the Sherman Act and Commodity Exchange Act. On March 31, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2016, plaintiffs filed an amended complaint. On April 29, 2016, Citi and the other newly joined defendants joined a previously filed motion to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss or stay the action. On August 11, 2016, the court granted the defendants&#8217; motion to dismiss. The plaintiffs&#8217; amended complaint dated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">June 8, 2017 removed the Citi entities from the action. Additional information concerning this action is publicly available in court filings under </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the docket number 15 Civ. 08974 (S.D.N.Y.) (Schofield, J.).</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-208</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_79"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 16, 2015, an action captioned NEGRETE v. CITIBANK, N.A. was filed in the United States District
Court for the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Southern District of New York. Plaintiffs allege that Citibank engaged in conduct in connection with plaintiffs&#8217; foreign exchange trading that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">caused them losses. Plaintiffs assert claims for fraud, breach of contract, and negligence, and seek compensatory damages, punitive damages and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">injunctive relief. On November 17, 2015, Citi filed a motion to dismiss and a motion to stay discovery pending resolution of the motion to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss. On December 7, 2015, the court granted Citi&#8217;s motion for a stay of discovery. On June 20, 2016, plaintiffs filed an amended complaint. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Citibank moved to dismiss the amended complaint, and plaintiffs cross-moved for partial summary judgment. On February 27, 2017, the court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">granted Citibank&#8217;s motion to dismiss in part without leave to amend, and denied plaintiffs&#8217; motion for partial summary judgment. On March 13, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2017, Citibank filed an answer to plaintiffs&#8217; amended complaint. On March 21, 2017, plaintiffs moved for entry of final judgment as to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissed claims and requested that litigation of the remaining claim be stayed pending an appeal. On July 11, 2017, the court denied plaintiffs&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion for entry of final judgment as to the claims dismissed in the court&#8217;s February 27, 2017 order. On August 18, 2017, the parties stipulated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to voluntary dismissal of plaintiffs&#8217; sole remaining claim that was not dismissed in the court&#8217;s February 27, 2017 order. On September 7, 2017, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs filed a notice of appeal to the United States Court of Appeals for the Second Circuit. On January 3, 2019, the Second Circuit affirmed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the district court&#8217;s judgment. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">7250 (S.D.N.Y.) and 17-2783 (2d Cir.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, an action captioned NYPL v. JPMORGAN CHASE &amp; CO., ET AL. was brought in the United States District Court for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Northern District of California (later transferred to the United States District Court for the Southern District of New York) against Citigroup, as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">well as numerous other foreign exchange dealers.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Subsequently, plaintiffs filed a third amended class action complaint, naming Citigroup, Citibank, and Citicorp as defendants. Plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">seek to represent a putative class of &#8220;consumers and businesses in the United States who directly purchased supracompetitive foreign currency at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Benchmark exchange rates&#8221; from defendants. Plaintiffs allege claims under federal and California antitrust and consumer protection laws, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">are seeking compensatory damages, treble damages, and declaratory and injunctive relief. In January 2019, the plaintiffs renewed a previously </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed motion for leave to amend their complaint, and on July 9, 2019, the court denied that motion. On January 13, 2020, the court issued an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amended case management plan, setting case and pretrial deadlines. On April 30, 2020, plaintiffs filed a motion for class certification. That </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion remains pending as expert discovery continues. Additional information concerning this action is publicly available in court filings under </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the docket numbers 15 Civ. 2290 (N.D. Cal.) (Chhabria, J.) and 15 Civ. 9300 (S.D.N.Y.) (Schofield, J.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 26, 2016, investors in exchange-traded funds (ETFs) commenced a suit captioned BAKER ET AL. v. BANK OF </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">AMERICA CORPORATION ET AL. in the United States District Court for the Southern District of New York against Citigroup, Citibank, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Citicorp and CGMI, as well as various other banks. The complaint asserts claims under the Sherman Act, New York state antitrust law, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">California state antitrust law and unfair competition law, based on alleged foreign exchange market collusion affecting ETF investments. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs seek to certify nationwide, California and New York classes, and request damages and injunctive relief under the relevant statutes, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including treble damages. On January 23, 2017, the defendants moved to dismiss the complaint, and on March 24, 2017, the plaintiffs filed an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amended complaint in lieu of responding to defendants&#8217; motion. A stipulation of voluntary dismissal was filed on April 28, 2017. Additional </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">information concerning this action is publicly available in court filings under the docket number 16 Civ.7512 (S.D.N.Y) (Schofield, J.).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2017, certain plaintiffs filed a consolidated amended complaint on behalf of purported classes
of indirect purchasers of foreign </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange instruments sold by defendants, including Citigroup, Citibank, Citicorp, and CGMI as defendants, captioned CONTANT, ET AL. v.
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">BANK OF AMERICA CORPORATION, ET AL. Plaintiffs allege that defendants engaged in a conspiracy to fix currency prices in violation of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Sherman Act and various state antitrust laws. On November 15, 2018, the court denied plaintiffs&#8217; motions for preliminary approval of a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proposed class settlement with the Citi defendants. On May 29, 2019, the plaintiffs filed an amended motion for preliminary approval of their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement, and the court granted the motion on July 29, 2019. On November 19, 2019, the court stayed settlement deadlines so that settlements </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with two additional defendants could be combined with the Citi settlement. Additional information concerning these actions is publicly available </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in court filings under the docket numbers 16 Civ. 7512 (S.D.N.Y.) (Schofield, J.), 17 Civ. 4392 (S.D.N.Y.) (Schofield, J.), and 17 Civ. 3139 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(S.D.N.Y.) (Schofield, J.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 12, 2017, a putative class action captioned ALPARI (US), LLC v. CITIGROUP INC. &amp; CITIBANK, N.A. was filed in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">United States District Court for the Southern District of New York. Plaintiff asserts claims for breach of contract and unjust enrichment arising </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">out of alleged cancellation of electronic FX transactions and seeks damages, restitution, injunctive relief, and attorneys&#8217; fees. On September 11, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2017, plaintiff filed a notice of dismissal, dismissing its case against Citigroup and Citibank in its entirety without prejudice. The court approved </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-209</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_80"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the dismissal on September 12, 2017 and ordered the case
closed. Additional information concerning this action is publicly available in court </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">filings under the docket number 17 Civ. 5269 (S.D.N.Y.).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On November 7, 2018, some of the institutional investors who opted out of an August 2018
settlement with Citi defendants filed a lawsuit </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">against Citigroup, Citibank, CGMI, and other defendants under the caption ALLIANZ GLOBAL INVESTORS, ET AL. v. BANK OF
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">AMERICA CORPORATION, ET AL. Plaintiffs allege that defendants manipulated, and colluded to manipulate, the foreign exchange market. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Plaintiffs assert Sherman Act and unjust enrichment claims and seek consequential and punitive damages and other forms of relief. On April 1, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019, Citigroup, Citibank, CGMI, and other defendants filed a motion to dismiss the amended complaint, and on June 11, 2019, plaintiffs filed a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">second amended complaint. On July 25, 2019, defendants moved to dismiss plaintiffs&#8217; second amended complaint. On May 28, 2020, the court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">granted in part and denied in part defendants&#8217; motion ti dismiss the second amended complaint. On July 28, 2020, plaintiffs filed a third </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amended complaint, to which the defendants filed answers on September 4, 2020. Additional information concerning this action is publicly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">available in court filings under the docket number 18 Civ. 10364 (S.D.N.Y.) (Schofield, J.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2018, two motions for certification of class actions alleging manipulation of foreign exchange markets were filed in the Tel Aviv </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Central District Court in Israel against Citigroup and CGMI, and Citibank, respectively. The cases are LANUEL, ET AL. v. BANK OF </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">AMERICA CORPORATION, ET AL., CA 29013-09-18, and GERTLER, ET AL. v. DEUTSCHE BANK AG, C1A 1657-10-18. On
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 12, 2019, these motions were consolidated into a single proceeding, and an amended motion for certification of a class action was </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed and served on Citibank. On May 26, 2020, the amended motion for certification was served on Citigroup and Citicorp. On August 11, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2020, Citibank moved to dismiss the petition for certification. Additional information concerning this action is publicly available in court filings </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">under the docket number CA 29013-09-18.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 25, 2019, a group of institutional investors served their claim in ALLIANZ GLOBAL INVESTORS GMBH AND OTHERS v. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">BARCLAYS BANK PLC AND OTHERS in the High Court in London against Citibank, Citigroup, and other defendants. The claim asserts that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants manipulated, and colluded to manipulate, the foreign exchange market and alleges breaches of EU and UK competition law. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">July 31, 2019, defendants responded to plaintiffs&#8217; claims, and on September 23, 2019, plaintiffs served their reply. Additional information </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">concerning this action is publicly available in court filings under the docket number CL-2018-000840.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 27, 2019, a putative class action captioned J WISBEY &amp; ASSOCIATES PTY LTD v. UBS AG &amp; ORS was filed in the Federal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Court of Australia against Citibank and other defendants. Plaintiffs allege manipulation of foreign exchange markets in violation of Australian </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">antitrust laws and seek compensatory damages and declaratory and injunctive relief. On April 30, 2020, plaintiffs filed an application to amend </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">their pleadings. Additional information concerning this action is publicly available in court filings under the docket number VID567/2019.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 29, 2019, an application was made to the U.K.&#8217;s Competition Appeal Tribunal,
captioned MICHAEL O&#8217;HIGGINS FX CLASS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">REPRESENTATIVE LIMITED v. BARCLAYS BANK PLC AND OTHERS, requesting permission to commence collective proceedings </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against Citibank, Citigroup, and other defendants. The application seeks compensatory damages for losses alleged to have arisen from the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">actions at issue in the European Commission&#8217;s foreign exchange spot trading infringement decision (European Commission Decision of May 16, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019 in Case AT.40135-FOREX (Three Way Banana Split) C(2019) 3631 final). Additional information concerning this action is publicly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">available in court filings under the docket number 1329/7/7/19.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On December 20, 2019, an application, captioned PHILLIP EVANS v. BARCLAYS BANK PLC AND OTHERS, was made to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.K.&#8217;s Competition Appeal Tribunal requesting permission to commence collective proceedings against Citibank, Citigroup and other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants. The application seeks compensatory damages similar to those in the Michael O&#8217;Higgins FX Class Representative Limited </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">application. Additional information concerning this action is publicly available in court filings under the docket number 1336/7/7/19.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In September 2015, putative class actions captioned B&#201;LAND v. ROYAL BANK OF CANADA, ET AL.
and STAINES v. ROYAL </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">BANK OF CANADA, ET AL. were filed in the Quebec Superior Court of Justice and the Ontario Superior Court of Justice, respectively, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against Citigroup, Citibank, and related parties, as well as numerous other foreign exchange (FX) dealers. Plaintiffs allege that defendants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conspired to fix the prices and supply of currency purchased in the FX market, and that this manipulation caused investors to pay inflated rates </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for currency and/or to receive deflated rates for currency. Plaintiffs assert claims under the Canadian Competition Act and the Quebec Civil </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Code and/or for civil conspiracy, unjust enrichment and waiver of tort. Plaintiffs seek compensatory and punitive damages on behalf of putative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">classes of all persons in Quebec or in Canada who entered into an FX instrument or participated in a fund or investment vehicle that entered into </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">an FX instrument between January 1, 2003 and December 31, 2013. Citigroup, Citibank, and related parties have agreed to settle these actions </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-210</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_81"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for CAD 21 million. On December 14, 2016, the court
preliminarily approved the settlement. A final approval hearing was scheduled for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">April 13, 2017. Additional information concerning these actions is publicly available in
court filings under the docket numbers 200-06-000189-152</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;"> (C.S.Q. Quebec) and CV-15-200-06-000189-152 (Ont. S.C.J.).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Interest Rate Swaps Matters</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Regulatory Actions: The Commodity Futures Trading Commission (CFTC) is conducting an
investigation into alleged anticompetitive </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">conduct in the trading and clearing of interest rate swaps (IRS) by investment banks. Citigroup is cooperating with the
investigation.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 25, 2017, Citibank and Citigroup Global Markets Ltd.
agreed to a resolution with the CFTC involving for alleged swap </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">data reporting violations involving Legal Entity Identifier information and related supervision failures
from April 2015 to December 2016. The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">CFTC resolution required Citi to pay a $550,000 civil monetary penalty and to comply with certain undertakings to improve its
reporting. The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Order recognized Citi&#8217;s cooperation with the CFTC&#8217;s investigation.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Antitrust and Other Litigation: Beginning in November 2015, numerous interest rate swap (IRS) market participants, including Citigroup, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Citibank, CGMI and CGML, were named as defendants in a number of industry- wide putative class actions. These actions have been </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consolidated in the United States District Court for the Southern District of New York under the caption IN RE INTEREST RATE SWAPS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ANTITRUST LITIGATION. Plaintiffs in these actions allege that defendants colluded to prevent the development of exchange-like trading for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">IRS, thereby causing the putative classes to suffer losses in connection with their IRS transactions. Plaintiffs assert federal antitrust claims and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims for unjust enrichment. Also consolidated under the same caption are two individual actions filed by swap execution facilities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">TeraExchange LLC (TeraExchange) and Javelin LLC (Javelin), asserting federal and state antitrust claims as well as claims for unjust </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">enrichment and tortious interference with business relations. Plaintiffs in all of these actions seek treble damages, fees, costs and injunctive </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relief. On July 28, 2017, the Court partially granted and partially denied defendants&#8217; motion to dismiss, leaving Citigroup and ten other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants in the case. On June 14, 2018, an additional swap execution facility, trueEX LLC (trueEX), filed an individual complaint, and on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">August 28, 2018, the remaining defendants moved to dismiss the trueEX amended complaint. On November 20, 2018, the Court partially </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">granted and partially denied defendants&#8217; motion to dismiss, and on February 20, 2019, putative class plaintiffs moved to certify a class of IRS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purchasers. That motion was fully submitted on January 6, 2020 and remains pending. Additional information concerning these actions is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">publicly available in court filings under the docket numbers 18-CV-5361 (S.D.N.Y.) (Oetken, J.) and 16-MD-2704 (S.D.N.Y.) (Oetken, J.).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Interbank Offered Rates-Related Litigation and Other Matters</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Regulatory Actions: Government agencies in the U.S., including the Department of Justice, the
CFTC, the SEC, and a consortium of state </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">attorneys general as well as agencies in other jurisdictions, including the EC, the U.K. Financial Conduct Authority, the Japanese
Financial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Services Agency (JFSA), the Swiss Competition Commission and the Monetary Authority of Singapore, are conducting investigations or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">making inquiries regarding submissions made by panel banks to bodies that publish various interbank offered rates and other benchmark rates. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">As members of a number of such panels, Citigroup subsidiaries have received requests for information and documents. Citigroup is cooperating </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with the investigation and is responding to the requests.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 25, 2016, the CFTC ordered Citibank, Citibank Japan Ltd., and CGM Japan Inc. to pay a civil monetary penalty in the amount of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">$175 million. The CFTC alleged violative conduct in connection with the London Interbank Offered Rate for Yen and the Euroyen Tokyo </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Interbank Offered Rate from the spring of 2008 through August 2010.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 13, 2018, Citibank agreed a settlement payment of $100 million with the New York State Attorney General. Of that amount, $95 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million would be distributed to counterparties that the New York State Attorney General alleges were harmed by Citibank&#8217;s LIBOR-related </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conduct. Counterparties eligible for payments included states, and their municipalities and agencies, as well as affiliated pension funds and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">credit unions, that entered into LIBOR-based transactions with Citibank during the period August 31, 2007 through December 31, 2009.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Antitrust and Other Litigation: Citigroup and Citibank, along with other U.S. Dollar (USD) LIBOR
panel banks, are defendants in a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">multi-district litigation (MDL) proceeding before the United States District Court for the Southern District of New York captioned IN RE
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION (the LIBOR MDL). Plaintiffs, on behalf of different putative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">classes and individually, assert claims under the Sherman Act, the Commodities Exchange Act, and state antitrust, unfair competition, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">restraint of trade laws, as well as various common law claims, based on allegations that defendants suppressed or otherwise manipulated USD </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR. Plaintiffs seek compensatory damages, restitution, treble damages where authorized by statute, and injunctive relief.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-211</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_82"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On December 5, 2018, a court granted
preliminary approval of a settlement among Citigroup, Citibank and a class of investors who </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">purchased USD LIBOR debt securities from non-defendant sellers, pursuant to
which the Citi defendants paid $7.025 million. On December 20, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2018, a court granted final approval of a settlement among Citigroup, Citibank and a class of lending
institutions with interests in loans tied to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">USD LIBOR, pursuant to which the Citi defendants paid $23 million. On September 5, 2019, the court granted preliminary
approval to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">revised plan of distribution submitted by exchange-based plaintiffs in connection with their settlement with Citigroup, Citibank, and CGMI. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange-based plaintiffs&#8217; motion for preliminary approval of the settlement is pending. On August 7, 2019, the court ordered a stipulation of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissal of all of Federal National Mortgage Association&#8217;s claims against Citigroup and Citibank. On March 2, 2020, the court granted </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">preliminary approval of a settlement among Citigroup, Citibank, CGMI, and a class of purchasers of exchange traded Eurodollar futures and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">options. On September 17, 2020, the court granted final approved the settlement. Additional information concerning these actions and related </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">actions and appeals is publicly available in court filings under the docket numbers 11 MD 2262 (S.D.N.Y.) (Buchwald, J.) and 17-1569 (2d Cir.)</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 17, 2013, the plaintiff class of indirect purchasers of U.S. debt securities filed
an appeal in the Second Circuit of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR MDL&#8217;s March 29, 2013 and August 23, 2013 orders. Certain plaintiffs filed a separate appeal in the Second Circuit on
September 24, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2013. The Second Circuit dismissed the appeals on October 30, 2013, and denied the plaintiffs&#8217; motions to reconsider dismissal on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">December 16, 2013. On June 30, 2014, the United States Supreme Court granted the plaintiffs&#8217; petition for a writ of certiorari in GELBOIM, ET </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">AL. v. BANK OF AMERICA CORP., ET AL. with respect to the Second Circuit&#8217;s dismissal of their appeal. On January 21, 2015, the Supreme </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Court ruled that, contrary to the Second Circuit&#8217;s opinion, the plaintiffs had a right to appeal, and remanded the case to the Second Circuit for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consideration of the plaintiffs&#8217; appeal on the merits. Following the remand, plaintiffs-appellants submitted their opening brief on May 20, 2015, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and defendants-appellees submitted their response brief on July 17, 2015. The Second Circuit heard oral argument on November 13, 2015. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">May 23, 2016, the Second Circuit reversed the district court&#8217;s dismissal of antitrust claims and remanded &#8220;efficient enforcer&#8221; issues to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">district court. Additional information concerning this action is publicly available in court filings under the docket numbers 13-3565 (2d Cir.), </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">13-3636 (2d Cir.), and 13-1174 (U.S.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Citigroup and Citibank, along with other USD LIBOR panel banks, also are named as defendants in an individual action filed in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">United States District Court for the Southern District of New York on February 13, 2013, captioned 7 WEST 57th STREET REALTY CO. v. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CITIGROUP INC., ET AL. Plaintiff alleges that the defendant panel banks manipulated USD LIBOR to keep it artificially high and that this </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">manipulation affected the value of plaintiffs&#8217; OTC municipal bond portfolio in violation of federal and state antitrust laws and federal RICO law.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Plaintiff seeks compensatory damages, treble damages where authorized by statute, and declaratory
relief. On March 31, 2015, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">United States District Court for the Southern District of New York dismissed this action. On June 1, 2015, plaintiff moved for leave to file
a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">second amended complaint. Briefing on the motion was complete as of August 10, 2015. On March 20, 2018, the Court denied plaintiff&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion for leave to amend its complaint, and the plaintiff appealed. On April 30, 2019, the United States Court of Appeals for the Second </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Circuit issued a summary order affirming the district court&#8217;s dismissal of the action. Additional information concerning this action is publicly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">available in court filings under the docket number 13 Civ. 981 (Gardephe, J.) and 18-1102 (2d Cir.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Separately, on April 30, 2012, an action was filed in the United States District Court for the Southern District of New York on behalf of a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">putative class of persons and entities who transacted in exchange-traded Euroyen futures and option contracts between June 2006 and September </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2010. This action is captioned LAYDON v. MIZUHO BANK LTD. ET AL. The plaintiff filed an amended complaint on November 30, 2012, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">naming as defendants banks that are or were members of the panels making submissions used in the calculation of Japanese yen LIBOR and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">TIBOR, and certain affiliates of some of those banks, including Citibank, Citigroup, CJL and CGMJ. The complaint alleges that the plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">were injured as a result of purported manipulation of those reference interest rates, and asserts claims arising under the Commodity Exchange </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Act and the Sherman Act and for unjust enrichment. On April 15, 2013, the plaintiff filed a second amended complaint alleging that defendants, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including Citigroup, Citibank, CJL and CGMJ, manipulated Japanese yen LIBOR and TIBOR in violation of the Commodity Exchange Act and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Sherman Act. The second amended complaint asserts claims under these acts and for unjust enrichment on behalf of a putative class of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">persons and entities that engaged in U.S.-based transactions in Euroyen TIBOR futures contracts between January 2006 and December 2010. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Plaintiffs seek compensatory damages, treble damages under the Sherman Act, restitution, and declaratory and injunctive relief. The defendants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">moved to dismiss the second amended complaint, and briefing on the motions to dismiss was completed on October 16, 2013. On March 28, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2014, Judge George B. Daniels of the United States District Court for the Southern District of New York issued an opinion and order dismissing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiff&#8217;s federal antitrust and unjust enrichment claims in their entirety, but allowing plaintiff&#8217;s Commodity Exchange Act claims to proceed. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">On July 24, 2015, a putative class action captioned SONTERRA CAPITAL MASTER FUND, LTD. v. UBS AG was brought in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">United States District Court for the Southern District of New York against Citigroup, Citibank, and related parties, as well as other bank </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-212</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_83"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants, and was designated as related to LAYDON v.
MIZUHO BANK LTD. ET AL. The complaint alleged manipulation of Yen LIBOR, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Euroyen TIBOR, and the prices of Euroyen-based derivatives. The plaintiff asserts claims under the
Sherman Act, the Commodity Exchange </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Act, and the Racketeer Influenced and Corrupt Organizations (RICO) Act and for unjust enrichment, and seeks compensatory damages,
treble </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">damages where authorized by statute, injunctive relief, and/or disgorgement. On April 7, 2016 and June 22, 2016, the court preliminary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approved a proposed class action settlement with defendants, including the Citi defendants, concerning the remaining claims in both actions.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The court issued a final approval order on November 10, 2016. Additional information concerning
this action is publicly available in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">court filings under the docket number 12-cv-3419 (S.D.N.Y.) and 15-cv-05844 (S.D.N.Y.) (Daniels, J.).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, plaintiffs in the class action SULLIVAN v. BARCLAYS PLC, ET AL. pending in the United
States District Court for the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Southern District of New York filed a fourth amended complaint naming Citigroup, Citibank, and various other banks as defendants. Plaintiffs
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">claim to have suffered losses as a result of purported EURIBOR manipulation and assert claims under the Commodity Exchange Act, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sherman Act, and the federal civil RICO Act and for unjust enrichment. In 2017, the court granted in part and denied in part defendants&#8217; motion </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to dismiss. On December 19, 2018, the court preliminarily approved a settlement among the Citi and JPMorgan defendants and plaintiffs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pursuant to which the settling defendants collectively agreed to pay a total of $182.5 million. On May 17, 2019, the court granted final approval </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the class settlement between plaintiffs and Citigroup, Citibank, and other settling defendants. Additional information concerning this action is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">publicly available in court filings under the docket number 13 Civ. 2811 (S.D.N.Y.) (Castel, J.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 1, 2016, a putative class action captioned FRONTPOINT ASIAN EVENT DRIVEN FUND, LTD. ET AL. v. CITIBANK, N.A. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ET AL. was filed in the United States District Court for the Southern District of New York against Citibank, Citigroup and various other banks. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Plaintiffs assert claims for violation of the Sherman Act, Clayton Act and RICO Act, as well as state law claims for alleged manipulation of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Singapore Interbank Offered Rate and Singapore Swap Offer Rate. On July 26, 2019, the court dismissed all claims against the non-settling </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants based on lack of subject-matter jurisdiction. The court also found that the lack of jurisdiction deprived the court of the power to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approve settlements, and thus denied plaintiffs&#8217; motion for preliminary approval of their settlement with Citibank. Plaintiffs filed an appeal of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the court&#8217;s decision on August 26, 2019, and briefing on the motion was complete as of March 3, 2020. Oral argument on the appeal took place </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on September 11, 2020. The appeal remains pending. Additional information concerning this action is publicly available in court filings under </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the docket number 16 Civ. 5263 (S.D.N.Y.) (Hellerstein, J.) and 19-2719 (2d Cir.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2016, Banque Delubac filed a summons captioned SCS BANQUE DELUBAC &amp; CIE v. CITIGROUP INC. ET AL. against Citigroup, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Citigroup Global Markets Limited (CGML), and Citigroup Europe Plc with the Commercial Court of Aubenas, France, alleging that defendants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">suppressed LIBOR submissions between 2005 and 2012, and that Banque Delubac&#8217;s EURIBOR-linked lending activity was negatively impacted </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as a result. Plaintiff is seeking compensatory damages for losses on LIBOR-linked loans to customers and for alleged consequential losses to its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">business. On November 6, 2018, the Aubenas Court found that it lacked subject matter jurisdiction and transferred the case to the Commercial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Court of Marseille. Plaintiff appealed, and on March 28, 2019, the Court of Appeal of N&#238;mes held that neither the Commercial Court of Aubenas </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">nor the Commercial Court of Marseille has territorial jurisdiction over Banque Delubac&#8217;s claims. On May 23, 2019, Banque Delubac filed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">another appeal before France&#8217;s Court of Cassation challenging the Court of Appeal of N&#238;mes&#8217;s ruling. Additional information concerning this </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action is publicly available in court filings under the docket numbers RG no. 2018F02750 in the Commercial Court of Marseille and 19-16.931 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the Court de cassation.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Also in 2016, a complaint was filed against Citigroup, Citibank, and 16 other banks in an action captioned DENNIS, ET AL. v. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">JPMORGAN CHASE &amp; CO., ET AL. asserting common law claims, as well as violations of the Sherman Act, the Commodity Exchange Act, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the Racketeer Influenced and Corrupt Organizations Act. These claims are based on allegations that the banks conspired to manipulate the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bank Bill Swap Reference Rate. The plaintiffs are seeking injunctive relief, disgorgement, and damages, including treble damages where </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">applicable. On December 19, 2016, the plaintiffs filed a first amended complaint that removed all Citi entities from the case. Additional </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">information concerning this action is publicly available in court filings under the docket number 16 Civ. 06496 (S.D.N.Y.) (Kaplan, J.).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On January 15, 2019, a putative class action captioned PUTNAM BANK v. INTERCONTINENTAL EXCHANGE,
INC., ET AL., was </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed in the United States District Court for the Southern District of New York against the Intercontinental Exchange, Inc. (ICE), Citigroup, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Citibank, CGMI, and various other banks. Plaintiff asserts claims for violations of the Sherman Act and Clayton Act and unjust enrichment </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">based on alleged suppression of the ICE LIBOR and seeks compensatory damages, disgorgement and treble damages where authorized by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">statute. On January 31 and on March 4, 2019, two additional putative class actions, which have been consolidated with PUTNAM BANK v. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">INTERCONTINENTAL EXCHANGE, INC., ET AL., were filed in the United States District Court for the Southern District of New York </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-213</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_84"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">against ICE, Citigroup, Citibank, CGMI, and various
other banks. Each of these complaints asserts claims under the Sherman Act and for unjust </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">enrichment based on alleged suppression of the ICE LIBOR and seeks disgorgement
and treble damages where authorized by statute. On July 1, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019, the plaintiffs filed a consolidated amended complaint, and on August 30, 2019, the defendants moved to
dismiss. On March 26, 2020, in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">IN RE ICE LIBOR ANTITRUST LITIGATION, the court granted Citigroup and the other defendants&#8217; motion to dismiss the action for failure
to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">state a claim. On April 24, 2020, plaintiffs filed a notice of appeal with the United States Court of Appeals for the Second Circuit from the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">district court&#8217;s grant of defendants&#8217; motion to dismiss the consolidated class action complaint. Additional information concerning these actions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is publicly available in court filings under the docket numbers 19 Civ. 430 (S.D.N.Y) (Daniels, J.) and 20-1492 (2d Cir.).</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 18, 2020, individual borrowers and consumers of loans and credit cards filed an action against Citigroup, Citibank, CGMI, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other defendants, captioned MCCARTHY, ET AL. v. INTERCONTINENTAL EXCHANGE, INC., ET AL., in the United States District Court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for the Northern District of California. Plaintiffs allege that defendants conspired to fix ICE LIBOR, assert claims under the Sherman Act and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Clayton Act, and seek declaratory relief, injunctive relief, and treble damages. A motion for preliminary and permanent injunction is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">pending. Additional information concerning this action is publicly available in court filings under the docket number 20 Civ. 5832 (N.D. Cal.) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(Donato, J.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Money
Laundering Inquiries</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Regulatory Actions: Citibank received a subpoena from the
United States Attorney for the Eastern District of New York in connection </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">with its investigation of alleged bribery, corruption and money laundering associated with the
Federation Internationale de Football Association </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(FIFA), and the potential involvement of financial institutions in that activity. The subpoena requested information
relating to, among other </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">things, banking relationships and transactions at Citibank and its affiliates associated with certain individuals and entities identified as
having </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">had involvement with the alleged corrupt conduct. Citi is cooperating with the authorities in this matter.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Parmalat Litigation</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2004, an Italian commissioner appointed to oversee the administration of various Parmalat companies, filed a complaint against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Citigroup, Citibank, and related parties alleging that the defendants facilitated a number of frauds by Parmalat insiders. In 2008, a jury rendered </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a verdict in Citigroup&#8217;s favor and awarded Citi $431 million.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Citigroup has taken steps to enforce the judgment in Italian court. In 2014, an Italian court of appeal affirmed the decision in the full </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amount of $431 million, which Parmalat has appealed to the Italian Supreme Court. Additional information concerning this action is publicly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">available in court filings under the docket number 27618/2014. On April 15, 2019, the Italian Supreme Court upheld the 2014 decision of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Italian court of appeal in Citigroup&#8217;s favor. Additional information concerning this action is publicly available in court filings under the docket </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">number 27618/2014 or decision number 10540/2019. On April 23, 2019 Citigroup filed an action to enforce the judgement.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Parmalat filed two applications in opposition to Citi&#8217;s enforcement action: One against
Citi&#8217;s enforcement title (titolo esecutivo) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(&#8220;opposition to enforcement generally&#8221;) and one against Citi&#8217;s request for enforcement through
allotment of 347 million Parmalat shares </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(&#8220;opposition to specific enforcement&#8221;). The two applications are pending, and the Court of Milan stayed the
enforcement of judgment while </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">these applications are pending. Additional information concerning the opposition to enforcement generally is available in the Court of Milan
- </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Third Division (Enforcement section) - filings under the docket number 4133/2019; additional information concerning the opposition to specific </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">enforcement is available in the Court of Milan - Third Division (Ordinary section) - filings under the docket number 22098/2019.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, Parmalat filed a claim in an Italian civil court in Milan claiming damages of &#8364;1.8
billion against Citigroup, Citibank, and related </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">parties. On January 25, 2018, the Milan court dismissed Parmalat&#8217;s claim on grounds that it was duplicative of
Parmalat&#8217;s previously </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">unsuccessful claims. On March 2, 2018, Parmalat filed an appeal to the Milan Court of Appeal. Additional information concerning this action is
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">publicly available in court filings under the docket number 1009/2018. On May 23, 2019, the Milan Court of Appeal rejected Parmalat&#8217;s appeal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the January 2018 decision of the Milan Commercial Court dismissing Parmalat&#8217;s claim. On June 28, 2019, Parmalat filed its appeal with the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Italian Supreme Court. Additional information concerning this action is publicly available in court filings under the docket number 20598/2019.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2020, Parmalat, its sole shareholder Sofil S.A. and Parmalat&#8217;s shareholders filed for a
declaratory judgment in Milan, asking the Court </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to find that they are not liable vis-&#224;-vis Citibank N.A. On November 5, 2020, Citibank N.A. joined the proceedings,
seeking the dismissal of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">application for declaratory judgement and seeking damages for &#8364;990 million, on allegation that Parmalat, Sofil S.A. and Parmalat&#8217;s
shareholders </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">were jointly and severally liable for the damages Citibank suffered as a result of Parmalat having unlawfully refused to give shares pursuant to </font></div>
</div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-214</font></div> </div> </div>
</div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_85"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the composition with creditors (concordato) Parmalat
entered into with its creditors. Additional information concerning this action is publicly </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">available in court filings under the docket number 8611/2020.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Regulatory Review of Consumer &#8220;Add-On&#8221; Products</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Certain of Citi&#8217;s consumer businesses, including its Citi-branded and retail services cards
businesses, offer or have in the past offered or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">participated in the marketing, distribution, or servicing of products, such as payment protection and identity monitoring,
that are ancillary to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">provision of credit to the consumer (add-on products). These add-on products have been the subject of enforcement actions against other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">institutions by regulators, including the Consumer Financial Protection Bureau (CFPB), the Office of the Comptroller of the Currency (OCC), </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the FDIC, that have resulted in orders to pay restitution to customers and penalties in substantial amounts. Citi has made restitution to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain customers in connection with certain add-on products. Certain state attorneys general also have filed industry-wide suits under state </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consumer protection statutes, alleging deceptive marketing practices in connection with the sale of payment protection products and demanding </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">restitution and statutory damages for in- state customers.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 21, 2015, Citigroup announced that it had reached an agreement with the OCC and the CFPB to resolve previously disclosed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">regulatory reviews of billing and marketing practices related to such add-on products, including those administered by third-party vendors, as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">well as fees for expedited phone payments on certain products. As part of the agreement, Citigroup paid fines totaling $70 million to the OCC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and CFPB and will refund $700 million to customers affected by the issues cited in the consent order. Citigroup previously discontinued </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">marketing the products cited in the consent order and no longer charges expedited pay by phone fees. Customer remediation has been underway </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">since 2013.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In
light of the current regulatory focus on add-on products and the actions regulators have taken in relation to other credit card issuers, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">one or more regulators may order
that Citi pay additional restitution to customers and/or impose penalties or other relief arising from Citi&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">marketing, distribution, or servicing of add-on
products.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Regulatory Review of Student Loan Servicing</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Citibank is currently subject to regulatory investigation concerning certain student loan
servicing practices. Citibank is cooperating with </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the investigation. Similar servicing practices have been the subject of an enforcement action against at least one other
institution. In light of that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">action and the current regulatory focus on student loans, regulators may order that Citibank remediate customers and/or impose penalties or
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">other relief.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Sovereign Securities Matters</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Regulatory Actions: Government and regulatory agencies in the United States and in other jurisdictions are conducting investigations or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">making inquiries regarding Citigroup&#8217;s sales and trading activities in connection with sovereign and other government-related securities. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Citigroup is fully cooperating with these investigations and inquiries.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Antitrust and Other Litigation: Beginning in 2016, a number of substantially similar putative class action complaints were filed against a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">number of financial institutions and traders related to the supranational, sub-sovereign, and agency (SSA) bond market. The actions are based </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">upon defendants&#8217; roles as market makers and traders of SSA bonds and assert claims of alleged collusion under the antitrust laws and unjust </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">enrichment and seek damages, including treble damages where authorized by statute, and disgorgement. These actions were later consolidated in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the United States District Court for the Southern District of New York. Subsequently, plaintiffs filed a consolidated complaint that names </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Citigroup, Citibank, CGMI and CGML among the defendants. Plaintiffs filed a second amended consolidated complaint on November 6, 2018, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which defendants moved to dismiss. On September 30, 2019, the court issued an order granting with prejudice defendants&#8217; motion to dismiss </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain defendants for lack of personal jurisdiction. On June 1, 2020, plaintiffs filed a notice of appeal with the United States Court of Appeals </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for the Second Circuit from the district court&#8217;s grant of defendants&#8217; motion to dismiss the second amended complaint related to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">supranational, sub-sovereign, and agency (SSA) bond market. Additional information concerning these actions is publicly available in court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filings under the dockets number 16-cv-03711 (S.D.N.Y.) (Ramos, J.) and 20-1759 (2d Cir.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2017, a class action related to the SSA bond market was filed in the Ontario Court of Justice against Citigroup, Citibank, CGMI, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CGML, Citibank Canada and Citigroup Global Markets Canada, Inc., among other defendants, asserting claims for breach of contract, breach of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the competition act, breach of foreign law, unjust enrichment, and civil conspiracy. Plaintiffs seek compensatory and punitive damages, as well </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-215</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_86"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">as declaratory relief. On February 19, 2020, the court
granted plaintiffs&#8217; motion to dismiss the action. Additional information relating to this </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">action is publicly available in court filings under the docket number
CV-17-586082- 00CP (Ont. S.C.J.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Also in 2017, a second similar action was
initiated in Canadian Federal Court by the same law firm against the same Citi entities as the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Ontario action, in addition to other defendants. The action asserts claims
for breach of the competition act and breach of foreign law. On </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">January 24, 2019, plaintiffs delivered an amended statement of claim, in which they continue to assert
claims for breach of the competition law </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and breach of foreign law, while also asserting additional claims of civil conspiracy, unjust enrichment, waiver of tort and
breach of contract. On </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">October 7, 2019, purchasers of supranational, sub-sovereign, and agency (SSA) bonds filed an amended claim in the Canadian Federal Court, in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which they continue to assert claims for breach of the competition law and breach of foreign law, while also asserting additional claims of civil </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conspiracy, unjust enrichment, waiver of tort, and breach of contract. Additional information relating to this action is publicly available in court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filings under the docket number T-1871-17 (Fed. Ct.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On February 7, 2019, a putative class action captioned STACHON v. BANK OF AMERICA, N.A., ET AL., was filed in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">United States District Court for the Southern District of New York against Citigroup, Citibank, CGMI, and Citigroup Global Markets Limited </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(CGML) and other defendants, on behalf of indirect purchasers of supranational, sub-sovereign and agency (SSA) bonds. Plaintiffs assert claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">under New York antitrust laws based on the same conduct alleged in the previously filed SSA bond lawsuits and seek treble damages and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">injunctive relief. The action is currently stayed pending a decision on the motion to dismiss in the consolidated direct purchaser action. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">June 25, 2020, plaintiff voluntarily dismissed the action without prejudice in light of the dismissal of the IN RE SSA BONDS ANTITRUST </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">LITIGATION. Additional information relating to these actions is publicly available in court filings under the docket numbers 19 Civ. 01205 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(S.D.N.Y.) (Swain, J.), and 16-cv-03711 (S.D.N.Y.) (Ramos, J.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Variable Rate Demand Obligation Litigation</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 31, 2019, plaintiffs in the consolidated actions CITY OF PHILADELPHIA v. BANK OF AMERICA CORP., ET AL. and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">MAYOR AND CITY COUNCIL OF BALTIMORE v. BANK OF AMERICA CORP., ET AL. filed a consolidated complaint naming as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants Citigroup, Citibank, CGMI, CGML and numerous other industry participants. The consolidated complaint asserts violations of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sherman Act, as well as state law claims for breach of contract, breach of fiduciary duty, and unjust enrichment, and seeks damages and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">injunctive relief based on allegations that defendants served as remarketing agents for municipal bonds called variable rate demand obligations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(VRDOs) and colluded to set artificially high VRDO interest rates. Defendants filed a motion to dismiss the consolidated complaint on July 30, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019. The motion was fully submitted on November 14, 2019. On November 2, 2020, Defendants&#8217; motion to dismiss was granted in part and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">denied in part. Citi filed an answer to the remaining claims on December 7, 2020, and the Court entered a scheduling order and civil case </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">management plan on December 14, 2020. Additional information concerning these actions is publicly available in court filings under the docket </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">numbers 19-CV-1608 (S.D.N.Y.) (Furman, J.) and 19-CV-2667 (S.D.N.Y.) (Furman, J.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Oceanografia Fraud and Related Matters</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Other Litigation: In 2017, a complaint was filed against Citigroup in the United States District Court for the Southern District of New </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">York by OSA and its controlling shareholder, Amado Y&#225;&#241;ez Osuna. The complaint alleges that plaintiffs were injured when Citigroup made </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain public statements about receivable financings and other financing arrangements related to OSA. The complaint asserts claims for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">malicious prosecution and tortious interference with existing and prospective business relationships. Plaintiffs later filed an amended complaint </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">adding CGMI, Citibank and Banco Nacional de M&#233;xico, or Banamex, as defendants and adding causes of action for fraud and breach of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contract. On September 28, 2018, the court granted defendants&#8217; motion to dismiss with prejudice as to the breach of contract claim and without </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">prejudice as to the remaining claims for malicious prosecution, tortious interference with contract and fraud on forum non conveniens grounds. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">On August 10, 2019, in the action commenced against Citigroup by Oceanograf&#237;a and its controlling shareholder, the court denied both </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs&#8217; motion for reconsideration of the court&#8217;s prior decision granting defendants&#8217; motion to dismiss and plaintiffs&#8217; motion for leave to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amend the complaint. On September 6, 2019, judgment was entered for defendants, which plaintiffs have appealed. On July 15, 2020, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">United States Court of Appeals for the Second Circuit affirmed the judgment of the district court. Additional information concerning this action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is publicly available in court filings under docket numbers 1:17 Civ. 01434 (S.D.N.Y.) (Sullivan, J.) and 19-3110 (2d Cir.).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Interchange Fees Litigation and Related Matters</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-216</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_87">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Regulatory Actions: On May 25, 2016, Citibank entered into a civil settlement with the CFTC, concluding the CFTC&#8217;s ISDAFIX </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigation of Citibank&#8217;s conduct from January 2007 through January 2012. As part of the settlement, Citibank agreed to pay a civil monetary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">penalty in the amount of $250 million and to enhance further the control framework governing interest-rate swap benchmarks. The consent order </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">includes, on a neither admit nor deny basis, charges of trading- and submission-based attempts to manipulate the USD ISDAFIX, a false </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reporting charge based on Citi&#8217;s USD ISDAFIX submissions, and certain remediation requirements.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Interchange Fees Litigation. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Beginning in 2005, several putative class
actions were filed against Citigroup, Citibank, and related parties, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">together with Visa, MasterCard and other banks and their affiliates, in various federal district
courts and consolidated with other related cases in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">a multi-district litigation proceeding before Judge Gleeson in the United States District Court for the Eastern
District of New York (Interchange </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">MDL). This proceeding is captioned IN RE PAYMENT CARD INTERCHANGE FEE AND MERCHANT DISCOUNT ANTITRUST </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">LITIGATION. The plaintiffs, merchants that accept Visa- and MasterCard-branded payment cards as well as membership associations that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claim to represent certain groups of merchants, allege, among other things, that defendants have engaged in conspiracies to set the price of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">interchange and merchant discount fees on credit and debit card transactions and to restrain trade through various Visa and MasterCard rules </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">governing merchant conduct, all in violation of Section 1 of the Sherman Act and certain California statutes. Supplemental complaints also have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">been filed against defendants in the putative class actions alleging that Visa&#8217;s and MasterCard&#8217;s respective initial public offerings were </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">anticompetitive and violated Section 7 of the Clayton Act, and that MasterCard&#8217;s initial public offering constituted a fraudulent conveyance.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2014, the district court entered a final judgment approving the terms of a class settlement
providing for, among other things, a total </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">payment to the class of $6.05 billion; a rebate to merchants participating in the damages class settlement of 10 bps on
interchange collected for a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">period of eight months by the Visa and MasterCard networks; and changes to certain network rules. Various objectors appealed from the final
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">class settlement approval order to the United States Court of Appeals for the Second Circuit.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2016, the Court of Appeals reversed the district court&#8217;s approval of the class settlement and remanded for further proceedings. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">district court thereafter appointed separate interim counsel for a putative class seeking damages and a putative class seeking injunctive relief. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Amended or new complaints on behalf of the putative classes and various individual merchants were subsequently filed, including a further </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amended complaint on behalf of a putative damages class and a new complaint on behalf of a putative injunctive class, both of which named </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Citigroup and related parties. In addition, a number of merchants have filed amended or new complaints against Visa, MasterCard, and in some </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">instances one or more issuing banks. Three of these suits&#8212;7-ELEVEN, INC., ET AL. v. VISA INC., ET AL.; ROUNDY&#8217;S SUPERMARKETS, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">INC. v. VISA INC. ET AL.; and LUBY&#8217;S FUDDRUCKERS RESTAURANTS, LLC, v. VISA INC., ET AL&#8212;brought on behalf of numerous </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">individual merchants, name Citigroup and affiliates as defendants.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On December 13, 2019, the court granted the damages class plaintiffs&#8217; motion for final approval of a new settlement with the defendants. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The settlement involves the damages class only and does not settle the claims of the injunctive relief class or any actions brought on a non-class </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">basis by individual merchants. The settlement provides for a cash payment to the damages class of $6.24 billion, though that amount has been </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reduced by $700 million based on the transaction volume of class members that opted-out from the settlement. Several merchants and merchant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">groups have appealed the final approval order. Additional information concerning these consolidated actions is publicly available in 280 court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filings under the docket number MDL 05-1720 (E.D.N.Y.) (Brodie, J.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Revlon Credit Facility Litigation</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 12, 2020, Citibank and other parties were named as defendants in an action filed in the United States District Court for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Southern District of New York under the caption UMB BANK, NATIONAL ASSOCIATION V. REVLON, INC., ET AL. Plaintiff alleges that, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with respect to a 2016 credit agreement between Revlon and various lenders for which Citibank served as administrative and collateral agent, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants deprived lenders of the collateral securing loans they made to Revlon under the credit agreement. The claims against Citibank </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">include breach of the implied covenant of good faith and fair dealing, aiding and abetting conversion, breach of contract, tortious interference </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with contract, and actual and constructive fraudulent transfer. On November 9, 2020, Plaintiff filed a notice of voluntary dismissal without </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">prejudice. Additional information concerning this action is publicly available in court filings under the docket number 20- CV-6352 (S.D.N.Y.) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(Schofield, J.).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Wire Transfer Litigation</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-217</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_88"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 17, 18, and 20, 2020,
Citibank filed actions in the United States District Court for the Southern District of New York, which </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">have been consolidated under the caption IN RE CITIBANK AUGUST 11,
2020 WIRE TRANSFERS. The actions relate to a payment </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">erroneously made by Citibank on August 11, 2020, in its capacity as administrative agent for a Revlon credit facility.
The action seeks the return </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the erroneously transferred funds from certain fund managers. Citibank has asserted claims for unjust enrichment, conversion, money had and
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">received, and payment by mistake. The court issued temporary restraining orders related to the subject funds, and trial took place on December 9 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and 10, 2020. Additional information concerning this action is publicly available in court filings under the docket number 20- CV-6539 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(S.D.N.Y.) (Furman, J.).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Transaction Tax Matters</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Citigroup and Citibank are engaged in litigation or examinations with tax authorities in India and Germany concerning the payment of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transaction taxes and other non-income tax matters.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Other Matters:</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;font-weight:bold;margin-left:0%;">USA v. Citicorp</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;text-decoration:underline;">Case File No.: #3:15-CR-00078-SRU Date opened: 8/28/14</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Description: Settlement with Office of the Comptroller of the Currency relating to the OCC
allegations that Citibank had internal control </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">deficiencies relating to foreign exchange trading.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">This is a settlement of the FX consolidated class action pending before Judge Schofield in the
Southern District of New York against Citi </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(Citigroup, Citibank, CGMI, and Citicorp) and other FX dealers. Lead plaintiffs in the action claim violations of Sherman Act
Sections 1 and 2 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and unjust enrichment. When this action first was consolidated in early 2014, it was brought on behalf of those who, from January 1, 2003 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">through the present, traded FX with any of the defendants at or around the time of the fixing of the WM/R (London) Closing Spot Rates or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">entered into an FX instrument that settled on the basis of that benchmark. In January 2015, the court denied defendants&#8217; motion to</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">dismiss, rejecting, among other things, defendants&#8217; arguments that lead plaintiffs had not
plausibly alleged a conspiracy and or antitrust </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">injury&#8212;i.e., injury stemming from a reduction in competition. Rather, the court viewed the consolidated amended
complaint as having pleaded a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">per se Sherman Act Section 1 violation to fix prices. (In the same decision, the court dismissed two similar complaints attempting to assert
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sherman Act claims barred by the Foreign Trade Antitrust Improvements Act.) In May 2015, we reached a settlement in principle reflecting a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement payment of $394 million in exchange for the release of all claims relating to the trading of any FX product, except foreign trades and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain other claims. Lead plaintiffs subsequently amended the consolidated complaint to cover a class of all those who traded at least one spot </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">FX trade with any of the defendants between 2003 and the present. The parties executed their settlement agreement on October 1, 2015. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">December 15, 2015, Judge Schofield granted preliminary approval of the parties&#8217; settlement agreement. Citi&#8217;s settlement payment was due </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">within ten business days thereafter.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 20, 2015, Citicorp pleaded guilty in the United States District Court for the District of Connecticut to one count of conspiring to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violate the Sherman Antitrust Act, 15, U.S.C. Section 1. Citicorp&#8217;s Plea Agreement recites that during the period December 2007 to January </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2013, Citicorp, through one of its EUR/USD currency traders, conspired to eliminate competition in the purchase and sale of the EUR/USD </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">currency pair by, among other things, coordinating the trading of the EUR/USD currency pair in connection with European Central Bank and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">World Markets/Reuters benchmark currency &#8220;fixes.&#8221; The Plea Agreement recites that the United States and Citicorp agree to recommend jointly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that the District Court impose a fine in the amount of $925 million. On January 10, 2017, the court sentenced Citicorp to probation for three </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">years and imposed a fine of $925 million.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">2014 Argentina Currency Trading Matter</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;text-decoration:underline;">Case File No.: 831/2014(7283) Date Filed: June 13, 2014</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 13, 2014, The Attorney General of the Public Prosecutor&#8217;s Office for Economic Crime and Money Laundering in Argentina filed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a criminal complaint with the Argentinian National Court of Criminal Proceedings in Economic Matters alleging that Citibank violated Article </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-218</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_89"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">309 of Argentina&#8217;s Penal Code. Article 309
prohibits transactions or operations that force an increase, decrease or a hold on the price of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">marketable securities or other financial instruments, using false news,
false deals, or collusion among the principle shareholders of the fiscal </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">product. the complaint alleges that Citibank participated in coordinated currency trading with
several other banks on January 23, 2013 in an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">attempt to affect the exchange rate between the Argentinian Peso and U.S. Dollar. The case is captioned &#8220;BANCO GALICIA
Y BUENOS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">AIRES S.A., HSBC BANK ARGENTINA S.A., CITIBANK N.A., BBVA BANCO FRANCES S.A. Y BNP PARIBAS SUCURSAL BS AS S/ </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">INFRACCION ART. 309, 2) DEL CP SEG&#218;N LEY 26.733&#8221;. The complaint states that violations of Article 309 are punishable by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">imprisonment for 1 to 4 years, or a fine equivalent to the amount of the transaction that violated that statute. On August 31, 2016, the court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissed the complaint. The Attorney General expressed its agreement with the dismissal.</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">2011-15 Massachusetts Attorney General Chapter 93A Litigation</font></div> <div style="line-height:11.0pt;margin-top:12pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;text-decoration:underline;">Case No.: 11-4363-BLS1 (Mass. Super. Ct). Date Filed: December 1, 2011</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On December 1, 2011, Massachusetts Attorney General Martha Coakley filed a complaint in Suffolk
County Superior Court. The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint was filed under the Massachusetts Consumer Protection Act, G.L. C. 93A, &#167; 4 and G.L. C. 12, &#167; 10 against Bank of America,
Citi, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">J.P. Morgan Chase, GMAC Mortgage, Wells Fargo (collectively, &#8220;Bank Defendants&#8221;), Mortgage Electronic Registration Systems, Inc., and its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">then-corporate parent, Merscorp, Inc. The specific Citi entities named as defendants were Citibank, as trustee, and CitiMortgage, Inc. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint originally included six formal counts, but there were three general theories of liability: (1) failure to comply with Massachusetts </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">statutory requirements prior to commencing foreclosure proceedings; (2) deceptive practices in the loan modification process; and (3) failure to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">register mortgage assignments and transfers of beneficial interests in mortgage loans tracked on the MERS system. As part of the national </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">mortgage settlement, the parties settled and dismissed all counts involving the second theory of liability.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On November 30, 2012, the Court ruled on the pending motions to dismiss and dismissed all counts
regarding the third theory of liability </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and all counts pertaining to the two MERS defendants. However, the Court allowed Count I to proceed, which involved the first
theory of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">liability. In particular, Count I alleged that the Bank Defendants conducted foreclosures by publishing notices of sale without first having been </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the mortgagee, in violation of the Massachusetts Supreme Judicial Court&#8217;s opinion in U.S. Bank, N.A. v. Ibanez, 458 Mass. 637 (2011). On</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">January 16, 2015, the Court entered a final judgment by consent as to Bank of America, Citi, J.P.
Morgan Chase and Wells Fargo, in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">which the parties voluntarily resolved Count I and all remaining issues in the case and by which Bank of America, Citi, J.P. Morgan Chase
and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Wells Fargo were dismissed from the case. All requirements under the consent judgment terminated on March 17, 2018.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;text-decoration:underline;">Included by the Sponsor from the NFA Website and not
provided by Citi</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">:</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On November 13, 2019, Citibank was fined $8,500 for failing to notify and receiving prior
approval to offset and correct an error trade as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">required under rule BSEF Rule 516.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On August 8, 2019, Citibank NA was fined $1,000 for failing to report block trades in a timely manner or with an accurate execution time </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the Exchange in violation of NYMEX Rule 526 and 526.F. These block trades were executed in August 2019 Henry Hub Natural Gas </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Futures, November 2019 Brent Crude Oil Last Day Financial Futures, and December 2019 NY Harbor ULSD Futures.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 13, 2018, Citibank NA was fined $7,500 for failure to notify or receive prior approval to
offset an error trade as required under </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">BSEF Rule 516 for a trade executed December 1, 2017.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On November 22, 2017, Citibank NA was fined $5,500 for failure to notify or receive prior approval to offset an error trade as required </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">under BSEF Rule 516 for a trade executed on June 6, 2017.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On September 25, 2017, Citibank, N.A. and London-based Citigroup Global Markets Limited were fined $550,000 for Swap Data </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Reporting violations involving Legal Entity Identifier information and related supervision failures. As provisionally registered swap dealers, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CBNA and CGML are required to comply with certain recordkeeping and reporting requirements related to their swap transactions. In particular, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Parts 45 and 46 of the Regulations specify requirements for reporting the LEI of each counterparty to a swap. An LEI is a unique, 20-character, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">alpha-numeric code, used to uniquely identify legally distinct entities that act as counterparties to swap transactions, among other financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions. The reporting requirements are designed to enhance transparency, promote standardization, and reduce systemic risk. According to </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-219</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_90"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Order, from at least April 2015 to December 2016,
Citi failed to report LEIs properly for tens of thousands of swaps. The Order finds that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">many of Citi&#8217;s LEI reporting errors stemmed from a design flaw in its swap
data reporting systems with respect to swap continuation data. As </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">stated in the Order, Citi did not design its swap data reporting systems to re-report trades based solely
upon a change in a counterparty&#8217;s LEI, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">absent another event that required the trade to be re-reported. As a result, Citi failed to report updated LEI information in
the continuation data </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for thousands of swaps that were open as of April 2015. The Order also finds that the design flaw in Citi&#8217;s swap data reporting systems </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contributed to Citi failing to correct errors or omissions in its swap data reporting in a timely manner. The Order further finds that Citi violated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its reporting obligations by reporting &#8220;Name Withheld&#8221; as the counterparty identifier for tens of thousands of swaps with counterparties in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain foreign jurisdictions. Recognizing potential conflicts between the CFTC&#8217;s reporting requirements and non-U.S. privacy, secrecy, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">blocking laws, the CFTC&#8217;s Division of Market Oversight (DMO) has issued certain time-limited and conditional no-action relief from LEI </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reporting requirements. However, such no-action relief has been conditioned upon, among other things, the reporting party reporting, in place of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">LEI, an alternative counterparty identifier, a &#8220;Privacy Law Identifier&#8221; or &#8220;PLI,&#8221; that is unique, static, and consistent for each counterparty. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Order also finds that CBNA and CGML failed to perform their supervisory duties diligently with respect to LEI swap data reporting by failing to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">enforce existing policies, failing to adequately address compliance with no-action relief where they sought to rely upon such relief, and failing to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">detect repeated LEI reporting errors. The Order recognizes Citi&#8217;s cooperation with the CFTC&#8217;s investigation.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On May 24, 2016, Citibank NA was fined $4,500 for failure to notify or receive prior approval to
offset an error trade as required under </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">BSEF Rule 516 for a trade executed December 7, 2016.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On November 17, 2016, Citibank NA was fined $2,000 for failure to notify or receive prior approval to offset an error trade as required </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">under BSEF Rule 516 for a trade executed on August 12, 2016.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On November 17, 2016, Citibank NA was fined $1,750 for failure to notify or receive prior approval to offset an error trade as required </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">under BSEF Rule 516 for a trade executed August 2, 2016. On May 25, 2016, Citibank NA and Japanese Affiliates to pay $175 million for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">attempted manipulation of Yen LIBOR and Euroyen TIBOR, and false reporting of Euroyen TIBOR and U.S. Dollar LIBOR. Citibank, N.A. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(Citi); Citibank Japan Ltd. (CJL); and Citigroup Global Markets Japan Inc. (CGMJ) (collectively, Citi and its affiliates) were fined relating to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">abuses of the London Interbank Offered Rate (LIBOR) and the Euroyen Tokyo Interbank Offered Rate (Euroyen TIBOR) benchmarks. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Specifically, CGMJ was charged with attempting to manipulate Yen LIBOR and Euroyen TIBOR, and CJL with false reporting of Euroyen </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">TIBOR, to benefit derivatives trading positions that were priced based on Yen LIBOR or Euroyen TIBOR. Separately, Citi was charged with the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">false reporting of U.S. Dollar LIBOR at times to avoid generating negative media attention and to protect its reputation during the financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">crisis from the spring of 2008 through the summer of 2009.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Citi and its affiliates were ordered jointly and severally to pay a civil monetary penalty of $175 million, immediately cease and desist </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">from further violations of the Commodity Exchange Act as charged, and adhere to specific undertakings to ensure the integrity of its LIBOR, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Euroyen TIBOR, and other benchmark interest rate submissions.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The CFTC Order specifically finds that CGMJ, by and through the acts of certain of its traders, attempted to manipulate Yen LIBOR on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">multiple occasions from at least February 2010 through August 2010, and Euroyen TIBOR, at times, from April 2010 through June 2010, to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benefit the derivatives trading positions of those traders. Specifically, a Tokyo-based senior Yen derivatives trader (Senior Yen Trader), hired by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CGMJ to enhance the bank&#8217;s reputation in the Tokyo derivatives market, attempted to manipulate the benchmark fixings by using his contacts at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other Yen LIBOR panel banks and at interdealer brokers to influence the Yen LIBOR submissions of other Yen panel banks. In addition, a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">senior manager who ran CGMJ&#8217;s Tokyo interest rates derivatives trading desk (Senior Yen Manager) pressured CJL&#8217;s Euroyen TIBOR </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">submitters to adjust their submissions to benefit the Senior Yen Trader&#8217;s derivatives trading positions. CJL&#8217;s Euroyen TIBOR submitters, on a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">few occasions, took the Senior Yen Manager&#8217;s requests into account when making Euroyen TIBOR submissions. The Order further finds that at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">times from the spring of 2008 through the summer of 2009, Citi&#8217;s U.S. Dollar LIBOR submitters based its U.S. Dollar LIBOR submissions on a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">desire to avoid generating negative media attention and to protect Citi&#8217;s reputation in the market. As the financial crisis progressed through </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2008, Citi experienced financial challenges that included liquidity concerns. During this time, Citi received a significant infusion of funds from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the U.S. Government to alleviate the stresses in its funding. Citi, at times, had difficulty securing funding in the London interbank market at or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">below Citi&#8217;s LIBOR submissions, particularly in the longer tenors. Citi&#8217;s U.S. Dollar LIBOR submitters became concerned about the signaling </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">effect that the Citi&#8217;s U.S. Dollar LIBOR submissions could have in the market. The submitters realized that the Citi&#8217;s submissions could draw </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">negative media attention and raise questions about the stability of the bank. Accordingly, during this period, Citi&#8217;s submitters, at times, made </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Dollar LIBOR submissions based in whole or in part on a desire to avoid that negative scrutiny, rather than based on the fact that Citi, at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">times, would have had to pay above LIBOR in the London interbank market, particularly in the longer tenors, when securing funding for the </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-220</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_91"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">bank. As a result, according to the Order, Citi&#8217;s
U.S. Dollar LIBOR submissions, at times, did not accurately or solely reflect Citi&#8217;s assessment </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the costs of borrowing unsecured funds in the London interbank
market.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">According to the Order, Citi and its affiliates engaged in this conduct
after they knew that the CFTC was investigating Citi&#8217;s U.S. Dollar </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR submission practices. Moreover, during late 2009, in meetings with Citi senior managers, the
Senior Yen Trader talked openly about </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">how he had tried to manipulate Yen LIBOR at his prior place of employment. Even though they were aware of the CFTC&#8217;s
investigation, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">senior managers did not notify the legal or compliance departments about the Senior Yen Trader&#8217;s admissions. The Order recognizes the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cooperation of Citi and its affiliates with the CFTC Division of Enforcement&#8217;s investigation. The CFTC also notes that in the summer of 2010, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Citi identified the misconduct with respect to Yen LIBOR and Euroyen TIBOR, and promptly self-reported the misconduct of the Yen traders to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the CFTC.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April
5, 2016, Citibank NA was fined $1,250 for failure to notify or receive prior approval to offset an error trade as required under </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">BSEF Rule 516 for a trade executed on
February 10, 2016.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The CFTC announced on September 28, 2020 that it has issued an
order filing and simultaneously settling charges against Citibank N.A., </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and Citigroup Energy Inc., both provisionally registered swap dealers, and Citigroup Global
Markets, Inc., a provisionally registered swap dealer </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and a registered futures commission merchant (collectively, Citi entities), for failing to diligently supervise their
audio preservation system. For </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">violations of CEA Rules 6(c) and 6(d) and violations of CFTC Rule 1633.3, Citibank&#8217;s affiliates were fined $4.5 million dollars,
effective </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 28, 2020.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Societe Generale (&#8220;SG&#8221;)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Like many financial institutions, SG is party to numerous litigations, including class actions lawsuits in the U.S., and to regulatory </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations. The consequences, as assessed on a quarterly basis, of those that are liable to have or have recently had a material impact on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial condition of SG, its results or its business are provisioned in SG&#8217;s financial statements. Details are set out in SG&#8217;s registration </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">document and its updates concerning major cases. The current litigation disclosures in the 2021 registration statement, filed on 17 March 2021, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and updates thereto are set forth below. Other litigation matters and investigations either have no material effect on SG&#8217;s financial condition or it </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is still too early to determine at this stage whether they may have such an impact. The disclosures below as well as prior disclosures (dating back </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">10 years) are available on the SG website at www.societegenerale.com</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;">
</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On 24 October 2012, the Court of Appeal of Paris confirmed the first judgment
delivered on 5 October 2010, finding J. Kerviel guilty of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">breach of trust, fraudulent insertion of data into a computer system, forgery and use of forged documents. J.
Kerviel was sentenced to serve a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">prison sentence of five years, two years of which are suspended, and was ordered to pay EUR 4.9 billion in damages to the bank. On 19
March </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2014, the Supreme Court confirmed the criminal liability of J. Kerviel. This decision puts an end to the criminal proceedings. On the civil front, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on 23 September 2016, the Versailles Court of Appeal rejected J&#233;r&#244;me Kerviel&#8217;s request for an expert determination of the damage suffered by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Societe Generale, and therefore confirmed that the net accounting losses suffered by the Bank as a result of his criminal conduct amount to EUR </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">4.9 billion. It also declared J. Kerviel partially responsible for the damage caused to Societe Generale and sentenced him to pay to Societe </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Generale EUR 1 million. Societe Generale and J. Kerviel did not appeal before the Supreme Court. Societe Generale considers that this decision </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">has no impact on its tax situation. However, as indicated by the Minister of the Economy and Finance in September 2016, the tax authorities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">have examined the tax consequences of this book loss and indicated that they intended to call into question the deductibility of the loss caused </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by the actions of J. Kerviel, amounting to EUR 4.9 billion. This proposed tax rectification has no immediate effect and will possibly have to be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">confirmed by an adjustment notice sent by the tax authorities when Societe Generale is in a position to deduct the tax loss carryforwards arising </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">from the loss from its taxable income. Such a situation will not occur for several years according to the bank&#8217;s forecasts. In view of the 2011 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">opinion of the French Supreme Administrative Court (Conseil d&#8217;&#233;tat) and its established case law which was recently confirmed again in this </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">regard, Societe Generale considers that there is no need to provision the corresponding deferred tax assets. In the event that the authorities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">decide, in due course, to confirm their current position, Societe Generale group will not fail to assert its rights before the competent courts. By a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">decision handed down on the 20 September 2018, the Investigation Committee of the reviewing and reassessment Criminal Court has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">furthermore declared inadmissible the request filed in May 2015 by J. Kerviel against his criminal sentence, confirming the absence of any new </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">element or fact that could justify the reopening of the criminal file.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Between 2003 and 2008, Societe Generale set up gold consignment lines with the Turkish group Goldas. In February 2008, Societe </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Generale was alerted to a risk of fraud and embezzlement of gold stocks held by Goldas. These suspicions were rapidly confirmed following the </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-221</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_92"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">failure by Goldas to pay or refund gold worth EUR 466.4
million. Societe Generale brought civil proceedings against its insurers and various </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Goldas Group entities. Goldas launched various proceedings in Turkey and in the UK
against Soci&#233;t&#233; G&#233;n&#233;rale. In the action brought by Soci&#233;t&#233; </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">G&#233;n&#233;rale against Goldas in the UK, Goldas applied to have the action of
SG struck-out and applied to the UK court for damages. On 3 April </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2017, the UK court granted both applications and will, after an inquiry into damages, rule on the amount
due to Goldas, if any. On 15 May 2018, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Court of Appeal discharged entirely the inquiry into damages granted by the High Court to Goldas but rejected Societe
Generale&#8217;s arguments </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">relating to service of the claims issued against Goldas, which are therefore time barred. On 18 December 2018, the Supreme Court refused </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">permission to appeal to both Societe Generale and Goldas. On 16 February 2017, the Paris Commercial Court dismissed Societe Generale&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims against its insurers. Societe Generale filed an appeal against this decision.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Societe Generale Algeria (&#8220;SGA&#8221;) and several of its branch managers are being prosecuted for breach of Algerian laws on exchange rates </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and capital transfers with other countries and on money laundering and the financing of terrorism. The defendants are accused of having failed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to make complete or accurate statements to the Algerian authorities on capital transfers in connection with exports or imports made by clients of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SGA and on cash payment transactions made at SGA counters. The events were discovered during investigations by the Algerian authorities, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which subsequently filed civil claims before the criminal court. Sentences were delivered by the court of appeal against SGA and its employees </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in some proceedings, while charges were dropped in other ones. To date, sixteen cases have ended in favour of SGA, one case has ended against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SGA and eight remain pending, seven of which before the Supreme Court.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the early 2000s, the French banking industry decided to transition to a new digital system in order to streamline cheque clearing.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">To support this reform (known as EIC&#8212;Echange d&#8217;Images Ch&#232;ques), which has
contributed to the improvement of cheque payments&#8217; </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">security and to the fight against fraud, the banks established several interbank fees (including the CEIC which
was abolished in 2007). These </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">fees were implemented under the aegis of the banking sector supervisory authorities, and to the knowledge of the public
authorities.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On 20 September 2010, after several years of investigation, the French
competition authority ruled that the joint implementation and the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">setting of the amount of the CEIC and of two additional fees for related services were in breach of
competition law. The authority fined all the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">participants to the agreement (including the Banque de France) a total of approximately EUR 385 million. Societe Generale was
ordered to pay a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">fine of EUR 53.5 million and Cr&#233;dit du Nord, its subsidiary, a fine of EUR 7 million.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">However, in its 23 February 2012 order, the French Court of Appeal, to which the matter was
referred by all the banks involved except </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Banque de France, held that there was no competition law infringement, allowing the banks to recoup the fines paid. On 14 April
2015, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Supreme Court quashed and annulled the Court of Appeal decision on the grounds that the latter did not examine the arguments of two third </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">parties who voluntarily intervened in the proceedings. The case was heard again on 3 and 4 November 2016 by the Paris Court of Appeal before </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which the case was remanded. On 21 December 2017, the Court of Appeal confirmed the fines imposed on Societe Generale and Cr&#233;dit du Nord </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by the French competition authority. On 22 January 2018, Societe Generale and Cr&#233;dit du Nord filed an appeal before the Supreme court against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">this decision. On 29 January 2020, the Supreme Court partially quashed the order the Paris Court of Appeals decision of 21 December 2017 and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ordered the remand of the case to this same court of appeal but differently composed. On 13 March 2020, Societe Generale and Credit du Nord </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed a new appeal before the Paris Court of Appeal against the decision of the French competition authority. The court proceeding is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">still pending.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In
August 2009, Societe Generale Private Banking (Switzerland) (&#8220;SGPBS&#8221;), along with several other financial institutions, was named </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">as a defendant in a putative
class action that was ultimately transferred to the US District Court for the Northern District of Texas. The plaintiffs </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">sought to represent a class of individuals who
were customers of Stanford International Bank Ltd. (&#8220;SIBL&#8221;), with money on deposit at SIBL </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and/or holding Certificates of Deposit issued by SIBL as of 16
February 2009. The plaintiffs alleged that they suffered losses as a result of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">fraudulent activity at SIBL and the Stanford Financial Group or related entities, and that
the defendants were responsible for those alleged </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">losses. The plaintiffs further sought to recoup payments made through or to the defendants on behalf of SIBL or related
entities on the basis that </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">they were alleged to have been fraudulent transfers. The Official Stanford Investors Committee (&#8220;OSIC&#8221;) was permitted to intervene
and filed a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint against SGPBS and the other defendants seeking similar relief.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Following motions to dismiss, the Court ultimately in April 2015 permitted the substantial majority of the claims to proceed.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On 7 November 2017, the District Court denied the plaintiffs&#8217; motion for class
certification. On 3 May 2019, several hundred individual </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs filed motions to intervene in the pending OSIC action seeking recovery in their individual capacities
for losses on their Stanford </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-222</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_93">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investments.
By order of 18 September 2019 the court denied the motions to intervene. One group of plaintiffs appealed the denial, which was </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">rejected by the court of appeal on 3
February 2021, and the remaining group of plaintiffs initiated a separate action in Texas state court in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Houston in November 2019, now pending in the Southern District of
Texas. On 12 February 2021, all parties in the litigation filed motions for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">summary judgment. SGPBS seeks dismissal of all pending claims, and OSIC, renewing a prior
unsuccessful motion for summary judgement </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">seeks return of a USD 95 million transfer to SGPBS in 2008. Discovery remains to be completed as to SGPBS.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Notwithstanding the agreements reached with US authorities regarding certain London Interbank
Offered Rates and the Euro Interbank </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Offered Rate (the &#8220;IBOR matter&#8221;), the Bank continues to defend civil proceedings in the United States (as described below)
and to respond to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">information requests received from other authorities, including the Attorneys General of various States of the United States and the New York </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Department of Financial Services.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the United States, Societe Generale, along with other financial institutions, has been named as a defendant in putative class actions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">involving the setting of US Dollar Libor, Japanese Yen Libor, and Euribor rates and trading in instruments indexed to those rates. Societe </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Generale has also been named in several individual (non-class) actions concerning the US Dollar Libor rate. All of these actions are pending in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the US District Court in Manhattan (the &#8220;District Court&#8221;).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As to US Dollar Libor, all claims against Societe Generale have been dismissed by the District Court or voluntarily dismissed by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs, except in two putative class actions and one individual action that are effectively stayed. Certain individual plaintiffs whose claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">were dismissed have filed motions for leave to amend their complaints, to add or revive claims against Societe Generale, but those applications </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">were denied by the District Court. The class plaintiffs and a number of individual plaintiffs have appealed the dismissal of their antitrust claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the United States Court of Appeals for the Second Circuit.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On 13 January 2020, Societe Generale entered into a settlement agreement with the putative class of plaintiffs who purchased financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">products tied to US Dollar Libor on an exchange. As part of that settlement, Societe Generale has agreed to pay USD 5.125 million. This </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement was finally approved by the District Court on 17 September 2020.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As to Japanese Yen Libor, the District Court dismissed the complaint brought by purchasers of Euroyen over-the-counter derivative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">products. On 1 April 2020, the Court of Appeals reversed the dismissal and reinstated the claims. Plaintiffs filed a second amended complaint on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">24 August 2020, and defendants have again filed motions to dismiss. In the other action, brought by purchasers or sellers of Euroyen derivative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contracts on the Chicago Mercantile Exchange, the District Court has allowed certain Commodity Exchange Act (&#8220;CEA&#8221;) claims to proceed to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">discovery. On 27 September 2019, Societe Generale (and other defendants) filed a motion for judgment on the pleadings that seeks dismissal of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiff&#8217;s remaining CEA claims. On 27 September 2019, plaintiff filed a motion for class certification. Briefing on plaintiff&#8217;s motion for class </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certification has been stayed until the District Court rules on defendants&#8217; motion for judgment on the pleadings. On 25 September 2020, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">District Court granted defendants&#8217; motion for judgment on the pleadings and dismissed plaintiffs&#8217; claims. Plaintiffs have appealed.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As to Euribor, the District Court dismissed all claims against Societe Generale in the putative
class action and denied the plaintiffs&#8217; </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion to file a proposed amended complaint. Plaintiffs have appealed those rulings to the United States Court of Appeals for
the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Second Circuit.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In Argentina, Societe Generale, along with other financial institutions, has been named as a defendant in litigation brought by a consumer </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">association on behalf of Argentine consumers who held government bonds or other specified instruments that paid interest tied to US Dollar </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Libor. The allegations concern violations of Argentine consumer protection law in connection with alleged manipulation of the US Dollar Libor </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rate. Societe Generale has not yet been served with the complaint in this matter.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Beginning on 15 January 2019, Societe Generale and SG Americas Securities, LLC, along with other financial institutions, have been </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">named in three putative antitrust class actions in the US District Court in Manhattan, which have since been consolidated. Plaintiffs allege that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the USD ICE Libor panel banks conspired to make artificially low submissions to that benchmark in order to profit on their trading in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">derivatives tied to USD ICE Libor. Plaintiffs seek to certify a class comprised of US residents (individuals and entities) that transacted with a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendant in floating rate debt instruments or interest rate swaps tied to USD ICE Libor and received a payment at any time between 1 February </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2014 to the present, regardless of when the instrument was purchased. By order dated 26 March 2020, the District Court dismissed the action. </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-223</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_94"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Plaintiffs have appealed that ruling. On 6 April 2021,
the Second Circuit permitted a new proposed class representative to intervene as a plaintiff </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the appeal and denied defendants&#8217; motion which sought dismissal of
the appeal because the original proposed class representatives withdrew </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">from the action.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Societe Generale, along with several other financial institutions, was named as a defendant in a putative class action alleging violations of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">US antitrust laws and the CEA in connection with foreign exchange spot and derivatives trading. The action was brought by persons or entities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that transacted in certain over-the-counter and exchange-traded foreign exchange instruments. Societe Generale reached a settlement of USD 18 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million, which was approved by the Court on 6 August 2018. A separate putative class action on behalf of putative classes of indirect purchasers </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">was also filed. SG reached a settlement of USD 975,000 to resolve that proceeding. The settlement was finally approved by the Court on 19 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">November 2020. On 7 November 2018, a group of individual entities that elected to opt out of the main class action settlement filed a lawsuit </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against SG, SG Americas Securities, LLC, and several other financial institutions. SG Americas Securities, LLC was dismissed by order dated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">28 May 2020. Discovery is proceeding as to SG and the other remaining defendants. On 11 November 2020, Societe Generale has been named, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">along with several other banks, in a UK action alleging collusion in the market for FX instruments. Societe Generale received the particulars of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claim from plaintiffs and intends to defend the action.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On 10 December 2012, the French Supreme Administrative Court (Conseil d&#8217;&#201;tat) rendered two decisions confirming that the &#8220;pr&#233;compte </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">tax&#8221; which used to be levied on corporations in France does not comply with EU law and defined a methodology for the reimbursement of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amounts levied by the tax authorities. However, such methodology considerably reduces the amount to be reimbursed. Societe Generale </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purchased in 2005 the &#8220;pr&#233;compte tax&#8221; claims of two companies (Rhodia and Suez, now ENGIE) with a limited recourse on the selling </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">companies. One of the above decisions of the French Supreme Administrative Court relates to Rhodia. Societe Generale has brought </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings before the French administrative courts. The latest court decision rendered is a rejection, on 1 February 2016 by the French </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Administrative Supreme Court, of an appeal lodged by ENGIE and Societe Generale.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Several French companies applied to the European Commission, who considered that the decisions handed down by the French Supreme </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Administrative Court on 10 December 2012, which was supposed to implement the decision rendered by the Court of Justice of the European </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Union C-310/09 on 15 September 2011, infringed a number of principles of European law. The European Commission subsequently brought </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">infringement proceedings against the French Republic in November 2014, and since then confirmed its position by publishing a reasoned </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">opinion on 28 April 2016 and by referring the matter to the Court of Justice of the European Union on 8 December 2016. The Court of Justice of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">European Union rendered its judgement on 4 October 2018 and sentenced France for failure by the French Supreme Administrative Court to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">disregard the tax on EU sub-subsidiaries in order to secure the withholding tax paid in error as well as on the absence of any preliminary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">question. With regard to the practical implementation of the decision, Societe Generale will assert its rights before the competent courts and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">French tax authority, from which it expects diligent treatment and in accordance with the law. On 23 June 2020, the Administrative Court of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Appeal of Versailles issued a ruling in favour of Societe Generale on our 2002 and 2003 Suez claims, followed by a mid-July enforcement in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">our favour. The judgment of Versailles held that the advance payment was not compatible with the Parent-Subsidiary Directive: the French </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Supreme Administrative Court, which had also received a request for a priority question of constitutionality, also pointed out that the advance </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">payment was incompatible with Article 4 of the Parent-Subsidiary Directive but that a question should be referred to the ECJ for a preliminary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ruling in order to ascertain this. It is therefore now appropriate to await the response of the Court of Luxembourg, which should not occur before </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the end of 2021.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Societe Generale, along with other financial institutions, has been named as a defendant in a
putative class action alleging violations of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">US antitrust laws and the CEA in connection with its involvement in the London Gold Market Fixing. The action is brought on
behalf of persons </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or entities that sold physical gold, sold gold futures contracts traded on the CME, sold shares in gold ETFs, sold gold call options traded on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CME, bought gold put options traded on CME, sold over-the-counter gold spot or forward contracts or gold call options, or bought </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">over-the-counter gold put options. The action is pending in the US District Court in Manhattan. Motions to dismiss the action were denied by an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">order dated 4 October 2016, and fact discovery has now been completed. Societe Generale, along with other financial institutions, is also named </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as a defendant in two putative class actions in Canada (in the Ontario Superior Court in Toronto and Quebec Superior Court in Quebec City) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">involving similar claims.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Since August 2015, various former and current employees of the Societe Generale group have been under investigation by German </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">criminal prosecution and tax authorities for their alleged participation in the so called &#8220;CumEx&#8221; patterns in connection with withholding tax on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dividends on German shares. These investigations relate to a fund administered by SGSS GmbH proprietary trading activities and transactions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">carried out on behalf of clients. The Group entities respond to the requests of the German authorities.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-224</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_95"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">SGSS GmbH was informed by the Bonn
District Court on 19 June 2019 that criminal proceedings had been initiated against two </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">individuals who were employed by a company having previously advised this fund, the
latter being suspected by the German prosecutors to have </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">been involved in potentially fraudulent CumEx transactions. On 19 August 2019, the Bonn District Court ordered
SGSS GmbH to join these </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">criminal 153 proceedings as a &#8220;secondary party&#8221;. By order of 16 March 2020, the Bonn District Court, with consent of the Cologne
Prosecutors, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">released SGSS GmbH as a secondary party immediately. In addition to being subject to investigations or criminal proceedings, SG Group </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">entities may be exposed to claims by third parties, including German tax offices, and become party to legal disputes.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In May 2019, SGAS was named, along with other financial institutions, as a defendant in a
putative class action in the US alleging </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">anticompetitive behaviour in the pricing of &#8220;agency bonds&#8221; issued by US Government Sponsored Enterprises (GSEs),
including Federal Home </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Loan Bank (FHLB), Federal Home Loan Mortgage Corporation (Freddie Mac), and Federal National Mortgage Association (Fannie Mae). </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SGAS, along with several other defendants, filed a motion to dismiss on 13 June 2019 which was granted on 29 August 2019 as against SGAS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and several other bank defendants. Plaintiffs filed an amended complaint on 9 September&#8239;2019, and a motion to dismiss this amended complaint </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">was filed on 17 September 2019. That motion was denied on 15 October 2019. On 16 December 2019, plaintiffs and twelve bank defendants, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including SGAS, submitted for court approval a stipulation of settlement in the class action, for USD 250 million. Although SGAS&#8217;s share of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement is not public, the amount was not material from a financial statement perspective. The class action settlement was finally approved by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the court on 16 June&#8239;2020. SGAS was also named in four separate individual opt-out litigations by the following plaintiffs: the State of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Louisiana (filed September 2019), the City of Baton Rouge/East Baton Rouge Parish and related entities (October 2019), Louisiana Asset </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Management Pool (April 2020), and the City of New Orleans and related entities (September 2020). These suits also asserted antitrust claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(and in some cases other related claims) against SGAS and multiple other bank defendants based on these plaintiffs&#8217; purchases of GSE bonds. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">As to the opt-out litigations, a settlement was reached involving all defendants, of which SGAS&#8217;s share was immaterial, and these actions have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">been dismissed. SGAS also received a subpoena from the US Department of Justice (DOJ) in connection with its US agency bond business. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SGAS responded to these requests and is cooperating with the DOJ investigation.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Societe Generale and certain of its subsidiaries are defendants in an action pending in the US Bankruptcy Court in Manhattan brought by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Trustee appointed for the liquidation of Bernard L. Madoff Investment Securities LLC (BLMIS). The action is similar to those brought by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the BLMIS Trustee against numerous institutions and seeks recovery of amounts allegedly received by the SG entities indirectly from BLMIS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">through so-called &#8220;feeder funds&#8221; that were invested in BLMIS and from which the SG entities received redemptions. The suit alleges that the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amounts that the SG entities received are avoidable and recoverable under the US Bankruptcy Code and New York state law. The BLMIS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trustee seeks to recover, in the aggregate, approximately USD 150 million from the SG entities. The SG entities are defending the action. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">decisions dated 22 November 2016 and 3 October 2018, the Court rejected most of the claims brought by the BLMIS Trustee. The Trustee </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">appealed to the US Court of Appeals for the Second Circuit. By order dated 25 February 2019, the Second Circuit vacated the judgements and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">remanded for further proceedings. On 1 June 2020, the United States Supreme Court denied Defendant-Appellees&#8217; petition for a writ of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certiorari. The case will now be returned to the District Court for further proceedings.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On 10 July 2019, Societe Generale was named as a defendant in a litigation filed in the US District Court in Miami by plaintiffs seeking </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to recover under the Cuban Liberty and Democracy Solidarity (Libertad) Act of 1996 (known as the Helms-Burton Act) for alleged losses </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">stemming from the expropriation by the Cuban government in 1960 of Banco Nunez in which they are alleged to have held an interest. Plaintiff </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims damages from Societe Generale under the terms of this statute. Plaintiff filed an amended complaint on 24 September 2019 adding three </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other banks as defendants and adding several new factual allegations as to Societe Generale. Societe Generale filed a motion to dismiss, which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">was fully briefed as of 10 January 2020. While the motion to dismiss was pending, plaintiffs filed an unopposed motion on 29 January 2020, to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transfer the case to federal court in Manhattan, which the court granted on 30 January 2020. Plaintiffs filed a second amended complaint on 11 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 2020, in which it dropped the three other banks as defendants, added a different bank as an additional defendant, and added as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">additional plaintiffs who purport to be heirs of the founders of Banco Nunez. A motion to dismiss has been filed.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On 9 November 2020, Societe Generale was named as a defendant, together with another bank, in
similar Helms-Burton litigation filed in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the US District Court in Manhattan (Pujol I) by the purported heirs of former owners, and personal representatives of estates of
heirs or former </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">owners, of Banco Pujol, a Cuban bank alleged to have been confiscated by the Cuban government in 1960. On 27 January 2021, Societe </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Generale filed a motion to dismiss. In response, as permitted by the judge&#8217;s rules, plaintiffs chose to file an amended complaint and did so on 26 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">February 2021. Societe Generale filed a motion to dismiss to dismiss the amended complaint on 19 March 2021. On 16 March 2021, Societe </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Generale was named as a defendant, together with another bank, in a nearly identical Helms-Burton litigation filed in the US District Court in </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-225</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_96"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Manhattan (Pujol II) by the personal representative of
one of the purported heirs to Banco Pujol who is also a plaintiff in Pujol I. The deadline </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for the defendants to respond to the complaint in Pujol II is stayed through and
including the date of the court&#8217;s decision on the motion to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss in Pujol I.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On 5 June 2020, a shareholder of Societe Generale filed a derivative action in New York State court against 39 current and former </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">directors and officers of the Bank. The complaint alleges that a 2009 written agreement with US banking regulators required the Bank to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">implement and maintain an effective anti-money laundering compliance and transaction monitoring system. According to the complaint, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bank failed to do so, leading to penalties and forfeitures imposed in November 2018 by a number of federal and New York state agencies and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">criminal authorities relating to US sanctions and anti-money laundering laws. The complaint makes claims for, among other things, breaches of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">duty related to these matters. This litigation is at an early procedural stage, and a motion to dismiss on a variety of grounds is expected.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On 16 October 2020, Vestia brought proceedings against Societe Generale before the High Court of
England regarding the conditions </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">pursuant to which Vestia contracted derivative products with Societe Generale between 2008 and 2011. Vestia claims that these transactions
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">were outside of its capacity and alleges they were induced by corruption. Vestia seeks to rescind the transactions and recover the amounts paid </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to Societe Generale pursuant to these transactions. On 8 January 2021, Societe Generale filed its Statement of Defence and Counterclaim.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On 20 October 2020, Societe Generale Securities Australia Pty Ltd (&#8220;SGSAPL&#8221;) was
sentenced by the Local Court in Sydney on charges </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">relating to breaches of client money obligations. SGSAPL was required to pay a total penalty of AUD 30,000 for facts
which occurred over the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">period from December 2014 to February 2017 and which were self-declared to the Australian Securities and Investment Commission.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 1, 2021, a shareholder of Societe Generale initiated an action designated by him as a
&#8220;derivative action&#8221; (&#8216;action ut singuli&#8217;) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">before the Commercial Court of Paris against the CEO of the company (&#8216;directeur
g&#233;n&#233;ral&#8217;), Mr. Fr&#233;d&#233;ric Oud&#233;a. The claimant alleges that Mr. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Oud&#233;a has committed so-called acts of mismanagement in connection with the
business relationships established between 2007 and 2010 by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Societe Generale with Libyan financial institutions. Facts in connection with these business relationships have
already led to the signing of (i) a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">convention judiciaire d&#8217;int&#233;r&#234;t public on May 24, 2018 between Societe Generale and the Financial Public Prosecutor
(the &#8220;CJIP&#8221;) and (ii) a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Deferred Prosecution Agreement on June 5, 2018 between Societe Generale and the United States Department of Justice (the
&#8220;DPA&#8221;). Plaintiff </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">is seeking an order that Mr. Oud&#233;a pay to Societe Generale an amount equal to fines paid to the U.S. and French treasuries under the
CJIP and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the DPA. Societe Generale voluntarily joined these proceedings at the first procedural hearing. The company intends to seek the dismissal of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims made by the plaintiff on a variety of grounds.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Compliance Remediation Plan in the Wake of Agreements Entered Into With French and US Authorities</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In June 2018, Societe Generale entered into agreements with the US Department of Justice (DOJ) and the US Commodity Futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trading Commission (CFTC) to resolve their investigations into IBOR submissions, and with the DOJ and the French Parquet National </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Financier (PNF) to resolve their investigations into certain transactions involving Libyan counterparties.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In November 2018, Societe Generale entered into agreements with the US authorities to resolve their investigations into certain US dollar </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions involving countries, persons or entities subject to US economic sanctions.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As part of these agreements, the Bank has committed to enhance its compliance system in order to prevent and detect any violation of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">anti-corruption and bribery, market manipulation and US economic sanction regulations, and any violation of New York state laws. The Bank </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">has also committed to enhance corporate oversight of its economic sanctions compliance programme. The Bank will not be prosecuted if it </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">abides by the terms of the agreements, to which Societe Generale is fully committed.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Bank has also agreed with the US Federal Reserve to hire an independent consultant to assess the Bank&#8217;s progress on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">implementation of measures to strengthen its compliance programme.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">To meet the commitments made by Societe Generale as part of these agreements, the Bank has developed a programme to implement </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">these commitments and strengthen its compliance system in the relevant areas. This programme has been placed under the direct supervision of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Group Head of Compliance. In addition, the programme&#8217;s Steering Committee is chaired by a member of the Bank&#8217;s General Management, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and a programme progress report is presented to the Board of Directors on a monthly basis.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-226</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_97"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2020, the Programme was rolled out according to the schedule presented to the internal Governance bodies and
the various authorities </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">receiving regular reports on the progress of remedial actions. Moreover, the external audits provided in the agreements have been conducted or
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">are under way.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On 14 December 2020, Societe Generale was notified of the termination of proceedings notice issued by the Financial Prosecutor of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">French Republic (the Procureur de la R&#233;publique Fran&#231;aise, or PRF) in connection with certain transactions with Libyan counterparties.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">United States Compliance Remediation Plan</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On 19 November 2018, Societe Generale Group and its New York branch (SGNY) entered into an
agreement (enforcement action) with </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the NY State Department of Financial Services regarding the SGNY anti-money laundering compliance programme. This agreement requires
(i) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">submitting an enhanced anti-money laundering programme, (ii) an anti-money laundering governance plan, and (iii) the performance of an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">external audit in 2020.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As background information, on 14 December 2017, Societe Generale and SGNY on the one hand, and the Board of Governors of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Federal Reserve on the other hand, agreed to a Cease and Desist order (the &#8220;Order&#8221;) regarding the SGNY compliance programme to adhere to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Bank Secrecy Act (&#8220;BSA&#8221;) and its anti-money laundering (&#8220;AML&#8221;) obligations (the &#8220;Anti-Money Laundering Compliance Program&#8221;), and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">regarding some aspects of its Know Your Customer programme.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">This Cease and Desist Order signed on 14 December 2017 with the US Federal Reserve supersedes the Written Agreement entered into in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2009 between Societe Generale Group and SGNY on the one hand, and the US Federal Reserve and the New York State Financial Services </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Department on the other hand.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Included by the Sponsor from the NFA website and not provided by Societe Generale</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">The foregoing discussion was provided by Societe Generale based upon its 2021 registration statement as noted above. Below are CFTC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">releases related to other matters from the NFA website and not provided by Societe Generale.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CFTC Case #17-01, December 7, 2016. CFTC Orders Paris-Based Societe Generale SA to Pay a $450,000
Penalty for Failing to Timely </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Report Swap Transactions</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Washington, DC &#8211; The U.S. Commodity Futures Trading Commission (CFTC) today issued an Order filing and simultaneously settling </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">charges against Societe Generale SA (Societe Generale) for failing to properly report certain non-deliverable forward transactions to a swap data </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">repository (SDR), and failing to timely report to an SDR a large number of FX swap, FX forward, and non-deliverable forward transactions, in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violation of the Commodity Exchange Act (CEA) and CFTC Regulations. Societe Generale is a swap dealer headquartered in Paris, France that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">has been provisionally registered with the CFTC in that capacity since December 31, 2012.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The CFTC Order requires Societe Generale to pay a $450,000 civil monetary penalty and to cease and desist from committing further </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violations of the CEA and CFTC Regulations, as charged.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As stated in the Order, the accuracy and completeness of swap reporting are critical to the Commission&#8217;s mission to protect market </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">participants and to ensure market integrity. In particular, the Order states that the CEA requires parties to a swap transaction to report swap </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transaction information to a registered SDR in a timely manner, and requires swap dealers to report swap transactions to an SDR within such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">time period as prescribed by the CFTC. The Order further states that CFTC Regulations 43 and 45 specify requirements for real-time public </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reporting, public availability of swap transaction and pricing data, and reporting of creation and continuation data to an SDR. According to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Order, the reporting requirements are designed to enhance transparency, promote standardization, and reduce systemic risk.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Order finds that in July 2014 Societe Generale implemented a software update to its FX
trading platform which led to the trading </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">platform incorrectly coding Societe Generale&#8217;s counterparty as the reporting counterparty for certain FX swap, FX forward,
and non-deliverable </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">forward transactions, which resulted in no reports being made to the SDR regarding the swaps. According to the Order, Societe Generale did not </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">discover the error until January 2015, and it was not until April 2015 that Societe Generale was able to fix it. The Order finds that Societe </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Generale initiated a project to identify trades affected by the coding error and in September 2015 notified CFTC staff about its failure to report. </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-227</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_98"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">According to the Order, Societe Generale back-loaded
approximately 51,821 unreported transactions in October 2015 and in April and May </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2016 made submissions to its SDR for approximately 2,024 non-deliverable forward
transactions.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">During the relevant period, Societe Generale inadvertently failed to
properly report non-deliverable forward transactions to a SDR in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">violation of Section 2(a)(13)(F) and (G) of the Commodity Exchange Act, 7 U.S.C. &#167; 2(a)(l3)(F), (G)
(2012) and Regulations 43.3(a)(3) and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">43.4(a), 17 C.F.R. &#167;&#167; 43.3(a)(3), 43.4(a) (2016). Similarly, during the relevant period, Societe Generale, as the reporting
counterparty, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">mistakenly failed to timely report to a registered swap data repository a large number of FX swap, FX forward, and non-deliverable forward </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions, including the requisite continuation data for those transactions, in violation of Section 4r(a)(3) of the Commodity Exchange Act, 7 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S.C. &#167; 6r(a)(3) (2012) and Regulations 45.3(c)(l) and 45.4(a), 17 C.F.R. &#167;&#167; 45.3(c)(l), 45.4(a) (2016).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Order recognizes that Societe Generale cooperated with the CFTC&#8217;s investigation by
self-reporting its errors, undertaking an internal </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigation, and taking remedial action to correct its reporting failures.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">CFTC Case #18-14, June 4, 2018. CFTC Orders Societe Generale S.A. to Pay $475 Million Penalty to
Resolve Charges of Manipulation, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Attempted Manipulation, and False Reporting of LIBOR and Euribor</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Washington, DC &#8211; The Commodity Futures Trading Commission (CFTC) issued an Order today
filing and settling charges against </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Societe Generale S.A. (Societe Generale or the Bank) for attempted manipulation of and false reporting in connection with the London
Interbank </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Offered Rate (LIBOR) for U.S. Dollar, Yen and Euro, and the Euro Interbank Offered Rate (Euribor), certain instances of manipulation of Yen </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR, and aiding and abetting traders at another bank in their attempts to manipulate Euribor. The Bank&#8217;s misconduct spans more than six </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">years, from 2006 through mid-2012. The CFTC Order requires Societe Generale to pay a civil monetary penalty of $475 million, cease and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">desist from further violations as charged, and adhere to specific undertakings to ensure the integrity of its LIBOR, Euribor, and other benchmark </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">interest rate submissions in the future.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">LIBOR and Euribor are global interest rate benchmarks that act as the basis of pricing for trillions of dollars of financial instruments, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including U.S. based exchange-traded futures contracts and swaps transactions. Markets, investors, and consumers in the United States and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">around the world rely on the integrity of these benchmark interest rates.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">LIBOR and Euribor are fixed each day based on rates submitted by a select panel of banks. They are supposed to reflect or relate to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">true costs of borrowing unsecured funds in the relevant interbank market. In determining what rates to submit, each panel bank is to make an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">honest assessment of those costs. Benchmark submissions thus convey market information about borrowing costs for unsecured funds, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">liquidity conditions and stress in the money markets, and a bank&#8217;s ability to borrow funds in the particular markets. As reflected in the CFTC&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Order, at various times during the relevant period, Societe Generale made its submissions for U.S. Dollar, Euro and Yen LIBOR and Euribor </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">based on impermissible factors.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Order finds that Societe Generale engaged in misconduct that undermined the integrity of LIBOR and Euribor for two distinct </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purposes. From May 2010 through mid-2012, during a period of market strain due to the Greek sovereign debt crisis, Societe Generale made </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">false reports of U.S. Dollar and Euro LIBOR and Euribor to protect its reputation from speculation that it was having more difficulty borrowing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unsecured funds than other banks. Societe Generale made these false reports at the direction of certain members of executive management, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including the Chief Financial Officer and Head of Corporate Investment Banking, as well as senior Treasury managers, including the Global </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Head of Treasury. At other times, as detailed below, Societe Generale made false reports concerning U.S. Dollar, Yen, and Euro LIBOR and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Euribor in attempts to manipulate the setting of those benchmarks, and for Yen LIBOR was, at certain times, successful in its attempts to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">manipulate, in order to benefit trading positions that were priced based on LIBOR or Euribor, or in other words, for profit.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As the Order finds, Societe Generale engaged in misconduct even after it knew that the CFTC was
investigating the Bank&#8217;s Euribor and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR submission practices as of July and September 2011. Societe Generale continued to make false U.S. Dollar LIBOR submissions
by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">submitting rates lower than its true costs of borrowing funds in order to protect its reputation. Moreover, in early 2012, Societe Generale </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conducted an internal audit of its LIBOR submission process, which produced an anemic report that failed to identify glaring improprieties and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">concluded the Bank&#8217;s submitted rates were &#8220;consistent with&#8221; British Bankers&#8217; Association guidelines despite an abundance of evidence to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the contrary.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Societe Generale</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Makes False Submissions to Protect
Reputation As Directed by Executive Management from May 2010 through </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Mid-2012</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-228</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_99"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The CFTC Order specifically finds that
in May 2010, during a period of market strain due to the Greek sovereign debt crisis to which </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Societe Generale had exposure, Societe Generale&#8217;s U.S. Dollar LIBOR
submissions garnered the attention of press and market analysts because </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the submissions were consistently higher than the submissions of many other banks, reflecting to
the market that the Bank was paying higher </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">interest rates than other banks in order to borrow unsecured funds. This raised the concerns of certain members of Societe
Generale&#8217;s executive </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">management that the relatively higher U.S. Dollar LIBOR submissions were creating an impression that the Bank was struggling to finance itself
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the Bank would appear less financially stable compared to its competitors, especially the French banks. Certain members of executive </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">management expressed anger over the Bank&#8217;s submissions having a negative impact on its reputation. They instructed the Bank&#8217;s Global Head </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Treasury that Societe Generale&#8217;s submissions should not be among the highest of the non-eliminated banks and should not raise questions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">about the Bank&#8217;s financial stability. Societe Generale&#8217;s Global Head of Treasury conveyed these executive managers&#8217; concerns and instructions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the members of Treasury responsible for making the submissions. At the direction of these managers, the Bank&#8217;s LIBOR and Euribor </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">submitters were to lower the Societe Generale&#8217;s LIBOR submissions to ensure that there was no further scrutiny from the press or market </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">analysts and to assuage the concerns of the executive management. Societe Generale&#8217;s submitters followed the instructions, with one manager </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">noting that it was &#8220;a total charade.&#8221; Societe Generale also lowered its Euribor submissions to match the Bank&#8217;s lower Euro LIBOR submissions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to avoid detection of their false depression of Euro LIBOR because the benchmarks tended to move in tandem.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Order finds that at times, members of Societe Generale&#8217;s Treasury Desks expressed
discomfort and concern about Societe Generale&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">submission practices. &#8220;We have increased our market funding levels without moving our LIBOR contribution I
think we are leaving ourselves </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exposed to a possible claim of market manipulation &#8230; I am extremely uncomfortable with this situation.&#8221; Certain members of
executive </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">management were informed that submissions did not match what the Bank was paying in the market, being told at one point, &#8220;we remain in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">breach,&#8221; &#8220;we&#8217;re very far away from reality,&#8221; and &#8220;we&#8217;re in cloud cuckoo land with our contributions.&#8221; The Bank made false U.S. Dollar LIBOR
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">submissions until at least July 2012 and made false Euro LIBOR and Euribor submissions until at least July 2010.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">According to the Order, as scrutiny of panel banks LIBOR submissions practices intensified and
Societe Generale&#8217;s fear of exposure </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">grew, Societe Generale started to gradually increase its submissions, hoping to avoid any market reaction. Societe Generale also
took steps to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">conceal its misconduct, including preparing fictitious borrowing costs data to submit to the LIBOR administrator to justify the Bank&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">submissions, discussing, dissembling and justifying aberrant deals done at levels above the submissions, and sending false bids for U.S. Dollars </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">into the wider market while telling potential lenders one-on-one that the Bank was willing to pay much higher rates. These tactics were meant to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">hide the disconnection between the costs of funds and its U.S. Dollar LIBOR submissions. The Order also finds that upon facing inquiry into </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">their misconduct, members of the Bank&#8217;s Treasury desks wanted indemnification letters, discussed that they &#8220;played dumb&#8221; when questioned </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">about the Bank&#8217;s LIBOR submission process and joked that, &#8220;I don&#8217;t want to go to prison by myself&#8230;&#8221; and, &#8220;You&#8217;ll have to bring us oranges
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">when we&#8217;re in prison.&#8221;</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Societe Generale&#8217;s Attempts to Manipulate U.S. Dollar, Yen, and Euro LIBOR and Euribor To Benefit Trading Positions</font></div>
<div style="line-height:11.0pt;margin-left:20.23pt;margin-top:6pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;margin-left:-1.96%;">&#9675;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:6pt;">The CFTC Order further finds that at various times, Societe Generale, through the acts of members of its Paris Treasury Desk </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">and others, attempted to manipulate the fixing of LIBOR and Euribor by making false submissions to benefit money market </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">and derivatives trading positions. The Treasury Desks were profit centers for Societe Generale and traders&#8217; compensation was </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">based in part upon the profitability of the Desk.</font></div> <div style="line-height:11.0pt;margin-left:20.23pt;margin-top:6pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;margin-left:-1.96%;">&#9675;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:6pt;">From February 2009 to mid-May 2010, Societe Generale, through
its submitters, based the Bank&#8217;s U.S. Dollar LIBOR submissions,</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;"> in whole or in part, on whatever the Paris Treasury Desk believed was most beneficial for the
desk&#8217;s positions on </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">any given day. If successful in affecting the fixing, the Bank would profit on certain money market and derivatives positions </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">placed by the Paris Treasury Desk by increasing payments from counterparties on assets or decreasing payments to </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">counterparties on liabilities. At one point, as part of a strategy to push the U.S. Dollar LIBOR fixing higher to benefit a long </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">position in the one month tenor, Societe Generale attempted to make the highest submission that would be included in the calculation</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> for the final U.S. Dollar LIBOR fixing. From mid-September 2009 to mid-March 2010, 88% of the Bank&#8217;s U.S. Dollar</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> LIBOR submissions in the one-month tenor were ranked as one of the three highest submissions in the calculation (i.e. the </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">tenth to twelfth highest submission in the panel) for the final fixing. And its submissions were consistently above its borrowing</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> costs and the LIBOR fixing.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-229</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_100">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;margin-left:20.23pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;margin-left:-1.96%;">&#9675;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:6pt;">From 2006 to at least March 2007, Societe Generale, through its
submitters and derivatives traders, attempted to manipulate </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">Euribor. Senior Euro derivatives traders at the Bank regularly sent requests to the Bank&#8217;s Euribor
submitters on the Paris </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">Treasury Desk to adjust the Bank&#8217;s Euribor submissions to benefit trading positions, which were occasionally accommodated.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> On certain occasions, the submitters did not accommodate the requests of the derivatives traders because the Paris </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Treasury Desk itself held positions which would have benefited with an opposite movement in the fixing, at which point a </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">decision was made to submit toward the &#8220;middle&#8221; to accommodate both trading positions.</font></div>
<div style="line-height:11.0pt;margin-left:20.23pt;margin-top:6pt;text-align:justify;"><font style="color:#000000;font-family:Times New Roman;font-size:7pt;margin-left:-1.96%;">&#9675;</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:6pt;">During the same period, Societe Generale aided and abetted a Barclays derivatives trader&#8217;s attempts to manipulate Euribor </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">during the same period. At the time, certain Societe Generale Euro derivatives traders engaged in a two-way scheme of sending</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> submission requests to, and receiving requests from, Barclays derivatives traders to relay to their respective Euribor submitters.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> Soci&#233;t&#233; G&#233;n&#233;rale traders relayed Barclays traders&#8217; requests to Societe Generale&#8217;s Euribor submitters to benefit either </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">the Barclays traders&#8217; trading positions, or both the Barclays traders&#8217; and the Soci&#233;t&#233; G&#233;n&#233;rale traders&#8217; positions. On certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">occasions the Bank&#8217;s submitters accommodated these requests.</font></div> <div style="line-height:11.0pt;margin-left:20.23pt;margin-top:6pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;margin-left:-1.96%;">&#9675;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:6pt;">In the fall of 2007, Societe Generale through its submitters
and certain traders and senior managers on the Paris Treasury </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">Desk, attempted to manipulate Euribor and Euro LIBOR to benefit the desk&#8217;s money market and
derivatives trading positions </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">and mitigate losses. The Head of Paris Treasury, who eventually became the Global Head of Treasury, instructed the submitters</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> to skew the Bank&#8217;s submissions to mitigate losses on a particularly large trading position held by the Desk. One submitter </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">commented, &#8220;We have been instructed to [ensure] that the [3 month Euirbor fixing] drops [&#8230;] And when you&#8217;re told you </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">have to, well&#8230;.You do it.&#8221; When the Head of London Treasury asked about it, the Head of Paris Treasury acknowledged, </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">&#8220;Yeah, it was some manipulation . . . .&#8221;</font></div> <div style="line-height:11.0pt;margin-left:20.23pt;margin-top:6pt;text-align:justify;"><font
style="color:#000000;font-family:Times New Roman;font-size:7pt;margin-left:-1.96%;">&#9675;</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;margin-left:6pt;">From July 2006 through August 2007, Societe Generale, through
its derivatives traders, submitters, and senior Treasury managers,</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;"> attempted to manipulate Yen LIBOR and on certain occasions, successfully manipulated Yen LIBOR. The
Soci&#233;t&#233; </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;">G&#233;n&#233;rale&#8217;s Head of Treasury for Europe and Asia ordered the Yen Submitter to accommodate the submission requests of certain</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;"> Societe Generale Yen derivatives traders in Tokyo. Despite knowing the impropriety of the requests, the Yen LIBOR </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;">Submitter complied with the order and accommodated these requests.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Order also finds that Societe Generale&#8217;s lack of internal controls, procedures, and policies concerning its LIBOR and Euribor </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">submission processes and its failure to adequately supervise its money market and derivatives trading desks and traders allowed this misconduct </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to occur. Societe Generale did not have policies, internal controls, or procedures for determining or monitoring its benchmark interest rate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">submissions to ensure that the Bank&#8217;s LIBOR and Euribor submissions were appropriately submitted based on an assessment of the costs of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">borrowing unsecured funds in the relevant interbank markets. Soci&#233;t&#233; G&#233;n&#233;rale&#8217;s failure to provide internal training or implement standards </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">around its LIBOR and Euribor submissions, to prohibit inappropriate communications between traders and submitters, and to recognize and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">monitor obvious conflicts of interest, all led to a culture of misconduct and permitted such misconduct to continue for a number of years, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">according to the Order.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In a related action by the U.S. Department of Justice (DOJ), Societe Generale entered into a deferred prosecution agreement for violations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Commodity Exchange Act for the same underlying misconduct and accepted a penalty of $275 million.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The CFTC Order recognizes the Bank&#8217;s significant cooperation with the CFTC Division of Enforcement&#8217;s investigation, including </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">identifying and disclosing additional specific misconduct in responding to the Division&#8217;s requests for documents and information.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The CFTC thanks and acknowledges the valuable assistance of the Department of Justice, the
Washington Field Office of the Federal </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bureau of Investigation, The Autorit&#233; des march&#233;s financiers in France, and the UK Financial Conduct Authority.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">The foregoing discussion </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">was provided by Societe Generale. Below is
information from a CFTC release and has not been provided by Societe </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-style:italic;">Generale.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">The Commodity Futures Trading Commission (&#8220;CFTC&#8221;) on September 29, 2021 issued an Order filing and </font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">settling charges against Soci&#233;t&#233; G&#233;n&#233;rale S.A. (&#8220;Soci&#233;t&#233; G&#233;n&#233;rale&#8221;), requiring Soci&#233;t&#233;
G&#233;n&#233;rale to pay a $1.5 million civil </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">monetary penalty and to undertake remedial relief. The Order finds that from in or about 2013 to at least
July 2021, </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Soci&#233;t&#233; G&#233;n&#233;rale, a provisionally registered swap dealer, failed to supervise its mid-market mark disclosure process
</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-230</font></div>
</div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_101"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">diligently, resulting in
Soci&#233;t&#233; G&#233;n&#233;rale failing to comply with mid-market mark disclosure and swap data repository </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">(&#8220;SDR&#8221;) reporting
requirements for certain swap transactions. Soci&#233;t&#233; G&#233;n&#233;rale&#8217;s failure to perform its supervisory </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">obligations diligently with
respect to mid-market mark disclosures resulted in numerous violations of the Act and </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">Regulations. Specifically, for many years, Soci&#233;t&#233;
G&#233;n&#233;rale failed to disclose daily mid-market marks (&#8220;daily marks&#8221;) </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">entirely to a significant portion of its counterparties for
which Soci&#233;t&#233; G&#233;n&#233;rale was subject to daily mark disclosure </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">requirements. For certain other swaps, Soci&#233;t&#233;
G&#233;n&#233;rale provided counterparties inaccurate daily marks and reported </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">inaccurate swap valuation data to an SDR. Finally, Soci&#233;t&#233;
G&#233;n&#233;rale also failed to disclose pre-trade mid-market marks to </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">counterparties to swaps it transacted over certain electronic trading platforms.
In each instance, Soci&#233;t&#233; G&#233;n&#233;rale&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">failures went undetected for extended periods due to its inadequate supervision and
controls over its mid-market mark </font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;">disclosure process.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">UBS AG (&#8220;UBS&#8221;)</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS AG&#8217;s (&#8220;UBS&#8221;) principal business address is Bahnhofstrasse 45, Zurich, CH 8001, Switzerland. UBS is acting as a swap dealer for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Funds. UBS AG is registered in the US with National Futures Association (NFA) as a provisionally registered Swap Dealer.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS AG is a subsidiary of UBS Group AG. From time to time, UBS AG, UBS Group AG and its and their
subsidiaries, officers and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">employees are involved in proceedings and receive inquiries, subpoenas and notices of investigation relating to various aspects of its business
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">some of which result in sanction. Details are set out in UBS AG&#8217;s and UBS Group AG&#8217;s quarterly and annual reporting, which can be found at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">https://www.ubs.com/global/en/investor-relations.html. Additional information can be found in the BrokerCheck Report of UBS Securities LLC, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a UBS AG affiliate, which is available at https://brokercheck.finra.org/firm/summary/7654 by clicking on Detailed Report.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The disclosures below are extracts from UBS AG&#8217;s and UBS Group AG&#8217;s Annual Reports
dating back five years:</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">2019 Annual Report</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">1.&#8195;Inquiries regarding cross-border wealth management businesses.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Tax and regulatory authorities in a number of countries have made inquiries, served requests for
information or examined employees </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">located in their respective jurisdictions relating to the cross-border wealth management services provided by UBS and other financial
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">institutions. It is possible that the implementation of automatic tax information exchange and other measures relating to cross-border provision </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of financial services could give rise to further inquiries in the future. UBS has received disclosure orders from the Swiss Federal Tax </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Administration (FTA) to transfer information based on requests for international administrative assistance in tax matters. The requests concern a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">number of UBS account numbers pertaining to current and former clients and are based on data from 2006 and 2008. UBS has taken steps to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inform affected clients about the administrative assistance proceedings and their procedural rights, including the right to appeal. The requests are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">based on data received from the German authorities, who seized certain data related to UBS clients booked in Switzerland during their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations and have apparently shared this data with other European countries. UBS expects additional countries to file similar requests. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Swiss Federal Administrative Court ruled in 2016 that, in the administrative assistance proceedings related to a French bulk request, UBS has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the right to appeal all final FTA client data disclosure orders. On 30 July 2018, the Swiss Federal Administrative Court granted UBS&#8217;s appeal by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">holding the French administrative assistance request inadmissible.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The FTA filed a final appeal with the Swiss Federal Supreme Court. On 26 July 2019, the Supreme Court reversed the decision of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Federal Administrative Court. In December 2019, the court released its written decision. The decision requires the FTA to obtain confirmation </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">from the French authorities that transmitted data will be used only for the purposes stated in their request before transmitting any data. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">stated purpose of the original request was to obtain information relating to taxes owed by account holders. Accordingly, any information </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transferred to the French authorities must not be passed to criminal authorities or used in connection with the ongoing case against UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">discussed in this item.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Since 2013, UBS (France) S.A., UBS AG and certain former employees have been under investigation in France for alleged complicity in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unlawful solicitation of clients on French territory, regarding the laundering of proceeds of tax fraud, and banking and financial solicitation by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unauthorized persons. In connection with this investigation, the investigating judges ordered UBS AG to provide bail (&#8220;caution&#8221;) of EUR 1.1 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">billion and UBS (France) S.A. to post bail of EUR 40 million, which was reduced on appeal to EUR 10 million.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-231</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_102"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A trial in the court of first instance
took place from 8 October 2018 until 15 November 2018. On 20 February 2019, the court announced a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">verdict finding UBS AG guilty of unlawful solicitation of clients on
French territory and aggravated laundering of the proceeds of tax fraud, and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS (France) S.A. guilty of aiding and abetting unlawful solicitation and laundering the
proceeds of tax fraud. The court imposed fines </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">aggregating EUR 3.7 billion on UBS AG and UBS (France) S.A. and awarded EUR 800 million of civil damages to the French
state. UBS has </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">appealed the decision. Under French law, the judgment is suspended while the appeal is pending. The trial in the Court of Appeal is scheduled </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for June 2020. The Court of Appeal will retry the case de novo as to both the law and the facts, and the fines and penalties can be greater than or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">less than those imposed by the court of first instance. A subsequent appeal to the Cour de Cassation, France&#8217;s highest court, is possible with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">respect to questions of law.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS believes that based on both the law and the facts the judgment of the court of first instance should be reversed. UBS believes it </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">followed its obligations under Swiss and French law as well as the European Savings Tax Directive. Even assuming liability, which it contests, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS believes the penalties and damage amounts awarded greatly exceed the amounts that could be supported by the law and the facts. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">particular, UBS believes the court incorrectly based the penalty on the total regularized assets rather than on any unpaid taxes on those assets for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which a fraud has been characterized and further incorrectly awarded damages based on costs that were not proven by the civil party. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Notwithstanding that UBS believes it should be acquitted, our balance sheet at 31 December 2019 reflected provisions with respect to this matter </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in an amount of EUR 450 million (USD 505 million at 31 December 2019). The wide range of possible outcomes in this case contributes to a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">high degree of estimation uncertainty. The provision reflected on our balance sheet at 31 December 2019 reflects our best estimate of possible </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial implications, although it is reasonably possible that actual penalties and civil damages could exceed the provision amount.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2016, UBS was notified by the Belgian investigating judge that it is under formal
investigation (&#8220;inculp&#233;&#8221;) regarding the laundering of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceeds of tax fraud, of banking and financial solicitation by unauthorized persons, and of serious
tax fraud. In 2018, tax authorities and a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">prosecutor&#8217;s office in Italy asserted that UBS is potentially liable for taxes and penalties as a result of its activities
in Italy from 2012 to 2017. In </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">June 2019, UBS entered into a settlement agreement with the Italian tax authorities under which it paid EUR 101 million to resolve the
claims </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">asserted by the authority related to UBS AG&#8217;s potential permanent establishment in Italy. In October 2019, the Judge of Preliminary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Investigations of the Milan Court approved an agreement with the Milan prosecutor under Article 63 of Italian Administrative Law 231 under </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which UBS AG, UBS Switzerland AG and UBS Monaco have paid an aggregate of EUR 10.3 million to resolve claims premised on the alleged </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inadequacy of historical internal controls. No admission of wrongdoing was required in connection with this resolution.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2019 reflected provisions with respect to matters described in
this item 1 in an amount that UBS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established
provisions, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the future outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">2.&#8195;Claims related to sales of residential mortgage-backed securities and
mortgages</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">From 2002 through 2007, prior to the crisis in the US residential loan
market, UBS was a substantial issuer and underwriter of US </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">residential mortgage-backed securities (RMBS) and was a purchaser and seller of US residential mortgages. A
subsidiary of</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS, UBS Real Estate Securities Inc. (UBS RESI), acquired pools of
residential mortgage loans from originators and (through an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliate) deposited them into securitization trusts. In this manner, from 2004 through 2007, UBS RESI
sponsored approximately USD 80 billion </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in RMBS, based on the original principal balances of the securities issued. UBS RESI also sold pools of loans acquired from
originators to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">third-party purchasers. These whole loan sales during the period 2004 through 2007 totaled approximately USD 19 billion in original principal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">balance. UBS was not a significant originator of US residential loans. A branch of UBS originated approximately USD 1.5 billion in US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">residential mortgage loans during the period in which it was active from 2006 to 2008 and securitized less than half of these loans. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Lawsuits </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">related to contractual representations and warranties
concerning mortgages and RMBS: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">When UBS acted as an RMBS sponsor or mortgage </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">seller, it
generally made certain representations relating to the characteristics of the underlying loans. In the event of a material breach of these </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">representations, UBS was in
certain circumstances contractually obligated to repurchase the loans to which the representations related or to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">indemnify certain parties against losses. In 2012, certain
RMBS trusts filed an action in the US District Court for the Southern District of New </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">York seeking to enforce UBS RESI&#8217;s obligation to repurchase loans in the
collateral pools for three RMBS securitizations issued and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">underwritten by UBS with an original principal balance of approximately USD 2 billion. In July 2018, UBS and the
trustee entered into an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreement under which UBS will pay USD 850 million to resolve this matter. A significant portion of this amount will be borne by other parties
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">that indemnified UBS. In January 2020, the settlement was approved by the court. Proceedings to determine how the settlement funds will be </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-232</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_103"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">distributed to RMBS holders are ongoing. After giving
effect to this settlement, UBS considers claims relating to substantially all loan </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">repurchase demands to be resolved and believes that new demands to repurchase US
residential mortgage loans are time-barred under a decision </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">rendered by the New York Court of Appeals. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Mortgage-related regulatory matters: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Since 2014, the US Attorney&#8217;s Office for the
Eastern </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">District of New York has sought information from UBS pursuant to the Financial Institutions Reform, Recovery and Enforcement Act of 1989 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(FIRREA), related to UBS&#8217;s RMBS business from 2005 through 2007. On 8 November 2018, the DOJ filed a civil complaint in the District </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Court for the Eastern District of New York. The complaint seeks unspecified civil monetary penalties under FIRREA related to UBS&#8217;s issuance, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">underwriting and sale of 40 RMBS transactions in 2006 and 2007. UBS moved to dismiss the civil complaint on 6 February 2019. On 10 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">December 2019, the district court denied UBS&#8217;s motion to dismiss.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2019 reflected a provision with respect to matters described in this item 2 in an amount that UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the future outflow of resources in respect of this matter cannot be determined with certainty based on currently available information and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">3.&#8195;Madoff</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In relation to the Bernard L. Madoff Investment Securities LLC (BMIS) investment fraud, UBS AG, UBS (Luxembourg) S.A. (now UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Europe SE, Luxembourg branch) and certain other UBS subsidiaries have been subject to inquiries by a number of regulators, including the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Swiss Financial Market Supervisory Authority (FINMA) and the Luxembourg Commission de Surveillance du Secteur Financier. Those </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inquiries concerned two third-party funds established under Luxembourg law, substantially all assets of which were with BMIS, as well as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain funds established in offshore jurisdictions with either direct or indirect exposure to BMIS. These funds faced severe losses, and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Luxembourg funds are in liquidation. The documentation establishing both funds identifies UBS entities in various roles, including custodian, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">administrator, manager, distributor and promoter, and indicates that UBS employees serve as board members.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2009 and 2010, the liquidators of the two Luxembourg funds filed claims against UBS entities, non-UBS entities and certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">individuals, including current and former UBS employees, seeking amounts totaling approximately EUR 2.1 billion, which includes amounts </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that the funds may be held liable to pay the trustee for the liquidation of BMIS (BMIS Trustee).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A large number of alleged beneficiaries have filed claims against UBS entities (and non-UBS entities) for purported losses relating to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Madoff fraud. The majority of these cases have been filed in Luxembourg, where decisions that the claims in eight test cases were inadmissible </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">have been affirmed by the Luxembourg Court of Appeal, and the Luxembourg Supreme Court has dismissed a further appeal in one of the test </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cases. In the US, the BMIS Trustee filed claims against UBS entities, among others, in relation to the two Luxembourg funds and one of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">offshore funds. The total amount claimed against all defendants in these actions was not less than USD 2 billion. In 2014, the US Supreme Court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rejected the BMIS Trustee&#8217;s motion for leave to appeal decisions dismissing all claims except those for the recovery of approximately USD 125 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million of payments alleged to be fraudulent conveyances and preference payments. In 2016, the bankruptcy court dismissed these claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against the UBS entities. In February 2019, the Court of Appeals reversed the dismissal of the BMIS Trustee&#8217;s remaining claims. In August </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019, the defendants, including UBS, filed a petition to the US Supreme Court requesting that it review the Court of Appeals&#8217; decision. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">bankruptcy proceedings have been stayed pending a decision with respect to the defendants&#8217; petition.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">4.&#8195;Puerto Rico</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Declines since 2013 in the market prices of Puerto Rico municipal bonds and of closed-end funds (funds) that are sole managed and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">co-managed by UBS Trust Company of Puerto Rico and distributed by UBS Financial Services Incorporated of Puerto Rico (UBS PR) have led </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to multiple regulatory inquiries, as well as customer complaints and arbitrations with aggregate claimed damages of USD 3.4 billion, of which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims with aggregate claimed damages of USD 2.4 billion have been resolved through settlements, arbitration or withdrawal of the claim. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims have been filed by clients in Puerto Rico who own the funds or Puerto Rico municipal bonds and/or who used their UBS account assets </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as collateral for UBS non-purpose loans; customer complaint and arbitration allegations include fraud, misrepresentation and unsuitability of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">funds and of the loans.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A shareholder derivative action was filed in 2014 against various UBS entities and current and certain former directors of the funds, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleging hundreds of millions of US dollars in losses in the funds. In 2015, defendants&#8217; motion to dismiss was denied and a request for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">permission to appeal that ruling was denied by the Puerto Rico Supreme Court. In 2014, a federal class action complaint also was filed against </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-233</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_104"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">various UBS entities, certain members of UBS PR senior
management and the co-manager of certain of the funds, seeking damages for investor </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">losses in the funds during the period from May 2008 through May 2014. Following denial
of the plaintiffs&#8217; motion for class certification, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">case was dismissed in October 2018. In 2014 and 2015, UBS entered into settlements with the Office of the
Commissioner of Financial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Institutions for the Commonwealth of Puerto Rico, the US Securities and Exchange Commission (SEC) and the Financial Industry Regulatory </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authority in relation to their examinations of UBS&#8217;s operations.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2011, a purported derivative action was filed on behalf of the Employee Retirement System of the Commonwealth of Puerto Rico </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(System) against over 40 defendants, including UBS PR, which was named in connection with its underwriting and consulting services. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Plaintiffs alleged that defendants violated their purported fiduciary duties and contractual obligations in connection with the issuance and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">underwriting of USD 3 billion of bonds by the System in 2008 and sought damages of over USD 800 million. In 2016, the court granted the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">System&#8217;s request to join the action as a plaintiff, but ordered that plaintiffs must file an amended complaint. In 2017, the court denied </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants&#8217; motion to dismiss the amended complaint.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Beginning in 2015, and continuing through 2017, certain agencies and public corporations of the Commonwealth of Puerto Rico </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(Commonwealth) defaulted on certain interest payments on Puerto Rico bonds. In 2016, US federal legislation created an oversight board with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">power to oversee Puerto Rico&#8217;s finances and to restructure its debt. The oversight board has imposed a stay on the exercise of certain creditors&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rights. In 2017, the oversight board placed certain of the bonds into a bankruptcy-like proceeding under the supervision of a Federal District </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Judge. These events, further defaults or any further legislative action to create a legal means of restructuring Commonwealth obligations or to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">impose additional oversight on the Commonwealth&#8217;s finances, or any restructuring of the Commonwealth&#8217;s obligations, may increase the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">number of claims against UBS concerning Puerto Rico securities, as well as potential damages sought.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In May 2019, the oversight board filed complaints in Puerto Rico federal district court bringing claims against financial, legal and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accounting firms that had participated in Puerto Rico municipal bond offerings, including UBS, seeking a return of underwriting and swap fees </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">paid in connection with those offerings. UBS estimates that it received approximately USD 125 million in fees in the relevant offerings.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In August 2019 and February 2020, three US insurance companies that insured issues of Puerto Rico
municipal bonds sued UBS and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">seven other underwriters of Puerto Rico municipal bonds. The two actions seek recovery of an aggregate of USD 955 million in damages from
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the defendants. The plaintiffs in these cases claim that defendants failed to reasonably investigate financial statements in the offering materials </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for the insured Puerto Rico bonds issued between 2002 and 2007, which plaintiffs argue they relied upon in agreeing to insure the bonds </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">notwithstanding that they had no contractual relationship with the underwriters.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2019 reflected provisions with respect to matters described in this item 4 in amounts that UBS believes </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, the future </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may ultimately prove to be substantially greater (or may be less) than the provisions that we have recognized.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">5.&#8195;Foreign exchange, LIBOR and benchmark rates, and other trading practices</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Foreign exchange-related regulatory matters: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Beginning in 2013, numerous authorities commenced investigations concerning possible </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">manipulation of
foreign exchange markets and precious metals prices. In 2014 and 2015, UBS reached settlements with the UK Financial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Conduct Authority (FCA) and the US Commodity Futures
Trading Commission (CFTC) in connection with their foreign exchange </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations, FINMA issued an order concluding its formal proceedings relating to UBS&#8217;s foreign
exchange and precious metals businesses, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the Board of Governors of the Federal Reserve System (Federal Reserve Board) and the Connecticut Department of Banking issued
a Cease </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and Desist Order and assessed monetary penalties against UBS AG.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, the DOJ&#8217;s Criminal Division terminated the 2012 non-prosecution agreement with UBS AG related to UBS&#8217;s submissions of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark interest rates, and UBS AG pleaded guilty to one count of wire fraud, paid a fine and was subject to probation, which ended in early </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">January 2020.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In
2019 the European Commission announced two decisions with respect to foreign exchange trading. UBS was granted immunity by the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">European Commission in these matters and
therefore was not fined. UBS has ongoing obligations to cooperate with these authorities and to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">undertake certain remediation measures. UBS has also been granted
conditional immunity by the Antitrust Division of the DOJ and by </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-234</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_105">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">authorities
in other jurisdictions in connection with potential competition law violations relating to foreign exchange and precious metals </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">businesses. Investigations relating to
foreign exchange matters by certain authorities remain ongoing notwithstanding these resolutions.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Foreign exchange-related civil litigation: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Putative class actions have
been filed since 2013 in US federal courts and in other jurisdictions </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">against UBS and other banks on behalf of putative classes of persons who engaged in foreign currency
transactions with any of the defendant </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">banks. UBS has resolved US federal court class actions relating to foreign currency transactions with the defendant banks and
persons who </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">transacted in foreign exchange futures contracts and options on such futures under a settlement agreement that provides for UBS to pay an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">aggregate of USD 141 million and provide cooperation to the settlement classes. Certain class members have excluded themselves from that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement and have filed individual actions in US and English courts against UBS and other banks, alleging violations of US and European </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">competition laws and unjust enrichment.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, a putative class action was filed in federal court against UBS and numerous other banks on behalf of persons and businesses in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the US who directly purchased foreign currency from the defendants and alleged co-conspirators for their own end use. In March 2017, the court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">granted UBS&#8217;s (and the other banks&#8217;) motions to dismiss the complaint. The plaintiffs filed an amended complaint in August 2017. In March </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2018, the court denied the defendants&#8217; motions to dismiss the amended complaint.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2017, two putative class actions were filed in federal court in New York against UBS and numerous other banks on behalf of persons </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and entities who had indirectly purchased foreign exchange instruments from a defendant or co-conspirator in the US, and a consolidated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint was filed in June 2017. In March 2018, the court dismissed the consolidated complaint. In October 2018, the court granted plaintiffs&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion seeking leave to file an amended complaint. In January 2020, UBS and 11 other banks agreed in principle with the plaintiffs to settle the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">class action for a total of USD 10 million. The settlement is subject to final documentation and court approval.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">LIBOR and other benchmark-related regulatory matters: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Numerous government agencies, including the SEC, the CFTC, the DOJ, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FCA, the UK Serious Fraud Office,
the Monetary Authority of Singapore, the Hong Kong Monetary Authority, FINMA, various state attorneys </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">general in the US and competition authorities in various
jurisdictions, have conducted investigations regarding potential improper attempts by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS, among others, to manipulate LIBOR and other benchmark rates at certain times.
UBS reached settlements or otherwise concluded </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations relating to benchmark interest rates with the investigating authorities. UBS has ongoing obligations to
cooperate with the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">authorities with whom we have reached resolutions and to undertake certain remediation measures with respect to benchmark interest rate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">submissions. UBS has been granted conditional leniency or conditional immunity from authorities in certain jurisdictions, including the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Antitrust Division of the DOJ and the Swiss Competition Commission (WEKO), in connection with potential antitrust or competition law </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violations related to certain rates. However, UBS has not reached a final settlement with WEKO, as the Secretariat of WEKO has asserted that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS does not qualify for full immunity.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">LIBOR and other benchmark-related civil litigation: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">A number of
putative class actions and other actions are pending in the federal courts </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in New York against UBS and numerous other banks on behalf of parties who transacted in certain
interest rate benchmark-based derivatives. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Also pending in the US and in other jurisdictions are a number of other actions asserting losses related to various products
whose interest rates </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">were linked to LIBOR and other benchmarks, including adjustable rate mortgages, preferred and debt securities, bonds pledged as collateral, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">loans, depository accounts, investments and other interest-bearing instruments. The complaints allege manipulation, through various means, of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain benchmark interest rates, including USD LIBOR, Euroyen TIBOR, Yen LIBOR, EURIBOR, CHF LIBOR, GBP LIBOR, SGD SIBOR </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and SOR and Australian BBSW, and seek unspecified compensatory and other damages under varying legal theories.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">USD LIBOR class and individual actions in the US: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">In 2013 and 2015, the district court in the USD LIBOR actions dismissed, in whole </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or in part, certain
plaintiffs&#8217; antitrust claims, federal racketeering claims, CEA claims, and state common law claims. Although the Second </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Circuit vacated the district court&#8217;s
judgment dismissing antitrust claims, the district court again dismissed antitrust claims against UBS in 2016. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Certain plaintiffs have appealed that decision to the Second
Circuit. Separately, in 2018, the Second Circuit reversed in part the district court&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2015 decision dismissing certain individual plaintiffs&#8217; claims and
certain of these actions are now proceeding. UBS entered into an agreement in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2016 with representatives of a class of bondholders to settle their USD LIBOR class action.
The agreement has received preliminary court </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">approval and remains subject to final approval. In 2018, the district court denied plaintiffs&#8217; motions for class
certification in the USD class </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">actions for claims pending against UBS, and plaintiffs sought permission to appeal that ruling to the Second Circuit. In July 2018, the
Second </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Circuit denied the petition to appeal of the class of USD lenders and in November 2018 denied the petition of the USD exchange class. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">December 2019, UBS entered into an agreement with representatives of the class of USD lenders to settle their USD LIBOR class action. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreement has received preliminary court approval and remains subject to final approval. In January 2019, a putative class action was filed in the </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-235</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_106"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">District Court for the Southern District of New York
against UBS and numerous other banks on behalf of US residents who, since 1 February </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2014, directly transacted with a defendant bank in USD LIBOR instruments. The
complaint asserts antitrust claims. The defendants moved to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss the complaint in August 2019.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Other benchmark class actions in the US: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">In 2014, the court in one of the Euroyen TIBOR lawsuits dismissed certain of the plaintiffs&#8217; </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims,
including a federal antitrust claim, for lack of standing. In 2015, this court dismissed the plaintiffs&#8217; federal racketeering claims on the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">same basis and affirmed
its previous dismissal of the plaintiffs&#8217; antitrust claims against UBS. In 2017, this court also dismissed the other Yen </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR / Euroyen TIBOR action in its entirety
on standing grounds, as did the court in the CHF LIBOR action. Also in 2017, the court in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">EURIBOR lawsuit dismissed the case as to UBS and certain other foreign
defendants for lack of personal jurisdiction. Plaintiffs in the other Yen </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR, Euroyen TIBOR and the EURIBOR actions have appealed the dismissals. In October 2018, the
court in the SIBOR / SOR action </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissed all but one of plaintiffs&#8217; claims against UBS. Plaintiffs in the CHF LIBOR and SIBOR / SOR actions filed amended complaints
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">following the dismissals, and the courts granted renewed motions to dismiss in July 2019 (SIBOR / SOR) and in September 2019 (CHF </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR). Plaintiffs in both actions have appealed. In November 2018, the court in the BBSW lawsuit dismissed the case as to UBS and certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other foreign defendants for lack of personal jurisdiction. Following that dismissal, plaintiffs in the BBSW action filed an amended complaint in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">April 2019, which UBS and other defendants named in the amended complaint have moved to dismiss. In February 2020, the court in the BBSW </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action granted in part and denied in part defendants&#8217; motions to dismiss the amended complaint. The court dismissed the GBP LIBOR action in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">August 2019, and plaintiffs appealed the dismissal in September 2019.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Government bonds: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Putative class actions have been filed since 2015 in
US federal courts against UBS and other banks on behalf of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">persons who participated in markets for US Treasury securities since 2007. A consolidated complaint was filed in
2017 in the US District Court </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">for the Southern District of New York alleging that the banks colluded with respect to, and manipulated prices of, US Treasury securities
sold at </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">auction and in the secondary market and asserting claims under the antitrust laws and for unjust enrichment. Defendants&#8217; motions to dismiss the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consolidated complaint are pending. Similar class actions have been filed concerning European government bonds and other government bonds.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS and reportedly other banks are responding to investigations and requests for information from
various authorities regarding </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">government bond trading practices. As a result of its review to date, UBS has taken appropriate action. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Government sponsored entities (GSE) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">bonds: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Starting in February 2019, class action complaints were filed in the US District Court for the Southern District of New York against UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and other banks on behalf of plaintiffs who traded GSE bonds. A consolidated complaint was filed alleging collusion in GSE bond trading </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">between 1 January 2009 and 1 January 2016. In December 2019, UBS and eleven other defendants agreed to settle the class action for a total of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">USD 250 million. The settlement is subject to court approval.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">With respect to additional matters and jurisdictions not encompassed by the settlements and orders referred to above, our balance sheet at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">31 December 2019 reflected a provision in an amount that UBS believes to be appropriate under the applicable accounting standard. As in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">case of other matters for which we have established provisions, the future outflow of resources in respect of such matters cannot be determined </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with certainty based on currently available information and accordingly may ultimately prove to be substantially greater (or may be less) than </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the provision that we have recognized.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">6.&#8195;Swiss retrocessions</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Federal Supreme Court of Switzerland ruled in 2012, in a test case against UBS, that distribution fees paid to a firm for distributing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">third-party and intra-group investment funds and structured products must be disclosed and surrendered to clients who have entered into a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">discretionary mandate agreement with the firm, absent a valid waiver. FINMA has issued a supervisory note to all Swiss banks in response to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Supreme Court decision. UBS has met the FINMA requirements and has notified all potentially affected clients. The Supreme Court decision </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">has resulted, and may continue to result, in a number of client requests for UBS to disclose and potentially surrender retrocessions. Client </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">requests are assessed on a case-by-case basis. Considerations taken into account when assessing these cases include, among other things, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">existence of a discretionary mandate and whether or not the client documentation contained a valid waiver with respect to distribution fees. Our </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">balance sheet at 31 December 2019 reflected a provision with respect to matters described in this item 6 in an amount that UBS believes to be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">appropriate under the applicable accounting standard. The ultimate exposure will depend on client requests and the resolution thereof, factors </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that are difficult to predict and assess. Hence, as in the case of other matters for which we have established provisions, the future outflow of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly may </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-236</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_107"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">7.&#8195;Securities transaction pricing
and disclosure</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS identified and reported to the relevant authorities instances in
which some Global Wealth Management clients booked in Hong Kong </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and Singapore may have been charged inappropriate spreads on debt securities transactions between 2008 and
2015. In November 2019, UBS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">AG entered into a settlement with the Hong Kong Securities and Futures Commission (SFC) under which it was reprimanded and fined HKD </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">400 million (USD 51 million) and a settlement with the Monetary Authority of Singapore (MAS) under which it was fined SGD 11 million </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(USD 8.3 million). In addition, UBS has commenced reimbursing affected customers an aggregate amount equivalent to USD 47 million, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including interest. Our balance sheet at 31 December 2019 reflected a provision with respect to the matter described in this item 7 in an amount </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that UBS believes to be appropriate under the applicable accounting standard.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">2018 Annual Report</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">1.&#8195;Inquiries regarding cross-border wealth management businesses</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Tax and regulatory authorities in a number of countries have made inquiries, served requests for information or examined employees </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">located in their respective jurisdictions relating to the cross-border wealth management services provided by UBS and other financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">institutions. It is possible that the implementation of automatic tax information exchange and other measures relating to cross-border provision </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of financial services could give rise to further inquiries in the future. UBS has received disclosure orders from the Swiss Federal Tax </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Administration (FTA) to transfer information based on requests for international administrative assistance in tax matters. The requests concern a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">number of UBS account numbers pertaining to current and former clients and are based on data from 2006 and 2008. UBS has taken steps to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inform affected clients about the administrative assistance proceedings and their procedural rights, including the right to appeal. The requests are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">based on data received from the German authorities, who seized certain data related to UBS clients booked in Switzerland during their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations and have apparently shared this data with other European countries. UBS expects additional countries to file similar requests.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Swiss Federal Administrative Court ruled in 2016 that, in the administrative assistance
proceedings related to a French bulk request, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS has the right to appeal all final FTA client data disclosure orders. On 30 July 2018, the Swiss Federal Administrative
Court granted UBS&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">appeal by holding the French administrative assistance request inadmissible. The FTA filed a final appeal with the Swiss Federal Supreme </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Court. On 26 July 2019, the Supreme Court reversed the decision of the Federal Administrative Court. In December 2019, the court released its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">written decision. The decision requires the FTA to obtain confirmation from the French authorities that transmitted data will be used only for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purposes stated in their request before transmitting any data. The stated purpose of the original request was to obtain information relating to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">taxes owed by account holders. Accordingly, any information transferred to the French authorities must not be passed to criminal authorities or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">used in connection with the ongoing case against UBS discussed in this item.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Since 2013, UBS (France) S.A., UBS AG and certain former employees have been under investigation in France for alleged complicity in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unlawful solicitation of clients on French territory, regarding the laundering of proceeds of tax fraud, and banking and financial solicitation by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unauthorized persons. In connection with this investigation, the investigating judges ordered UBS AG to provide bail (&#8220;caution&#8221;) of EUR 1.1 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">billion and UBS (France) S.A. to post bail of EUR 40 million, which was reduced on appeal to EUR 10 million.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A trial in the court of first instance took place from 8 October 2018 until 15 November 2018. On
20 February 2019, the court announced a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">verdict finding UBS AG guilty of unlawful solicitation of clients on French territory and aggravated laundering of the proceeds of
tax fraud, and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS (France) S.A. guilty of aiding and abetting unlawful solicitation and laundering the proceeds of tax fraud. The court imposed fines </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">aggregating EUR 3.7 billion on UBS AG and UBS (France) S.A. and awarded EUR 800 million of civil damages to the French state. UBS has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">appealed the decision. Under French law, the judgment is suspended while the appeal is pending. The trial in the Court of Appeal is scheduled </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for June 2020. The Court of Appeal will retry the case de novo as to both the law and the facts, and the fines and penalties can be greater than or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">less than those imposed by the court of first instance. A subsequent appeal to the Cour de Cassation, France&#8217;s highest court, is possible with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">respect to questions of law. UBS believes that based on both the law and the facts the judgment of the court of first instance should be reversed. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS believes it followed its obligations under Swiss and French law as well as the European Savings Tax Directive. Even assuming liability, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which it contests,</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS believes the penalties and damage amounts awarded greatly exceed the amounts that could be
supported by the law and the facts. In </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">particular, UBS believes the court incorrectly based the penalty on the total regularized assets rather than on any unpaid taxes on
those assets for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">which a fraud has been characterized and further incorrectly awarded damages based on costs that were not proven by the civil party. </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-237</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_108"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Notwithstanding that UBS believes it should be
acquitted, our balance sheet at 31 December 2019 reflected provisions with respect to this matter </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in an amount of EUR 450 million (USD 505 million at 31 December 2019).
The wide range of possible outcomes in this case contributes to a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">high degree of estimation uncertainty. The provision reflected on our balance sheet at 31 December 2019
reflects our best estimate of possible </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial implications, although it is reasonably possible that actual penalties and civil damages could exceed the provision
amount.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2016, UBS was notified by the Belgian investigating judge that it is
under formal investigation (&#8220;inculp&#233;&#8221;) regarding the laundering of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceeds of tax fraud, of banking and financial solicitation by unauthorized persons,
and of serious tax fraud. In 2018, tax authorities and a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">prosecutor&#8217;s office in Italy asserted that UBS is potentially liable for taxes and penalties as a result of
its activities in Italy from 2012 to 2017. In </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">June 2019, UBS entered into a settlement agreement with the Italian tax authorities under which it paid EUR 101 million to
resolve the claims </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">asserted by the authority related to UBS AG&#8217;s potential permanent establishment in Italy. In October 2019, the Judge of Preliminary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Investigations of the Milan Court approved an agreement with the Milan prosecutor under Article 63 of Italian Administrative Law 231 under </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which UBS AG, UBS Switzerland AG and UBS Monaco have paid an aggregate of EUR 10.3 million to resolve claims premised on the alleged </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inadequacy of historical internal controls. No admission of wrongdoing was required in connection with this resolution.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2019 reflected provisions with respect to matters described in
this item 1 in an amount that UBS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established
provisions, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the future outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">2.&#8195;Claims related to sales of residential mortgage-backed securities and mortgages</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">From 2002 through 2007, prior to the crisis in the US residential loan market, UBS was a substantial issuer and underwriter of US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">residential mortgage-backed securities (RMBS) and was a purchaser and seller of US residential mortgages. A subsidiary of UBS, UBS Real </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Estate Securities Inc. (UBS RESI), acquired pools of residential mortgage loans from originators and (through an affiliate) deposited them into </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">securitization trusts. In this manner, from 2004 through 2007, UBS RESI sponsored approximately USD 80 billion in RMBS, based on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">original principal balances of the securities issued.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS RESI also sold pools of loans acquired from originators to third-party purchasers. These whole loan sales during the period 2004 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">through 2007 totaled approximately USD 19 billion in original principal balance.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS was not a significant originator of US residential loans. A branch of UBS originated approximately USD 1.5 billion in US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">residential mortgage loans during the period in which it was active from 2006 to 2008 and securitized less than half of these loans.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Lawsuits related to contractual representations and warranties concerning
mortgages and RMBS: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">When UBS acted as an RMBS sponsor </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or mortgage seller, it generally made
certain representations relating to the characteristics of the underlying loans. In the event of a material </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">breach of these representations, UBS was in certain
circumstances contractually obligated to repurchase the loans to which the representations </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">related or to indemnify certain parties against losses. In 2012, certain RMBS
trusts filed an action in the US District Court for the Southern </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">District of New York seeking to enforce UBS RESI&#8217;s obligation to repurchase loans in the collateral
pools for three RMBS securitizations </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">issued and underwritten by UBS with an original principal balance of approximately USD 2 billion. In July 2018, UBS and the trustee
entered </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">into an agreement under which UBS will pay USD 850 million to resolve this matter. A significant portion of this amount will be borne by other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">parties that indemnified UBS. In January 2020, the settlement was approved by the court. Proceedings to determine how the settlement funds </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">will be distributed to RMBS holders are ongoing. After giving effect to this settlement, UBS considers claims relating to substantially all loan </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">repurchase demands to be resolved and believes that new demands to repurchase US residential mortgage loans are time-barred under a decision </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rendered by the New York Court of Appeals.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Mortgage-related regulatory matters: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Since 2014, the US
Attorney&#8217;s Office for the Eastern District of New York has sought information </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">from UBS pursuant to the Financial Institutions Reform, Recovery and Enforcement Act of
1989 (FIRREA), related to UBS&#8217;s RMBS business </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">from 2005 through 2007. On 8 November 2018, the DOJ filed a civil complaint in the District Court for the Eastern
District of New York. The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint seeks unspecified civil monetary penalties under FIRREA related to UBS&#8217;s issuance, underwriting and sale of 40 RMBS transactions
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in 2006 and 2007. UBS moved to dismiss the civil complaint on 6 February 2019. On 10 December 2019, the district court denied UBS&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion to dismiss.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-238</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_109">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2019 reflected a provision with respect to matters described in this item 2 in an amount that UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the future outflow of resources in respect of this matter cannot be determined with certainty based on currently available information and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">3.&#8195;Madoff</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In relation to the Bernard L. Madoff Investment Securities LLC (BMIS) investment fraud, UBS AG, UBS (Luxembourg) S.A. (now UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Europe SE, Luxembourg branch) and certain other UBS subsidiaries have been subject to inquiries by a number of regulators, including the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Swiss Financial Market Supervisory Authority (FINMA) and the Luxembourg Commission de Surveillance du Secteur Financier. Those </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inquiries concerned two third-party funds established under Luxembourg law, substantially all assets of which were with BMIS, as well as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain funds established in offshore jurisdictions with either direct or indirect exposure to BMIS. These funds faced severe losses, and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Luxembourg funds are in liquidation. The documentation establishing both funds identifies UBS entities in various roles, including custodian, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">administrator, manager, distributor and promoter, and indicates that UBS employees serve as board members.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2009 and 2010, the liquidators of the two Luxembourg funds filed claims against UBS entities, non-UBS entities and certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">individuals, including current and former UBS employees, seeking amounts totaling approximately EUR 2.1 billion, which includes amounts </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that the funds may be held liable to pay the trustee for the liquidation of BMIS (BMIS Trustee).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A large number of alleged beneficiaries have filed claims against UBS entities (and non-UBS entities) for purported losses relating to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Madoff fraud. The majority of these cases have been filed in Luxembourg, where decisions that the claims in eight test cases were inadmissible </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">have been affirmed by the Luxembourg Court of Appeal, and the Luxembourg Supreme Court has dismissed a further appeal in one of the test </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cases. In the US, the BMIS Trustee filed claims against UBS entities, among others, in relation to the two Luxembourg funds and one of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">offshore funds. The total amount claimed against all defendants in these actions was not less than USD 2 billion. In 2014, the US Supreme Court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rejected the BMIS Trustee&#8217;s motion for leave to appeal decisions dismissing all claims except those for the recovery of approximately USD 125 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million of payments alleged to be fraudulent conveyances and preference payments. In 2016, the bankruptcy court dismissed these claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against the UBS entities. In February 2019, the Court of Appeals reversed the dismissal of the BMIS Trustee&#8217;s remaining claims. In August </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019, the defendants, including UBS, filed a petition to the US Supreme Court requesting that it review the Court of Appeals&#8217; decision. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">bankruptcy proceedings have been stayed pending a decision with respect to the defendants&#8217; petition.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">4.&#8195;Puerto Rico</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Declines since 2013 in the market prices of Puerto Rico municipal bonds and of closed-end funds
(funds) that are sole-managed and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">co-managed by UBS Trust Company of Puerto Rico and distributed by UBS Financial Services Incorporated of Puerto Rico (UBS PR) have led
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to multiple regulatory inquiries, as well as customer complaints and arbitrations with aggregate claimed damages of USD 3.4 billion, of which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims with aggregate claimed damages of USD 2.4 billion have been resolved through settlements, arbitration or withdrawal of the claim. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims have been filed by clients in Puerto Rico who own the funds or Puerto Rico municipal bonds and/or who used their UBS account assets </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as collateral for UBS non-purpose loans; customer complaint and arbitration allegations include fraud, misrepresentation and unsuitability of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">funds and of the loans.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A shareholder derivative action was filed in 2014 against various UBS entities and current and certain former directors of the funds, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleging hundreds of millions of US dollars in losses in the funds. In 2015, defendants&#8217; motion to dismiss was denied and a request for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">permission to appeal that ruling was denied by the Puerto Rico Supreme Court. In 2014, a federal class action complaint also was filed against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">various UBS entities, certain members of UBS PR senior management and the co-manager of certain of the funds, seeking damages for investor </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">losses in the funds during the period from May 2008 through May 2014. Following denial of the plaintiffs&#8217; motion for class certification, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">case was dismissed in October 2018.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2014 and 2015, UBS entered into settlements with the Office of the Commissioner of Financial Institutions for the Commonwealth of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Puerto Rico, the US Securities and Exchange Commission (SEC) and the Financial Industry Regulatory Authority in relation to their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">examinations of UBS&#8217;s operations. In 2011, a purported derivative action was filed on behalf of the Employee Retirement System of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commonwealth of Puerto Rico (System) against over 40 defendants, including UBS PR, which was named in connection with its underwriting </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and consulting services. Plaintiffs alleged that defendants violated their purported fiduciary duties and contractual obligations in connection with </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-239</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_110"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the issuance and underwriting of USD 3 billion of bonds
by the System in 2008 and sought damages of over USD 800 million. In 2016, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">court granted the System&#8217;s request to join the action as a plaintiff, but ordered that
plaintiffs must file an amended complaint. In 2017, the court </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">denied defendants&#8217; motion to dismiss the amended complaint.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Beginning in 2015, and continuing through 2017, certain agencies and public corporations of the
Commonwealth of Puerto Rico </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(Commonwealth) defaulted on certain interest payments on Puerto Rico bonds. In 2016, US federal legislation created an oversight board with
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">power to oversee Puerto Rico&#8217;s finances and to restructure its debt. The oversight board has imposed a stay on the exercise of certain creditors&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rights. In 2017, the oversight board placed certain of the bonds into a bankruptcy-like proceeding under the supervision of a Federal District </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Judge. These events, further defaults or any further legislative action to create a legal means of restructuring Commonwealth obligations or to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">impose additional oversight on the Commonwealth&#8217;s finances, or any restructuring of the Commonwealth&#8217;s obligations, may increase the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">number of claims against UBS concerning Puerto Rico securities, as well as potential damages sought.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In May 2019, the oversight board filed complaints in Puerto Rico federal district court bringing claims against financial, legal and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accounting firms that had participated in Puerto Rico municipal bond offerings, including UBS, seeking a return of underwriting and swap fees </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">paid in connection with those offerings. UBS estimates that it received approximately USD 125 million in fees in the relevant offerings.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In August 2019 and February 2020, three US insurance companies that insured issues of Puerto Rico
municipal bonds sued UBS and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">seven other underwriters of Puerto Rico municipal bonds. The two actions seek recovery of an aggregate of USD 955 million in damages from
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the defendants. The plaintiffs in these cases claim that defendants failed to reasonably investigate financial statements in the offering materials </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for the insured Puerto Rico bonds issued between 2002 and 2007, which plaintiffs argue they relied upon in agreeing to insure the bonds </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">notwithstanding that they had no contractual relationship with the underwriters.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">5.&#8195;Foreign exchange, LIBOR and benchmark rates, and other trading practices</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Foreign exchange-related regulatory matters: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Beginning in 2013,
numerous authorities commenced investigations concerning possible </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">manipulation of foreign exchange markets and precious metals prices. In 2014 and 2015, UBS reached
settlements with the UK Financial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Conduct Authority (FCA) and the US Commodity Futures Trading Commission (CFTC) in connection with their foreign exchange </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations, FINMA issued an order concluding its formal proceedings relating to UBS&#8217;s foreign exchange and precious metals businesses, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the Board of Governors of the Federal Reserve System (Federal Reserve Board) and the Connecticut Department of Banking issued a Cease </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and Desist Order and assessed monetary penalties against UBS AG. In 2015, the DOJ&#8217;s Criminal Division terminated the 2012 non-prosecution </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreement with UBS AG related to UBS&#8217;s submissions of benchmark interest rates, and UBS AG pleaded guilty to one count of wire fraud, paid </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a fine and was subject to probation, which ended in early January 2020. In 2019 the European Commission announced two decisions with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">respect to foreign exchange trading. UBS was granted immunity by the European Commission in these matters and therefore was not fined. UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">has ongoing obligations to cooperate with these authorities and to undertake certain remediation measures. UBS has also been granted </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conditional immunity by the Antitrust Division of the DOJ and by authorities in other jurisdictions in connection with potential competition law </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violations relating to foreign exchange and precious metals businesses. Investigations relating to foreign exchange matters by certain authorities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">remain ongoing notwithstanding these resolutions.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Foreign exchange-related civil litigation: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Putative class actions have
been filed since 2013 in US federal courts and in other jurisdictions </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">against UBS and other banks on behalf of putative classes of persons who engaged in foreign currency
transactions with any of the defendant </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">banks. UBS has resolved US federal court class actions relating to foreign currency transactions with the defendant banks and
persons who </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">transacted in foreign exchange futures contracts and options on such futures under a settlement agreement that provides for UBS to pay an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">aggregate of USD 141 million and provide cooperation to the settlement classes. Certain class members have excluded themselves from that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement and have filed individual actions in US and English courts against UBS and other banks, alleging violations of US and European </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">competition laws and unjust enrichment.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, a putative class action was filed in federal court against UBS and numerous other banks on behalf of persons and businesses in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the US who directly purchased foreign currency from the defendants and alleged co-conspirators for their own end use. In March 2017, the court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">granted UBS&#8217;s (and the other banks&#8217;) motions to dismiss the complaint. The plaintiffs filed an amended complaint in August 2017. In March </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2018, the court denied the defendants&#8217; motions to dismiss the amended complaint.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-240</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_111"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2017, two putative class actions were filed in federal court in New York against UBS and numerous other banks
on behalf of persons </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and entities who had indirectly purchased foreign exchange instruments from a defendant or co-conspirator in the US, and a consolidated </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint was filed in June 2017. In March 2018, the court dismissed the consolidated complaint. In October 2018, the court granted plaintiffs&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion seeking leave to file an amended complaint. In January 2020, UBS and 11 other banks agreed in principle with the plaintiffs to settle the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">class action for a total of USD 10 million. The settlement is subject to final documentation and court approval.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">LIBOR and other benchmark-related regulatory matters: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Numerous government agencies, including the SEC, the CFTC, the DOJ, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FCA, the UK Serious Fraud Office,
the Monetary Authority of Singapore, the Hong Kong Monetary Authority, FINMA, various state attorneys </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">general in the US and competition authorities in various
jurisdictions, have conducted investigations regarding potential improper attempts by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS, among others, to manipulate LIBOR and other benchmark rates at certain times.
UBS reached settlements or otherwise concluded </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations relating to benchmark interest rates with the investigating authorities. UBS has ongoing obligations to
cooperate with the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">authorities with whom we have reached resolutions and to undertake certain remediation measures with respect to benchmark interest rate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">submissions. UBS has been granted conditional leniency or conditional immunity from authorities in certain jurisdictions, including the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Antitrust Division of the DOJ and the Swiss Competition Commission (WEKO), in connection with potential antitrust or competition law </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violations related to certain rates. However, UBS has not reached a final settlement with WEKO, as the Secretariat of WEKO has asserted that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS does not qualify for full immunity.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">LIBOR and other benchmark-related civil litigation: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">A number of
putative class actions and other actions are pending in the federal courts </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in New York against UBS and numerous other banks on behalf of parties who transacted in certain
interest rate benchmark-based derivatives. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Also pending in the US and in other jurisdictions are a number of other actions asserting losses related to various products
whose interest rates </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">were linked to LIBOR and other benchmarks, including adjustable rate mortgages, preferred and debt securities, bonds pledged as collateral, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">loans, depository accounts, investments and other interest-bearing instruments. The complaints allege manipulation, through various means, of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain benchmark interest rates, including USD LIBOR, Euroyen TIBOR, Yen LIBOR, EURIBOR, CHF LIBOR, GBP LIBOR, SGD SIBOR </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and SOR and Australian BBSW, and seek unspecified compensatory and other damages under varying legal theories.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">USD LIBOR class and individual actions in the US: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">In 2013 and 2015, the district court in the USD LIBOR actions dismissed, in whole </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or in part, certain
plaintiffs&#8217; antitrust claims, federal racketeering claims, CEA claims, and state common law claims. Although the Second </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Circuit vacated the district court&#8217;s
judgment dismissing antitrust claims, the district court again dismissed antitrust claims against UBS in 2016. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Certain plaintiffs have appealed that decision to the Second
Circuit. Separately, in 2018, the Second Circuit reversed in part the district court&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2015 decision dismissing certain individual plaintiffs&#8217; claims and
certain of these actions are now proceeding. UBS entered into an agreement in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2016 with representatives of a class of bondholders to settle their USD LIBOR class action.
The agreement has received preliminary court </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">approval and remains subject to final approval. In 2018, the district court denied plaintiffs&#8217; motions for class
certification in the USD class </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">actions for claims pending against UBS, and plaintiffs sought permission to appeal that ruling to the Second Circuit. In July 2018, the
Second </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Circuit denied the petition to appeal of the class of USD lenders and in November 2018 denied the petition of the USD exchange class. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">December 2019, UBS entered into an agreement with representatives of the class of USD lenders to settle their USD LIBOR class action. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreement has received preliminary court approval and remains subject to final approval. In January 2019, a putative class action was filed in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">District Court for the Southern District of New York against UBS and numerous other banks on behalf of US residents who, since 1 February </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2014, directly transacted with a defendant bank in USD LIBOR instruments. The complaint asserts antitrust claims. The defendants moved to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss the complaint in August 2019.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Other benchmark class actions in the US: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">In 2014, the court in one of
the Euroyen TIBOR lawsuits dismissed certain of the plaintiffs&#8217; </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims, including a federal antitrust claim, for lack of standing. In 2015, this court dismissed the
plaintiffs&#8217; federal racketeering claims on the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">same basis and affirmed its previous dismissal of the plaintiffs&#8217; antitrust claims against UBS. In 2017, this
court also dismissed the other Yen </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR / Euroyen TIBOR action in its entirety on standing grounds, as did the court in the CHF LIBOR action. Also in 2017, the court in
the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">EURIBOR lawsuit dismissed the case as to UBS and certain other foreign defendants for lack of personal jurisdiction. Plaintiffs in the other Yen </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR, Euroyen TIBOR and the EURIBOR actions have appealed the dismissals. In October 2018, the court in the SIBOR / SOR action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissed all but one of plaintiffs&#8217; claims against UBS. Plaintiffs in the CHF LIBOR and SIBOR / SOR actions filed amended complaints </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">following the dismissals, and the courts granted renewed motions to dismiss in July 2019 (SIBOR / SOR) and in September 2019 (CHF </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR). Plaintiffs in both actions have appealed. In November 2018, the court in the BBSW lawsuit dismissed the case as to UBS and certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other foreign defendants for lack of personal jurisdiction. Following that dismissal, plaintiffs in the BBSW action filed an amended complaint in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">April 2019, which UBS and other defendants named in the amended complaint have moved to dismiss. In February 2020, the court in the BBSW </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-241</font></div> </div> </div> </div>
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<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">action granted in part and denied in part
defendants&#8217; motions to dismiss the amended complaint. The court dismissed the GBP LIBOR action in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">August 2019, and plaintiffs appealed the dismissal in September
2019.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Government bonds: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Putative class actions have been filed since 2015 in US federal courts against UBS and other banks on behalf of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">persons who participated in markets for US Treasury securities since 2007. A consolidated complaint was filed in 2017 in the US District Court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for the Southern District of New York alleging that the banks colluded with respect to, and manipulated prices of, US Treasury securities sold at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">auction and in the secondary market and asserting claims under the antitrust laws and for unjust enrichment. Defendants&#8217; motions to dismiss the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consolidated complaint are pending. Similar class actions have been filed concerning European government bonds and other government bonds.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS and reportedly other banks are responding to investigations and requests for information from
various authorities regarding </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">government bond trading practices. As a result of its review to date, UBS has taken appropriate action.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Government sponsored entities (GSE) bonds: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Starting in February 2019, class action complaints were filed in the US District Court for </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Southern
District of New York against UBS and other banks on behalf of plaintiffs who traded GSE bonds. A consolidated complaint was </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed alleging collusion in GSE bond trading
between 1 January 2009 and 1 January 2016. In December 2019, UBS and eleven other defendants </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreed to settle the class action for a total of USD 250 million. The
settlement is subject to court approval.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">With respect to additional matters and
jurisdictions not encompassed by the settlements and orders referred to above, our balance sheet at </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">31 December 2019 reflected a provision in an amount that UBS believes
to be appropriate under the applicable accounting standard. As in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">case of other matters for which we have established provisions, the future outflow of resources in
respect of such matters cannot be determined </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">with certainty based on currently available information and accordingly may ultimately prove to be substantially greater (or
may be less) than </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the provision that we have recognized.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">6.&#8195;Swiss retrocessions</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Federal Supreme Court of Switzerland ruled in 2012, in a test case against UBS, that distribution fees paid to a firm for distributing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">third-party and intra-group investment funds and structured products must be disclosed and surrendered to clients who have entered into a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">discretionary mandate agreement with the firm, absent a valid waiver.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">FINMA has issued a supervisory note to all Swiss banks in response to the Supreme Court decision. UBS has met the FINMA </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">requirements and has notified all potentially affected clients.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Supreme Court decision has resulted, and may continue to result, in a number of client requests for UBS to disclose and potentially </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">surrender retrocessions. Client requests are assessed on a case-by-case basis. Considerations taken into account when assessing these cases </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">include, among other things, the existence of a discretionary mandate and whether or not the client documentation contained a valid waiver with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">respect to distribution fees.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2019 reflected a provision with respect to matters described in this item 6 in an amount that UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">believes to be appropriate under the applicable accounting standard. The ultimate exposure will depend on client requests and the resolution </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">thereof, factors that are difficult to predict and assess. Hence, as in the case of other matters for which we have established provisions, the future </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">7.&#8195;Securities transaction pricing and disclosure</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS identified and reported to the relevant authorities instances in which some Global Wealth
Management clients booked in Hong Kong </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and Singapore may have been charged inappropriate spreads on debt securities transactions between 2008 and 2015. In November 2019,
UBS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">AG entered into a settlement with the Hong Kong Securities and Futures Commission (SFC) under which it was reprimanded and fined HKD </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">400 million (USD 51 million) and a settlement with the Monetary Authority of Singapore (MAS) under which it was fined SGD 11 million </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(USD 8.3 million). In addition, UBS has commenced reimbursing affected customers an aggregate amount equivalent to USD 47 million, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including interest.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-242</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_113">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2019 reflected a provision with respect to the matter described in this item 7 in an amount that UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">believes to be appropriate under the applicable accounting standard.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">2017 Annual Report</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">1.&#8195;Inquiries regarding cross-border wealth management businesses</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Tax and regulatory authorities in a number of countries have made inquiries, served requests for information or examined employees </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">located in their respective jurisdictions relating to the cross-border wealth management services provided by UBS and other financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">institutions. It is possible that the implementation of automatic tax information exchange and other measures relating to cross-border provision </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of financial services could give rise to further inquiries in the future. UBS has received disclosure orders from the Swiss Federal Tax </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Administration (FTA) to transfer information based on requests for international administrative assistance in tax matters. The requests concern a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">number of UBS account numbers pertaining to current and former clients and are based on data from 2006 and 2008. UBS has taken steps to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inform affected clients about the administrative assistance proceedings and their procedural rights, including the right to appeal. The requests are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">based on data received from the German authorities, who seized certain data related to UBS clients booked in Switzerland during their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations and have apparently shared this data with other European countries. UBS expects additional countries to file similar requests. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Swiss Federal Administrative Court ruled in 2016 that in the administrative assistance proceedings related to a French bulk request, UBS has the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">right to appeal all final FTA client data disclosure orders. Since 2013, UBS (France) S.A. and UBS AG and certain former employees have been </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">under investigation in France for alleged complicity in having illicitly solicited clients on French territory and regarding the laundering of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceeds of tax fraud and of banking and financial solicitation by unauthorized persons. In connection with this investigation, the investigating </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">judges ordered UBS AG to provide bail (&#8220;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">caution</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;) of EUR 1.1 billion and UBS (France) S.A. to post bail of EUR 40 million, which was </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">reduced on
appeal to EUR 10 million.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In February 2016, the investigating judges notified UBS AG
and UBS (France) S.A. that they have closed their investigation. In July </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2016, UBS AG and UBS (France) S.A. received the National Financial Prosecutor&#8217;s
recommendation (&#8220;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">r&#233;quisitoire</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;). In March 2017, the
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigating judges issued the trial order (&#8220;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">ordonnance de
renvoi</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;) that charges UBS AG and UBS (France) S.A., as well as various former
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">employees, with illicit solicitation of clients on French territory and with participation in the laundering of the proceeds of tax fraud, and which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">transfers the case to court. The trial schedule has not yet been announced. In October 2017, the Investigation Chamber of the Court of Appeals </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">decided that UBS (France) S.A. shall not be constituted as a civil party in the guilty plea proceedings against the former UBS (France) S.A. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Head of Front Office. UBS (France) S.A. has appealed this decision to the French Supreme Court (&#8220;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Cour de cassation</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2016, UBS was notified by the Belgian investigating judge that it is under formal
investigation (&#8220;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">inculp&#233;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;) regarding the laundering of
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceeds of tax fraud and of banking, financial solicitation by unauthorized persons and serious tax fraud. In 2015, UBS received inquiries from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the US Attorney&#8217;s Office for the Eastern District of New York and from the US Securities and Exchange Commission (SEC), which are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigating potential sales to US persons of bearer bonds and other unregistered securities in possible violation of the Tax Equity and Fiscal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Responsibility Act of 1982 (TEFRA) and the registration requirements of the US securities laws. UBS is cooperating with the authorities in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">these investigations. In 2018, UBS was informed by the US Attorney&#8217;s Office and the SEC that they have closed their investigations and that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">they will not take any action. UBS has, and reportedly numerous other financial institutions have, received inquiries from authorities concerning </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accounts relating to the F&#233;d&#233;ration Internationale de Football Association (FIFA) and other constituent soccer associations and related persons </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and entities. UBS is cooperating with authorities in these inquiries.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2017 reflected provisions with respect to matters described in this item 1 in an amount that UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the future outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">2.&#8195;Claims related to sales of residential mortgage-backed securities and
mortgages</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">From 2002 through 2007, prior to the crisis in the US residential loan
market, UBS was a substantial issuer and underwriter of US </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">residential mortgage-backed securities (RMBS) and was a purchaser and seller of US residential mortgages. A
subsidiary of UBS, UBS Real </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Estate Securities Inc. (UBS RESI), acquired pools of residential mortgage loans from originators and (through an affiliate) deposited them into
</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-243</font></div>
</div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_114"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">securitization trusts. In this manner, from 2004 through
2007, UBS RESI sponsored approximately USD 80 billion in RMBS, based on the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">original principal balances of the securities issued.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS RESI also sold pools of loans acquired from originators to third-party purchasers. These
whole loan sales during the period 2004 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">through 2007 totaled approximately USD 19 billion in original principal balance.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS was not a significant originator of US residential loans. A branch of UBS originated
approximately USD 1.5 billion in US </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">residential mortgage loans during the period in which it was active from 2006 to 2008, and securitized less than half of these
loans.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Lawsuits related to contractual representations and
warranties concerning mortgages and RMBS: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">When UBS acted as an RMBS sponsor </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or mortgage
seller, it generally made certain representations relating to the characteristics of the underlying loans. In the event of a material </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">breach of these representations, UBS
was in certain circumstances contractually obligated to repurchase the loans to which the representations </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">related or to indemnify certain parties against losses. In 2012,
certain RMBS trusts filed an action (Trustee Suit) in the US</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">District Court for the
Southern District of New York (SDNY) seeking to enforce UBS RESI&#8217;s obligation to repurchase loans in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">collateral pools for three RMBS securitizations with an
original principal balance of approximately USD 2 billion.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Approximately 9,000 loans
were at issue in a bench trial in the SDNY in 2016, following which the court issued an order ruling on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">numerous legal and factual issues and applying those rulings to 20
exemplar loans. The court further ordered that a lead master be appointed to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">apply the court&#8217;s rulings to the loans that remain at issue following the trial. In
October 2017, UBS and certain holders of the RMBS in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trustee Suit entered into an agreement under which UBS has agreed to pay an aggregate of USD 543 million into the
relevant RMBS trusts, plus </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain attorneys&#8217; fees. A portion of these settlement costs will be borne by other parties that indemnified UBS. The agreement is subject
to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">trustee for the RMBS trusts becoming a party thereto by 9 March 2018. The trustee for the RMBS trusts has evaluated the proposed settlement </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">under the agreement between UBS and the RMBS holders and UBS has been in discussions with the trustee about the terms on which it would </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">become a party to a settlement. Giving effect to a settlement of the Trustee Suit, UBS considers claims relating to substantially all loan </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">repurchase demands to be resolved, and believes that new demands to repurchase US residential mortgage loans are time-barred under a decision </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rendered by the New York Court of Appeals.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Mortgage-related regulatory matters: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">In 2014, UBS received a subpoena
from the US Attorney&#8217;s Office for the Eastern District of New </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">York issued pursuant to the Financial Institutions Reform, Recovery and Enforcement Act of 1989
(FIRREA), which seeks documents and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">information related to UBS&#8217;s RMBS business from 2005 through 2007. In 2015, the Eastern District of New York identified a number
of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions that are the focus of their inquiry, and subsequently provided a revised list of transactions. UBS has provided information in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">response to this subpoena. UBS has also received and responded to subpoenas from the New York State Attorney General (NYAG) and other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">state attorneys general relating to UBS&#8217;s RMBS business. In 2017, the NYAG identified a number of transactions that are the focus of its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inquiry. In addition, UBS responded to inquiries from both the Special Inspector General for the Troubled Asset Relief Program (SIGTARP) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(who is working in conjunction with the US Attorney&#8217;s Office for Connecticut and the DOJ) and the SEC relating to trading practices in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">connection with purchases and sales of mortgage-backed securities in the secondary market from 2009 through 2014. UBS is cooperating with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the authorities in these matters.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2017 reflected a provision with respect to matters described in this item 2 in an amount that UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the future outflow of resources in respect of this matter cannot be determined with certainty based on currently available information and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">3.&#8195;Madoff</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS Europe SE, Luxembourg branch) and certain other UBS subsidiaries have been subject to inquiries by a number ofregulators, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including the Swiss Financial Market Supervisory Authority (FINMA) and the Luxembourg Commission de Surveillance du Secteur Financier </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(CSSF). Those inquiries concerned two third-party funds established under Luxembourg law, substantially all assets of which were with BMIS, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as well as certain funds established in offshore jurisdictions with either direct or indirect exposure to BMIS. These funds faced severe losses, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Luxembourg funds are in liquidation. The documentation establishing both funds identifies UBS entities in various roles, including </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">custodian, administrator, manager, distributor and promoter, and indicates that UBS employees serve as board members. In 2009 and 2010, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">liquidators of the two Luxembourg funds filed claims against UBS entities, non-UBS entities and certain individuals, including current and </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-244</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_115"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">former UBS employees, seeking amounts aggregating
approximately EUR 2.1 billion, which includes amounts that the funds may be held liable </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to pay the trustee for the liquidation of BMIS (BMIS Trustee).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A large number of alleged beneficiaries have filed claims against UBS entities (and non-UBS
entities) for purported losses relating to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Madoff fraud. The majority of these cases have been filed in Luxembourg, where decisions that the claims in eight test cases
were inadmissible </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">have been affirmed by the Luxembourg Court of Appeal, and the Luxembourg Supreme Court has dismissed a further appeal in one of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">test cases.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In the
US, the BMIS Trustee filed claims against UBS entities, among others, in relation to the two Luxembourg funds and one of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">offshore funds. The total amount claimed
against all defendants in these actions was not less than USD 2 billion. In 2014, the US Supreme Court </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">rejected the BMIS Trustee&#8217;s motion for leave to appeal
decisions dismissing all claims except those for the recovery of fraudulent conveyances </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and preference payments. In 2016, the Bankruptcy Court dismissed the remaining
claims against the UBS entities. The BMIS Trustee appealed. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">In 2014, several claims, including a purported class action, were filed in the US by BMIS customers against UBS
entities, asserting claims </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">similar to those made by the BMIS Trustee, and seeking unspecified damages. These claims have either been voluntarily withdrawn or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissed on the basis that the courts did not have jurisdiction to hear the claims against the UBS entities. In 2016, the plaintiff in one of those </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims appealed the dismissal. In February 2018, the United States Court of Appeals for the Second Circuit affirmed the dismissal of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiff&#8217;s claim.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">4.&#8195;Puerto Rico</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Declines since 2013 in the market prices of Puerto Rico municipal bonds and of closed-end funds (funds) that are sole managed and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">co-managed by UBS Trust Company of Puerto Rico and distributed by UBS Financial Services Incorporated of Puerto Rico (UBS PR) have led </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to multiple regulatory inquiries, as well as customer complaints and arbitrations with aggregate claimed damages of USD 2.4 billion, of which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims with aggregate claimed damages of USD 1.4 billion have been resolved through settlements, arbitration or withdrawal of the claim. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims are filed by clients in Puerto Rico who own the funds or Puerto Rico municipal bonds and / or who used their UBS account assets as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">collateral for UBS non-purpose loans; customer complaint and arbitration allegations include fraud, misrepresentation and unsuitability of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">funds and of the loans. A shareholder derivative action was filed in 2014 against various UBS entities and current and certain former directors of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the funds, alleging hundreds of millions of US dollars in losses in the funds. In 2015, defendants&#8217; motion to dismiss was denied. Defendants&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">requests for permission to appeal that ruling were denied by the Puerto Rico Court of Appeals and the Puerto Rico Supreme Court. In 2014, a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">federal class action complaint also was filed against various UBS entities, certain members of UBS PR senior management and the co-manager </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of certain of the funds, seeking damages for investor losses in the funds during the period from May 2008 through May 2014. In 2016, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants&#8217; motion to dismiss was granted in part and denied in part. In 2015, a class action was filed in Puerto Rico state court against UBS PR </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">seeking equitable relief in the form of a stay of any effort by UBS PR to collect on non-purpose loans it acquired from UBS Bank USA in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">December 2013 based on plaintiffs&#8217; allegation that the loans are not valid. The trial court denied defendant&#8217;s motion for summary judgment </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">based on a forum selection clause in the loan agreements. The Puerto Rico Supreme Court reversed that decision and remanded the case back to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the trial court for reconsideration. On reconsideration the trial court granted defendant&#8217;s motion and dismissed the action.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2014, UBS reached a settlement with the Office of the Commissioner of Financial Institutions
for the Commonwealth of Puerto Rico </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(OCFI) in connection with OCFI&#8217;s examination of UBS&#8217;s operations from January 2006 through September 2013, pursuant to
which UBS is </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">paying up to an aggregate of USD 7.7 million in investor education contributions and restitution.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, the SEC and the Financial Industry Regulatory Authority (FINRA) announced settlements
with UBS PR of their separate </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations stemming from the 2013 market events. Without admitting or denying the findings in either matter, UBS PR agreed in the SEC
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlement to pay USD 15 million and USD 18.5 million in the FINRA matter. We also understand that the DOJ is conducting a criminal inquiry </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">into the impermissible reinvestment of non-purpose loan proceeds. We are cooperating with the authorities in this inquiry.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2011, a purported derivative action was filed on behalf of the Employee Retirement System of
the Commonwealth of Puerto Rico </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(System) against over 40 defendants, including UBS PR, which was named in connection with its underwriting and consulting services. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Plaintiffs alleged that defendants violated their purported fiduciary duties and contractual obligations in connection with the issuance and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">underwriting of USD 3 billion of bonds by the System in 2008 and sought damages of over USD 800 million. In 2016, the court granted the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">System&#8217;s request to join the action as a plaintiff, but ordered that plaintiffs must file an amended complaint. In 2017, the court denied </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants&#8217; motion to dismiss the amended complaint.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-245</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_116"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Beginning in 2012, two federal class action complaints, which were subsequently consolidated, were filed against
various UBS entities, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain closed-end funds and certain members of UBS PR senior management, seeking damages for investor losses in the funds during the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">period from January 2008 through May 2012. In 2016, the court denied plaintiffs&#8217; motion for class certification. In March 2017, the US Court of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Appeals for the First Circuit denied plaintiffs&#8217; petition seeking permission to bring an interlocutory appeal challenging the denial of their motion </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for class certification.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Beginning in 2015, certain agencies and public corporations of the Commonwealth of Puerto Rico (Commonwealth) defaulted on certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">interest payments, in 2016, the Commonwealth defaulted on payments on its general obligation debt (GO Bonds), and in 2017 the Commonwealth</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> defaulted on payments on its debt backed by the Commonwealth&#8217;s Sales and Use Tax (COFINA Bonds) as well as on bonds issued by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Commonwealth&#8217;s Employee Retirement System (ERS Bonds). The funds hold significant amounts of both COFINA and ERS Bonds and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defaults on interest payments are expected to adversely affect dividends from the funds. Executive orders of the Governor that have diverted </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">funds to pay for essential services instead of debt payments and stayed any action to enforce creditors&#8217; rights on the Puerto Rico bonds continue </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to be in effect. In 2016, US federal legislation created an oversight board with power to oversee Puerto Rico&#8217;s finances and to restructure its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">debt. The oversight board is authorized to impose, and has imposed, a stay on exercise of creditors&#8217; rights. In May and June 2017, the oversight </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">board placed the GO, COFINA and ERS Bonds, among others, into a bankruptcy-like proceeding under the supervision of a Federal District </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Judge as authorized by the oversight board&#8217;s enabling statute. These events, further defaults, any further legislative action to create a legal means </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of restructuring Commonwealth obligations or to impose additional oversight on the Commonwealth&#8217;s finances, or any restructuring of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commonwealth&#8217;s obligations may increase the number of claims against UBS concerning Puerto Rico securities, as well as potential </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">damages sought.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our
balance sheet at 31 December 2017 reflected provisions with respect to matters described in this item 4 in amounts that UBS believes </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to be appropriate under the applicable
accounting standard. As in the case of other matters for which we have established provisions, the future </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">outflow of resources in respect of such matters cannot be
determined with certainty based on currently available information and accordingly </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">may ultimately prove to be substantially greater (or may be less) than the provisions
that we have recognized.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">5.&#8195;Foreign exchange, LIBOR and benchmark rates, and
other trading practices</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Foreign exchange-related regulatory
matters: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Following an initial media report in 2013 of widespread irregularities in the foreign
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange markets, UBS immediately commenced an internal review of its foreign exchange business, which includes our precious metals and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">related structured products businesses. Numerous authorities commenced investigations concerning possible manipulation of foreign exchange </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">markets and precious metals prices. In 2014 and 2015, UBS reached settlements with the UK Financial Conduct Authority (FCA) and the US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commodity Futures Trading Commission (CFTC) in connection with their foreign exchange investigations, FINMA issued an order concluding </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its formal proceedings relating to UBS&#8217;s foreign exchange and precious metals businesses, and the Board of Governors of the Federal Reserve </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">System (Federal Reserve Board) and the Connecticut Department of Banking issued a Cease and Desist Order and assessed monetary penalties </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against UBS AG. In addition, the DOJ&#8217;s Criminal Division (Criminal Division) terminated the 2012 Non-Prosecution Agreement (NPA) with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS AG related to UBS&#8217;s submissions of benchmark interest rates and UBS AG pleaded guilty to one count of wire fraud, paid a fine and is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">subject to probation through January 2020. In January 2018, UBS reached a settlement with the CFTC in connection with the CFTC&#8217;s precious </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">metals investigations. As part of that settlement, UBS paid a USD 15 million civil monetary penalty. UBS has ongoing obligations to cooperate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with these authorities and to undertake certain remediation. UBS has also been granted conditional immunity by the Antitrust Division of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">DOJ (Antitrust Division) and by authorities in other jurisdictions in connection with potential competition law violations relating to foreign </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange and precious metals businesses. Refer to Note 20b in the &#8220;Consolidated financial statements&#8221; section of the Annual Report 2016 for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">more information on regulatory actions related to foreign exchange and precious metals and grants of conditional immunity or leniency. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Investigations relating to foreign exchange and precious metals matters by certain authorities remain ongoing notwithstanding these resolutions.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Foreign exchange-related civil litigation: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Putative class actions have been filed since 2013 in US federal courts and in other jurisdictions </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">against
UBS and other banks on behalf of putative classes of persons who engaged in foreign currency transactions with any of the defendant </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">banks. They allege collusion by the
defendants and assert claims under the antitrust laws and for unjust enrichment. In 2015, additional putative </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">class actions were filed in federal court in New York against
UBS and other banks on behalf of a putative class of persons who entered into or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">held any foreign exchange futures contracts and options on foreign exchange futures
contracts since 2003. The complaints assert claims under </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Commodity Exchange Act (CEA) and the US antitrust laws. In 2015, a consolidated complaint was filed on behalf
of both putative classes of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">persons covered by the US federal court class actions described above. UBS has entered into a settlement agreement that would resolve all of
</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-246</font></div>
</div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_117"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">these US federal court class actions. The agreement,
which has been preliminarily approved by the court and is subject to final court approval, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">requires, among other things, that UBS pay an aggregate of USD 141 million and
provide cooperation to the settlement classes.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A putative class action has been
filed in federal court in New York against UBS and other banks on behalf of participants, beneficiaries </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and named fiduciaries of plans qualified under the Employee
Retirement Income Security Act of 1974 (ERISA) for whom a defendant bank </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">provided foreign currency exchange transactional services, exercised discretionary authority or
discretionary control over management of such </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">ERISA plan, or authorized or permitted the execution of any foreign currency exchange transactional services involving such
plan&#8217;s assets. The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint asserts claims under ERISA. The parties filed a stipulation to dismiss the case with prejudice. The plaintiffs have appealed the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissal. The appeals court heard oral argument in June 2017.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, a putative class action was filed in federal court against UBS and numerous other banks on behalf of a putative class of persons </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and businesses in the US who directly purchased foreign currency from the defendants and their co-conspirators for their own end use. That </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">action was transferred to federal court in New York. In March 2017, the court granted UBS&#8217;s (and the other banks&#8217;) motions to dismiss the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint. The plaintiffs filed an amended complaint in August 2017.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2016, a putative class action was filed in federal court in New York against UBS and numerous other banks on behalf of a putative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">class of persons and entities who had indirectly purchased foreign exchange instruments from a defendant or co-conspirator in the US. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint asserts claims under federal and state antitrust laws. In response to defendants&#8217; motion to dismiss, plaintiffs agreed to dismiss their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint. In April and June 2017, two new putative class actions were filed in federal court in New York against UBS and numerous other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">banks on behalf of different proposed classes of indirect purchasers of currency, and a consolidated complaint was filed in June 2017.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, UBS was added to putative class actions pending against other banks in federal court in
New York and other jurisdictions on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">behalf of putative classes of persons who had bought or sold physical precious metals and various precious metal products and
derivatives. The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaints in these lawsuits assert claims under the antitrust laws and the CEA, and other claims. In 2016, the court in New York granted UBS&#8217;s
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">motions to dismiss the putative class actions relating to gold and silver. Plaintiffs in those cases sought to amend their complaints to add new </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">allegations about UBS, which the court granted. The plaintiffs filed amended complaints in June 2017. In March 2017, the court in New York </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">granted UBS&#8217;s motion to dismiss the platinum and palladium action. In May 2017, plaintiffs in the platinum and palladium action filed an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amended complaint that did not allege claims against UBS.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">LIBOR and other benchmark-related regulatory matters: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Numerous
government agencies, including the SEC, the CFTC, the DOJ, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FCA, the UK Serious Fraud Office (SFO), the Monetary Authority of Singapore (MAS), the Hong Kong Monetary
Authority (HKMA), </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FINMA, various state attorneys general in the US and competition authorities in various jurisdictions, have conducted or are continuing to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conduct investigations regarding potential improper attempts by UBS, among others, to manipulate LIBOR and other benchmark rates at certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">times. In 2012, UBS reached settlements relating to benchmark interest rates with the FSA, the CFTC and the Criminal Division of the DOJ, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">FINMA issued an order in its proceedings with respect to UBS relating to benchmark interest rates. In addition, UBS entered into settlements </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with the European Commission (EC) and with the Swiss Competition Commission (WEKO) regarding its investigation of bid-ask spreads in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">connection with Swiss franc interest rate derivatives. UBS has ongoing obligations to cooperate with the authorities with whom we have reached </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">resolutions and to undertake certain remediation with respect to benchmark interest rate submissions. UBS has been granted conditional leniency </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or conditional immunity from authorities in certain jurisdictions, including the Antitrust Division of the DOJ and WEKO, in connection with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">potential antitrust or competition law violations related to certain rates. However, UBS has not reached a final settlement with WEKO as the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Secretariat of WEKO has asserted that UBS does not qualify for full immunity. Refer to Note 20b in the &#8220;Consolidated financial statements&#8221; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">section of the Annual Report 2016 for more information on regulatory actions relating to benchmark rates and grants of conditional immunity or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">leniency. Investigations by certain governmental authorities remain ongoing notwithstanding these resolutions.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">LIBOR and other benchmark-related civil litigation: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">A number of putative class actions and other actions are pending in the federal courts </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in New York against
UBS and numerous other banks on behalf of parties who transacted in certain interest rate benchmark-based derivatives. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Also pending in the US and in other jurisdictions
are actions asserting losses related to various products whose interest rates were linked to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR and other benchmarks, including adjustable rate mortgages, preferred and
debt securities, bonds pledged as collateral, loans, depository </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">accounts, investments and other interest-bearing instruments. All of the complaints allege manipulation,
through various means, of various </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark interest rates, including USD LIBOR, Euroyen TIBOR, Yen LIBOR, EURIBOR, CHF LIBOR, GBP LIBOR, USD and SGD SIBOR </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and SOR, Australian BBSW and USD ISDAFIX, and seek unspecified compensatory and other damages under varying legal theories.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-247</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_118"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2013, the US district court in the
USD LIBOR action dismissed the federal antitrust and racketeering claims of certain USD LIBOR </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs and a portion of their claims brought under the CEA and state
common law. Certain plaintiffs appealed the decision to the Second </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Circuit, which, in 2016, vacated the district court&#8217;s ruling finding no antitrust injury and
remanded the case back to the district court for a further </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">determination on whether plaintiffs have antitrust standing. In December 2016, the district court again
dismissed plaintiffs&#8217; antitrust claims, this </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">time for lack of personal jurisdiction over UBS and other foreign banks. Certain plaintiffs appealed that decision to
the Second Circuit in 2017. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">In 2018, the district court denied certain plaintiffs&#8217; motions for class certification.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2014, the court in one of the Euroyen TIBOR lawsuits dismissed certain of the
plaintiff&#8217;s claims, including federal antitrust claims. In </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2015, the same court dismissed plaintiff&#8217;s federal racketeering claims and affirmed its previous
dismissal of plaintiff&#8217;s antitrust claims. In 2017, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the court also dismissed the other Yen LIBOR / Euroyen TIBOR action in its entirety on standing grounds, as did
the court in the CHF LIBOR </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">action. Also in 2017, the courts in the EURIBOR and the SIBOR and SOR lawsuits dismissed the cases as to UBS and certain other foreign </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants for lack of personal jurisdiction. Plaintiffs in the CHF LIBOR and SIBOR and SOR actions have filed amended complaints following </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the dismissals, which UBS and other defendants have moved to dismiss. UBS and other defendants in other lawsuits have also moved to dismiss </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the GBP LIBOR and Australian BBSW actions. In 2016, UBS entered into an agreement with representatives of a class of bondholders to settle </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">their USD LIBOR class action. The agreement has received preliminary court approval and remains subject to final approval.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Since 2014, putative class actions have been filed in federal court in New York and New Jersey
against UBS and other financial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">institutions, among others, on behalf of parties who entered into interest rate derivative transactions linked to ISDAFIX. The court has
given </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">preliminary approval of a settlement agreement under which UBS would pay USD 14 million to settle the case in its entirety. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Government </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">bonds: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Putative class actions have been filed in US federal courts against UBS and other banks on behalf of persons who participated in markets </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for US Treasury securities since 2007. The complaints generally allege that the banks colluded with respect to, and manipulated prices of, US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Treasury securities sold at auction. They assert claims under the antitrust laws and the CEA and for unjust enrichment. The cases have been </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consolidated in the SDNY, and a consolidated complaint was filed in November 2017. Following filing of these complaints, UBS and reportedly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other banks are responding to investigations and requests for information from various authorities regarding US Treasury securities and other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">government bond trading practices. As a result of its review to date, UBS has taken appropriate action.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">With respect to additional matters and jurisdictions not encompassed by the settlements and orders referred to above, our balance sheet at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">31 December 2017 reflected a provision in an amount that UBS believes to be appropriate under the applicable accounting standard. As in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">case of other matters for which we have established provisions, the future outflow of resources in respect of such matters cannot be determined </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with certainty based on currently available information and accordingly may ultimately prove to be substantially greater (or may be less) than </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the provision that we have recognized.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">6.&#8195;Swiss retrocessions</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Federal Supreme Court of Switzerland ruled in 2012, in a test case against UBS, that distribution fees paid to a firm for distributing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">third-party and intra-group investment funds and structured products must be disclosed and surrendered to clients who have entered into a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">discretionary mandate agreement with the firm, absent a valid waiver. FINMA has issued a supervisory note to all Swiss banks in response to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Supreme Court decision. UBS has met the FINMA requirements and has notified all potentially affected clients. The Supreme Court decision </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">has resulted, and may continue to result, in a number of client requests for UBS to disclose and potentially surrender retrocessions. Client </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">requests are assessed on a case-by-case basis. Considerations taken into account when assessing these cases include, among other things, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">existence of a discretionary mandate and whether or not the client documentation contained a valid waiver with respect to distribution fees.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2017 reflected a provision with respect to matters described in
this item 6 in an amount that UBS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">believes to be appropriate under the applicable accounting standard. The ultimate exposure will depend on client requests and the
resolution </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">thereof, factors that are difficult to predict and assess. Hence, as in the case of other matters for which we have established provisions, the future </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">7.&#8195;Investigation of UBS&#8217;s role in initial public offerings in Hong Kong</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Hong Kong Securities and Futures Commission (SFC) has been conducting investigations into
UBS&#8217;s role as a sponsor of certain </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">initial public offerings listed on the Hong Kong Stock Exchange. The SFC has previously indicated that it intended to take
enforcement action </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-248</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_119"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">against UBS and certain employees in relation to certain of these offerings. In March 2018, the SFC issued a decision notice in
relation to one of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the offerings under investigation. The notice provides for a fine of HKD 119 million and a suspension of UBS Securities Hong Kong Limited&#8217;s
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">ability to act as a sponsor for Hong Kong listed initial public offerings for 18 months. UBS intends to appeal the decision.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">2016 Annual Report</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">1.&#8195;Inquiries regarding cross-border wealth management businesses</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Tax and regulatory authorities in a number of countries have made inquiries, served requests for information or examined employees </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">located in their respective jurisdictions relating to the cross-border wealth management services provided by UBS and other financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">institutions. It is possible that implementation of automatic tax information exchange and other measures relating to cross-border provision of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial services could give rise to further inquiries in the future. UBS has received disclosure orders from the Swiss Federal Tax Administration</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> (FTA) to transfer information based on requests for international administrative assistance in tax matters. The requests concern a number of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS account numbers pertaining to current and former clients and are based on data from 2006 and 2008. UBS has taken steps to inform </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affected clients about the administrative assistance proceedings and their procedural rights, including the right to appeal. The requests are based </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on data received from the German authorities, who seized certain data related to UBS clients booked in Switzerland during their investigations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and have apparently shared this data with other European countries. UBS expects additional countries to file similar requests. In addition, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Swiss Federal Supreme Court ruled in September 2016 that the double taxation agreement between the Netherlands and Switzerland provides a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sufficient legal basis for an administrative assistance group request without specifying the names of the targeted taxpayers, which makes it more </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">likely that similar requests for administrative assistance will be granted by the FTA.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2013, as a result of investigations in France, UBS (France) S.A. and UBS AG were put under formal examination (&#8220;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">mise en examen</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for complicity in having illicitly solicited clients on French territory and were declared witness with legal assistance (&#8220;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">t&#233;moin assist&#233;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;) regarding </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the laundering of proceeds of tax fraud and of banking and financial solicitation by unauthorized persons. In 2014, UBS AG was placed under </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">formal examination with respect to the potential charges of laundering of proceeds of tax fraud, and the investigating judges ordered UBS AG to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">provide bail (&#8220;caution&#8221;) of EUR 1.1 billion. UBS AG appealed the determination of the bail amount, but both the appeal court (&#8220;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Cour d&#8217;Appel</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and the French Supreme Court (&#8220;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Cour de Cassation</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;) upheld the bail amount and rejected the appeal in full in late 2014. UBS AG filed an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">application
to the European Court of Human Rights (ECHR) to challenge various aspects of the French court&#8217;s decision. In January 2017, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">ECHR denied UBS&#8217;s application.
The Swiss Federal Administrative Court ruled in October 2016 that in the administrative assistance </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings related to the French bulk request, UBS has the right to
appeal all final FTA client data disclosure orders. In September 2015, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">former CEO of UBS Wealth Management was placed under formal examination in connection with these
proceedings. In addition, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigating judges have sought to issue arrest warrants against three Swiss-based former employees of UBS AG who did not appear when
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">summoned by the investigating judge.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, UBS (France) S.A. was placed under formal examination for complicity regarding the laundering of proceeds of tax fraud and of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">banking and financial solicitation by unauthorized persons for the years 2004 until 2008 and declared witness with legal assistance for the years </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2009 to 2012. A bail of EUR 40 million was imposed and subsequently reduced by the Court of Appeals to EUR 10 million. In February 2016, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the investigating judge notified UBS AG and UBS (France) S.A. that he has closed his investigation. In July 2016, UBS AG and UBS (France) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">S.A. received the National Financial Prosecutor&#8217;s recommendation
(&#8220;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">r&#233;quisitoire</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;). As permitted, the parties have commented
on the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">recommendation. The next procedural step will be for the judge to issue his final decree (&#8220;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">ordonnance de renvoi en correctionnelle</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;), which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">would set out any charges for which UBS AG and UBS (France) S.A. will be tried, both legally and factually, and transfer the case to court.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS has been notified by the Belgian investigating judge that it is under formal investigation
(&#8220;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">inculp&#233;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;) regarding the laundering of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceeds of tax fraud and of banking, financial solicitation by unauthorized persons and serious tax fraud.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, UBS received inquiries from the US Attorney&#8217;s Office for the Eastern District of
New York and from the US Securities and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Exchange Commission (SEC), which are investigating potential sales to US persons of bearer bonds and other unregistered securities
in possible </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">violation of the Tax Equity and Fiscal Responsibility Act of 1982 (TEFRA) and the registration requirements of the US securities laws. UBS is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cooperating with the authorities in these investigations.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-249</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_120"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS has, and reportedly numerous other financial institutions have, received inquiries from authorities
concerning accounts relating to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the F&#233;d&#233;ration Internationale de Football Association (FIFA) and other constituent soccer associations and related persons and
entities. UBS is </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">cooperating with authorities in these inquiries.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2016 reflected provisions with respect to matters described in this item 1 in an amount that UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the future outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">2.&#8195;Claims related to sales of residential mortgage-backed securities and
mortgages</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">From 2002 through 2007, prior to the crisis in the US residential loan
market, UBS was a substantial issuer and underwriter of US </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">residential mortgage-backed securities (RMBS) and was a purchaser and seller of US residential mortgages. A
subsidiary of UBS, UBS Real </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Estate Securities Inc. (UBS RESI), acquired pools of residential mortgage loans from originators and (through an affiliate) deposited them into
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">securitization trusts. In this manner, from 2004 through 2007, UBS RESI sponsored approximately USD 80 billion in RMBS, based on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">original principal balances of the securities issued.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS RESI also sold pools of loans acquired from originators to third-party purchasers. These whole loan sales during the period 2004 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">through 2007 totaled approximately USD 19 billion in original principal balance.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">We were not a significant originator of US residential loans. A subsidiary of UBS originated approximately USD 1.5 billion in US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">residential mortgage loans during the period in which it was active from 2006 to 2008 and securitized less than half of these loans. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">RMBS-related</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;"> lawsuits concerning disclosures: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS is named as a defendant relating to its role as underwriter and issuer of RMBS in lawsuits related </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to
approximately USD 2.5 billion in original face amount of RMBS underwritten or issued by UBS. Of the USD 2.5 billion in original face </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">amount of RMBS that remains at issue
in these cases, approximately USD 1.2 billion was issued in offerings in which a UBS subsidiary </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">transferred underlying loans (the majority of which were purchased from
third-party originators) into a securitization trust and made </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">representations and warranties about those loans (UBS sponsored RMBS). The remaining USD 1.3 billion of RMBS
to which these cases relate </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">was issued by third parties in securitizations in which UBS acted as underwriter (third-party RMBS).</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In connection with certain of these lawsuits, UBS has indemnification rights against surviving
third-party issuers or originators for losses </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or liabilities incurred by UBS, but UBS cannot predict the extent to which it will succeed in enforcing those
rights.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS is a defendant in a lawsuit brought by the National Credit Union
Administration (NCUA) as conservator for certain failed credit </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">unions, asserting misstatements and omissions in the offering documents for RMBS purchased by the credit
unions. The lawsuit was filed in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">US District Court for the District of Kansas. The original principal balance at issue in the case is approximately USD 1.15 billion.
In March </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2017, UBS and NCUA reached an agreement in principle to resolve this matter. In the second quarter of 2016, UBS resolved a similar case </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">brought by the NCUA in the US District Court for the Southern District of New York (SDNY) relating to RMBS with an original principal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">balance of approximately USD 400 million, for a total of approximately USD 69.8 million, in addition to reasonable attorneys&#8217; fees incurred </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">by NCUA.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Lawsuits related to contractual representations and warranties concerning mortgages and RMBS: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">When UBS acted as an RMBS sponsor </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or mortgage seller, we generally made certain representations relating
to the characteristics of the underlying loans. In the event of a material </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">breach of these representations, we were in certain circumstances contractually obligated to
repurchase the loans to which the representations </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">related or to indemnify certain parties against losses. UBS has received demands to repurchase US residential mortgage
loans as to which UBS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">made certain representations at the time the loans were transferred to the securitization trust aggregating approximately USD 4.1 billion in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">original principal balance. Of this amount, UBS considers claims relating to approximately USD 2 billion in original principal balance to be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">resolved, including claims barred by the statute of limitations. Substantially all of the remaining claims are in litigation, including the matters </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">described in the next paragraph. UBS believes that new demands to repurchase US residential mortgage loans are time barred under a decision </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rendered by the New York Court of Appeals.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2012, certain RMBS trusts filed an action (Trustee Suit) in the SDNY seeking to enforce UBS RESI&#8217;s obligation to repurchase loans in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the collateral pools for three RMBS securitizations with an original principal balance of approximately USD 2 billion, for which Assured </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Guaranty Municipal Corp., a financial guaranty insurance company, had previously demanded repurchase. A bench trial in the SDNY adjourned </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-250</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_121"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in May 2016. Approximately 9,000 loans were at issue in
the trial. In September 2016, the court issued an order ruling on numerous legal and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">factual issues and applying those rulings to 20 exemplar loans. The court further
ordered that a lead master be appointed to apply the court&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">rulings to the loans that remain at issue following the trial. With respect to the loans subject to the
Trustee Suit that were originated by </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">institutions still in existence, UBS intends to enforce its indemnity rights against those institutions.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">We also have tolling agreements with certain institutional purchasers of RMBS concerning their
potential claims related to substantial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">purchases of UBS-sponsored or third-party RMBS.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">3.&#8195;Madoff</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In relation to the Bernard L. Madoff Investment Securities LLC (BMIS) investment fraud, UBS AG, UBS (Luxembourg) S.A. and certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other UBS subsidiaries have been subject to inquiries by a number of regulators, including the Swiss Financial Market Supervisory Authority </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(FINMA) and the Luxembourg Commission de Surveillance du Secteur Financier (CSSF). Those inquiries concerned two third-party funds </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">established under Luxembourg law, substantially all assets of which were with BMIS, as well as certain funds established in offshore </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">jurisdictions with either direct or indirect exposure to BMIS. These funds now face severe losses, and the Luxembourg funds are in liquidation. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The last reported net asset value of the two Luxembourg funds before revelation of the Madoff scheme was approximately USD 1.7 billion in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the aggregate although that figure likely includes fictitious profit reported by BMIS. The documentation establishing both funds identifies UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">entities in various roles, including custodian, administrator, manager, distributor and promoter, and indicates that UBS employees serve as board </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">members. UBS (Luxembourg) S.A. and certain other UBS subsidiaries are responding to inquiries by Luxembourg investigating authorities, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">without, however, being named as parties in those investigations. In 2009 and 2010, the liquidators of the two Luxembourg funds filed claims on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">behalf of the funds against UBS entities, non-UBS entities and certain individuals, including current and former UBS employees.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The amounts claimed are approximately EUR 890 million and EUR 305 million, respectively. The
liquidators have filed supplementary </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims for amounts that the funds may possibly be held liable to pay the BMIS Trustee. These amounts claimed by the liquidator are
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately EUR 564 million and EUR 370 million, respectively. In addition, a large number of alleged beneficiaries have filed claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against UBS entities (and non-UBS entities) for purported losses relating to the Madoff scheme. The majority of these cases are pending in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Luxembourg, where appeals were filed by the claimants against the 2010 decisions of the court in which the claims in a number of test cases </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">were held to be inadmissible. In 2014, the Luxembourg Court of Appeal dismissed one test case appeal in its entirety, which decision was </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">appealed by the investor. In 2015, the Luxembourg Supreme Court found in favor of UBS and dismissed the investor&#8217;s appeal. In June 2016, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Luxembourg Court of Appeal dismissed the remaining test cases in their entirety. In the US, the BMIS Trustee filed claims in 2010 against UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">entities, among others, in relation to the two Luxembourg funds and one of the offshore funds. The total amount claimed against all defendants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in these actions was not less than USD 2 billion. Following a motion by UBS, in 2011, the SDNY dismissed all of the BMIS Trustee&#8217;s claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other than claims for recovery of fraudulent conveyances and preference payments that were allegedly transferred to UBS on the ground that the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">BMIS Trustee lacks standing to bring such claims. In 2013, the Second Circuit affirmed the District Court&#8217;s decision and, in 2014, the US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Supreme Court denied the BMIS Trustee&#8217;s petition seeking review of the Second Circuit ruling. In November 2016, the bankruptcy court issued </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">an opinion dismissing the remaining claims for recovery of subsequent transfers of fraudulent conveyances and preference payments on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ground that the US Bankruptcy Code does not apply to transfers that occurred outside the US. The BMIS Trustee has indicated that he will </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">appeal. In 2014, several claims, including a purported class action, were filed in the US by BMIS customers against UBS entities, asserting </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims similar to the ones made by the BMIS Trustee, seeking unspecified damages. One claim was voluntarily withdrawn by the plaintiff. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2015, following a motion by UBS, the SDNY dismissed the two remaining claims on the basis that the New York courts did not have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">jurisdiction to hear the claims against the UBS entities. The plaintiff in one of those claims has appealed the dismissal. In Germany, certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">clients of UBS are exposed to Madoff managed positions through third-party funds and funds administered by UBS entities in Germany. A small </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">number of claims have been filed with respect to such funds. In 2015, a court of appeal ordered UBS to pay EUR 49 million, plus interest of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately EUR 15.3 million.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">3.&#8195;Puerto Rico</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Declines since August 2013 in the market prices of Puerto Rico municipal bonds and of closed-end funds (the funds) that are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sole-managed and co-managed by UBS Trust Company of Puerto Rico and distributed by UBS Financial Services Incorporated of Puerto Rico </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(UBS PR) have led to multiple regulatory inquiries, as well as customer complaints and arbitrations with aggregate claimed damages of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately USD 2.0 billion, of which claims with aggregate claimed damages of approximately USD 861 million have been resolved </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">through settlements, arbitration or withdrawal of the claim. The claims are filed by clients in Puerto Rico who own the funds or Puerto Rico </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-251</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_122"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">municipal bonds and / or who used their UBS account
assets as collateral for UBS non-purpose loans; customer complaint and arbitration </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">allegations include fraud, misrepresentation and unsuitability of the funds and of the
loans. A shareholder derivative action was filed in 2014 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">against various UBS entities and current and certain former directors of the funds, alleging hundreds of millions
of US dollars in losses in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">funds. In 2015, defendants&#8217; motion to dismiss was denied. Defendants&#8217; requests for permission to appeal that ruling were denied
by the Puerto </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Rico Court of Appeals and the Puerto Rico Supreme Court. In 2014, a federal class action complaint also was filed against various UBS entities, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain members of UBS PR senior management, and the co-manager of certain of the funds seeking damages for investor losses in the funds </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">during the period from May 2008 through May 2014. Defendants had moved to dismiss that complaint, and in December 2016, defendants&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion to dismiss was granted in part and denied in part. In 2015, a class action was filed in Puerto Rico state court against UBS PR seeking </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">equitable relief in the form of a stay of any effort by UBS PR to collect on non-purpose loans it acquired from UBS Bank USA in December </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2013 based on plaintiffs&#8217; allegation that the loans are not valid. The trial court denied defendants&#8217; motion to dismiss the action based on a forum </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">selection clause in the loan agreements; the Puerto Rico Supreme Court has stayed the action pending its review of defendants&#8217; appeal from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that ruling.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In
2014, UBS reached a settlement with the Office of the Commissioner of Financial Institutions for the Commonwealth of Puerto Rico </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(OCFI) in connection with OCFI&#8217;s
examination of UBS&#8217;s operations from January 2006 through September 2013, pursuant to which UBS is </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">paying up to an aggregate of USD 7.7 million in investor education
contributions and restitution. In 2015, the SEC and the Financial Industry </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Regulatory Authority (FINRA) announced settlements with UBS PR of their separate investigations
stemming from the 2013 market events. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Without admitting or denying the findings in either matter, UBS PR agreed in the SEC settlement to pay USD 15 million and USD 18.5
million </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the FINRA matter. We also understand that the DOJ is conducting a criminal inquiry into the impermissible reinvestment of non-purpose loan </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceeds. We are cooperating with the authorities in this inquiry.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2011, a purported derivative action was filed on behalf of the Employee Retirement System of the Commonwealth of Puerto Rico </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(System) against over 40 defendants, including UBS PR, which was named in connection with its underwriting and consulting services. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Plaintiffs alleged that defendants violated their purported fiduciary duties and contractual obligations in connection with the issuance and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">underwriting of approximately USD 3 billion of bonds by the System in 2008 and sought damages of over USD 800 million. Defendants&#8217; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion to dismiss is pending. In September 2016, the System announced its intention to join the action as a plaintiff, and the court has since </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ordered that plaintiffs must file an amended complaint. Also, in 2013, an SEC Administrative Law Judge dismissed a case brought by the SEC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against two UBS executives, finding no violations. The charges had stemmed from the SEC&#8217;s investigation of UBS&#8217;s sale of closed-end funds in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2008 and 2009, which UBS settled in 2012. Beginning in 2012, two federal class action complaints, which were subsequently consolidated, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">were filed against various UBS entities, certain of the funds, and certain members of UBS PR senior management, seeking damages for investor </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">losses in the funds during the period from January 2008 through May 2012 based on allegations similar to those in the SEC action. In September </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2016, the court denied plaintiffs&#8217; motion for class certification. In October 2016, plaintiffs filed a petition with the US Court of Appeals for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">First Circuit seeking permission to bring an interlocutory appeal challenging the denial of their motion for class certification. Defendants have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filed an opposition to plaintiffs&#8217; petition.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Beginning in 2015, agencies and public corporations of the Commonwealth have defaulted on certain interest payments, and in July 2016, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Commonwealth defaulted on payments on its general obligation debt. Executive orders of the Governor that have diverted funds to pay for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">essential services instead of debt payments and stayed any action to enforce creditors&#8217; rights on the Puerto Rico bonds continue to be in effect. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">In June 2016, US federal legislation created an oversight board with power to oversee Puerto Rico&#8217;s finances and to restructure its debt. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">oversight board is authorized to impose, and has imposed, a stay on exercise of creditors&#8217; rights. These events, further defaults, any further </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">legislative action to create a legal means of restructuring Commonwealth obligations or to impose additional oversight on the Commonwealth&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">finances, or any restructuring of the Commonwealth&#8217;s obligations, may increase the number of claims against UBS concerning Puerto Rico </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities, as well as potential damages sought.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2016 reflected provisions with respect to matters described in this item 4 in amounts that UBS believes </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, the future </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may ultimately prove to be substantially greater (or may be less) than the provisions that we have recognized.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">5.&#8195;Foreign exchange, LIBOR, and benchmark rates, and other trading practices</font></div>
</div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-252</font></div> </div> </div>
</div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_123"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Foreign
exchange-related regulatory matters</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">: Following an initial media report in 2013 of widespread irregularities in the foreign </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange markets, UBS immediately commenced an internal review of its foreign exchange business, which includes our precious metals and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">related structured products businesses. Since then, various authorities have commenced investigations concerning possible manipulation of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">foreign exchange markets, including FINMA, the Swiss Competition Commission (WEKO), the DOJ, the SEC, the US Commodity Futures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trading Commission (CFTC), the Board of Governors of the Federal Reserve System (Federal Reserve Board), the California State Attorney </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">General, the UK Financial Conduct Authority (FCA) (to which certain responsibilities of the UK Financial Services Authority (FSA) have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">passed), the UK Serious Fraud Office (SFO), the Australian Securities and Investments Commission (ASIC), the Hong Kong Monetary </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authority (HKMA), the Korea Fair Trade Commission (KFTC) and the Brazil Competition Authority (CADE). In addition, WEKO is, and a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">number of other authorities reportedly are, investigating potential manipulation of precious metals prices. UBS has taken and will continue to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">take appropriate action with respect to certain personnel as a result of its ongoing review.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2014, UBS reached settlements with the FCA and the CFTC in connection with their foreign exchange investigations, and FINMA </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">issued an order concluding its formal proceedings with respect to UBS relating to its foreign exchange and precious metals businesses. UBS has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">paid a total of approximately CHF 774 million to these authorities, including GBP 234 million in fines to the FCA, USD 290 million in fines to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the CFTC, and CHF 134 million to FINMA representing confiscation of costs avoided and profits. In 2015, the Federal Reserve Board and the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Connecticut Department of Banking issued an Order to Cease and Desist and Order of Assessment of a Civil Monetary Penalty Issued upon </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Consent (Federal Reserve Order) to UBS AG. As part of the Federal Reserve Order, UBS AG paid a USD 342 million civil monetary penalty.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, the DOJ&#8217;s Criminal Division (Criminal Division) terminated the December 2012
Non-Prosecution Agreement (NPA) with UBS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">AG related to UBS&#8217;s submissions of benchmark interest rates. As a result, UBS AG entered into a plea agreement with the
Criminal Division </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">pursuant to which UBS AG pleaded guilty to a one-count criminal information filed in the US District Court for the District of Connecticut </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">charging UBS AG with one count of wire fraud in violation of 18 USC Sections 1343 and 2. Sentencing occurred on 5 January 2017. Under the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plea agreement, UBS AG has paid a USD 203 million fine and is subject to a three-year term of probation starting on the sentencing date. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">criminal information charges that, between approximately 2001 and 2010, UBS AG engaged in a scheme to defraud counterparties to interest </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rate derivatives transactions by manipulating benchmark interest rates, including Yen LIBOR. The Criminal Division terminated the NPA based </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on its determination, in its sole discretion, that certain UBS AG employees committed criminal conduct that violated the NPA, including </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">fraudulent and deceptive currency trading and sales practices in conducting certain foreign exchange market transactions with clients and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">collusion with other participants in certain foreign exchange markets.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">We have ongoing obligations to cooperate with these authorities and to undertake certain remediation, including actions to improve </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS&#8217;s processes and controls. UBS has been granted conditional leniency or conditional immunity by the Antitrust Division of the DOJ </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(Antitrust Division) from prosecution for EUR / USD collusion and entered into a non-prosecution agreement covering other currency pairs. As </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">a result, UBS AG will not be subject to prosecutions, fines or other sanctions for antitrust law violations by the Antitrust Division, subject to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS AG&#8217;s continuing cooperation. However, the conditional leniency and conditional immunity grant does not bar government agencies from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">asserting other claims and imposing sanctions against UBS AG, as evidenced by the settlements and ongoing investigations referred to above. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS has also been granted conditional immunity by authorities in certain jurisdictions, including WEKO, in connection with potential </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">competition law violations relating to foreign exchange and precious metals businesses and, as a result, will not be subject to prosecutions, fines </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or other sanctions for antitrust or competition law violations in those jurisdictions, subject to UBS AG&#8217;s continuing cooperation as the leniency </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">applicant. Investigations relating to foreign exchange and precious metals matters by numerous authorities, including the CFTC, remain ongoing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">notwithstanding these resolutions. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Foreign exchange-related civil litigation: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Putative class actions have been filed since November 2013 in US </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">federal courts and in other jurisdictions
against UBS and other banks on behalf of putative classes of persons who engaged in foreign currency </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions with any of the defendant banks. They allege collusion by
the defendants and assert claims under the antitrust laws and for unjust </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">enrichment. In 2015, additional putative class actions were filed in federal court in New York
against UBS and other banks on behalf of a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">putative class of persons who entered into or held any foreign exchange futures contracts and options on foreign exchange
futures contracts </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">since 1 January 2003. The complaints assert claims under the Commodity Exchange Act (CEA) and the US antitrust laws. In 2015, a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consolidated complaint was filed on behalf of both putative classes of persons covered by the US federal court class actions described above. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS has entered into a settlement agreement that would resolve all of these US federal court class actions. The agreement, which has been </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">preliminarily approved by the court and is subject to final court approval, requires, among other things, that UBS pay an aggregate of USD 141 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million and provide cooperation to the settlement classes.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-253</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_124"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">A putative class action has been filed in federal court in New York against UBS and other banks on behalf of
participants, beneficiaries, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and named fiduciaries of plans qualified under the Employee Retirement Income Security Act of 1974 (ERISA) for whom a defendant bank </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">provided foreign currency exchange transactional services, exercised discretionary authority or discretionary control over management of such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ERISA plan, or authorized or permitted the execution of any foreign currency exchange transactional services involving such plan&#8217;s assets. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint asserts claims under ERISA. The parties filed a stipulation to dismiss the case with prejudice. The plaintiffs have appealed the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissal. In 2015, a putative class action was filed in federal court against UBS and numerous other banks on behalf of a putative class of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">persons and businesses in the US who directly purchased foreign currency from the defendants and their co-conspirators for their own end use. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">That action has been transferred to federal court in New York. Motions to dismiss are pending. In 2016, a putative class action was filed in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">federal court in New York against UBS and numerous other banks on behalf of a putative class of persons and entities who had indirectly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purchased FX instruments from a defendant or co-conspirator in the US. The complaint asserts claims under federal and state antitrust laws. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Motions to dismiss will be filed. In 2015, UBS was added to putative class actions pending against other banks in federal court in New York and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other jurisdictions on behalf of putative classes of persons who had bought or sold physical precious metals and various precious metal products </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and derivatives. The complaints in these lawsuits assert claims under the antitrust laws and the CEA, and other claims. In October 2016, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">court in New York granted UBS&#8217;s motions to dismiss the putative class actions relating to gold and silver. Plaintiffs in those cases are seeking to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amend their complaints to add new allegations about UBS. UBS&#8217;s motion to dismiss the putative class action relating to platinum and palladium </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">remains pending.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">LIBOR and other benchmark-related regulatory matters</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">: Numerous
government agencies, including the SEC, the CFTC, the DOJ, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FCA, the SFO, the Monetary Authority of Singapore (MAS), the HKMA, FINMA, the various state attorneys
general in the US and competition </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">authorities in various jurisdictions have conducted or are continuing to conduct investigations regarding submissions with respect to
LIBOR and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">other benchmark rates. These investigations focus on whether there were improper attempts by UBS, among others, either acting on our own or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">together with others, to manipulate LIBOR and other benchmark rates at certain times.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2012, UBS reached settlements with the FSA, the CFTC and the Criminal Division of the DOJ in connection with their investigations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of benchmark interest rates. At the same time, FINMA issued an order concluding its formal proceedings with respect to UBS relating to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark interest rates. UBS has paid a total of approximately CHF 1.4 billion in fines and disgorgement, including GBP 160 million in fines </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the FSA, USD 700 million in fines to the CFTC, USD 500 million in fines to the DOJ, and CHF 59 million in disgorgement to FINMA. UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Securities Japan Co. Ltd. (UBSSJ) entered into a plea agreement with the DOJ under which it entered a plea to one count of wire fraud relating </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the manipulation of certain benchmark interest rates, including Yen LIBOR. UBS entered into an NPA with the DOJ, which (along with the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plea agreement) covered conduct beyond the scope of the conditional leniency / immunity grants described below, required UBS to pay the USD </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">500 million fine to the DOJ after the sentencing of UBSSJ and provided that any criminal penalties imposed on UBSSJ at sentencing be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">deducted from the USD 500 million fine. Under the NPA, we agreed, among other things, that for two years from 18 December 2012 UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">would not commit any US crime and we would advise DOJ of any potentially criminal conduct by UBS or any of its employees relating to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violations of US laws concerning fraud or securities and commodities markets. The term of the NPA was extended by one year to 18 December </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2015. In 2015, the Criminal Division terminated the NPA based on its determination, in its sole discretion, that certain UBS AG employees </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">committed criminal conduct that violated the NPA.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2014, UBS reached a settlement with the European Commission (EC) regarding its investigation of bid-ask spreads in connection with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Swiss franc interest rate derivatives and paid a EUR 12.7 million fine, which was reduced to this level based in part on UBS&#8217;s cooperation with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the EC. In December 2016, UBS reached a settlement with WEKO regarding its investigation of bid-ask spreads in connection with Swiss franc </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">interest rate derivatives and received full immunity from fines. The MAS, HKMA and the Japan Financial Services Agency have also resolved </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigations of UBS (and in some cases, other banks). We have ongoing obligations to cooperate with the authorities with whom we have </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reached resolutions and to undertake certain remediation with respect to benchmark interest rate submissions.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Investigations by the CFTC, ASIC and other governmental authorities remain ongoing
notwithstanding these resolutions. UBS has been </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">granted conditional leniency or conditional immunity from authorities in certain jurisdictions, including the Antitrust
Division of the DOJ and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">WEKO, in connection with potential antitrust or competition law violations related to submissions for Yen LIBOR and Euroyen TIBOR. As a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">result of these conditional grants, UBS will not be subject to prosecutions, fines or other sanctions for antitrust or competition law violations in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the jurisdictions where we have conditional immunity in connection with the matters covered by the conditional grants, subject to our continuing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cooperation as leniency applicant. However, since the Secretariat of WEKO has asserted that UBS does not qualify for full immunity, UBS has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">been unable to reach a settlement with WEKO, and therefore the investigation will continue. Furthermore, the conditional leniency and </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-254</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_125"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">conditional immunity grants we have received do not bar
government agencies from asserting other claims and imposing sanctions against us, as </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">evidenced by the settlements and ongoing investigations referred to above. In
addition, as a result of the conditional leniency agreement with the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">DOJ, we are eligible for a limit on liability to actual rather than treble damages were damages to be
awarded in any civil antitrust action under </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">US law based on conduct covered by the agreement and for relief from potential joint and several liability in connection with
such civil antitrust </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">action, subject to our satisfying the DOJ and the court presiding over the civil litigation of our cooperation. The conditional leniency and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conditional immunity grants do not otherwise affect the ability of private parties to assert civil claims against us.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">LIBOR and other benchmark-related civil litigation</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">: A number of putative class actions and other actions are pending in the federal courts </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in New York
against UBS and numerous other banks on behalf of parties who transacted in certain interest rate benchmark-based derivatives. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Also pending in the US and in other
jurisdictions are actions asserting losses related to various products whose interest rates were linked to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR and other benchmarks, including adjustable rate mortgages,
preferred and debt securities, bonds pledged as collateral, loans, depository </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">accounts, investments and other interest-bearing instruments. All of the complaints allege
manipulation, through various means, of various </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark interest rates, including USD LIBOR, Euroyen TIBOR, Yen LIBOR, EURIBOR, CHF LIBOR, GBP LIBOR, USD ISDAFIX rates
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and other benchmark rates, and seek unspecified compensatory and other damages under varying legal theories.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2013, the US district court in the USD LIBOR action dismissed the federal antitrust and
racketeering claims of certain USD LIBOR </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs and a portion of their claims brought under the CEA and state common law. Certain plaintiffs appealed the decision to
the Second </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Circuit, which, in May 2016, vacated the district court&#8217;s ruling finding no antitrust injury and remanded the case back to the district court for a
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">further determination on whether plaintiffs have antitrust standing. In December 2016, the district court again dismissed plaintiffs&#8217; antitrust </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims, this time for lack of personal jurisdiction over UBS and other foreign banks. In 2014, the court in one of the Euroyen TIBOR lawsuits </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissed certain of the plaintiff&#8217;s claims, including federal antitrust claims. In 2015, the same court dismissed plaintiff&#8217;s federal racketeering </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims and affirmed its previous dismissal of plaintiff&#8217;s antitrust claims. UBS and other defendants in other lawsuits including those related to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">EURIBOR, CHF LIBOR, GBP LIBOR and SIBOR have filed motions to dismiss. UBS has entered into an agreement with representatives of a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">class of bondholders to settle their USD LIBOR class action. The agreement is subject to court approval.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Since September 2014, putative class actions have been filed in federal court in New York and New Jersey against UBS and other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial institutions, among others, on behalf of parties who entered into interest rate derivative transactions linked to ISDAFIX. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaints, which have since been consolidated into an amended complaint, allege that the defendants conspired to manipulate ISDAFIX rates </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">from 1 January 2006 through January 2014, in violation of US antitrust laws and certain state laws, and seek unspecified compensatory </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">damages, including treble damages. In March 2016, the court in the ISDAFIX action denied in substantial part defendants&#8217; motion to dismiss, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">holding that plaintiffs have stated Sherman Act, breach of-contract and unjust-enrichment claims against defendants, including UBS AG.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Government bonds: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Putative class actions have been filed in US federal courts against UBS and other banks on behalf of persons who </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">participated in markets for US Treasury securities since 2007. The complaints generally allege that the banks colluded with respect to, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">manipulated prices of, US Treasury securities sold at auction. They assert claims under the antitrust laws and the CEA and for unjust </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">enrichment. The cases have been consolidated in the SDNY. Following filing of these complaints, UBS and reportedly other banks are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">responding to investigations and requests for information from various authorities regarding US Treasury securities and other government bond </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading practices. As a result of its review to date, UBS has taken appropriate action.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">With respect to additional matters and jurisdictions not encompassed by the settlements and order referred to above, our balance sheet at </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">31 December 2016 reflected a provision in an amount that UBS believes to be appropriate under the applicable accounting standard. As in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">case of other matters for which we have established provisions, the future outflow of resources in respect of such matters cannot be determined </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with certainty based on currently available information and accordingly may ultimately prove to be substantially greater (or may be less) than </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the provision that we have recognized.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">6.&#8195;Swiss retrocessions</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Federal Supreme Court of Switzerland ruled in 2012, in a test case against UBS, that distribution fees paid to a firm for distributing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">third-party and intra-group investment funds and structured products must be disclosed and surrendered to clients who have entered into a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">discretionary mandate agreement with the firm, absent a valid waiver. FINMA has issued a supervisory note to all Swiss banks in response to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Supreme Court decision. UBS has met the FINMA requirements and has notified all potentially affected clients.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-255</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_126"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Supreme Court decision has
resulted, and may continue to result, in a number of client requests for UBS to disclose and potentially </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">surrender retrocessions. Client requests are assessed on a
case-by-case basis. Considerations taken into account when assessing these cases </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">include, among others, the existence of a discretionary mandate and whether or not the
client documentation contained a valid waiver with </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">respect to distribution fees.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2016 reflected a provision with respect to matters described in this item 6 in an amount that UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">believes to be appropriate under the applicable accounting standard. The ultimate exposure will depend on client requests and the resolution </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">thereof, factors that are difficult to predict and assess. Hence, as in the case of other matters for which we have established provisions, the future </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">7.&#8195;Banco UBS Pactual tax indemnity</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to the 2009 sale of Banco UBS Pactual S.A. (Pactual) by UBS to BTG Investments, LP
(BTG), BTG has submitted contractual </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">indemnification claims that UBS estimates amount to approximately BRL 2.6 billion, including interest and penalties, which is net of
liabilities </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">retained by BTG. The claims pertain principally to several tax assessments issued by the Brazilian tax authorities against Pactual relating to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">period from December 2006 through March 2009, when UBS owned Pactual. These assessments are being challenged in administrative and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">judicial proceedings. The majority of these assessments relate to the deductibility of goodwill amortization in connection with UBS&#8217;s 2006 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">acquisition of Pactual and payments made to Pactual employees through various profit-sharing plans. In 2015, an intermediate administrative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">court issued a decision that was largely in favor of the tax authority with respect to the goodwill amortization assessment. In May 2016, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">highest level of the administrative court agreed to review this decision on a number of the significant issues.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">8.&#8195;Investigation of UBS&#8217;s role in initial public offerings in Hong Kong</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Hong Kong Securities and Futures Commission (SFC) has been conducting investigations into
UBS&#8217;s role as a sponsor of certain </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">initial public offerings listed on the Hong Kong Stock Exchange. In October 2016, the SFC informed UBS that it intends to commence
action </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">against UBS and certain UBS employees with respect to sponsorship work in those offerings. If such action is taken, there may be financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ramifications for UBS, including fines and obligations to pay investor compensation, and suspension of UBS&#8217;s ability to provide corporate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">finance advisory services in Hong Kong for a period of time. On 16 January 2017, a writ was filed by the SFC with Hong Kong&#8217;s High Court in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">which UBS is named as one of six defendants from whom the SFC is seeking compensation in an unspecified amount for losses incurred by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain shareholders of China Forestry Holdings Company Limited, for whom UBS acted as a sponsor in connection with their 2009 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">listing application.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">2015 Annual Report</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">1.&#8195;Inquiries regarding cross-border wealth management businesses</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Tax and regulatory authorities in a number of countries have made inquiries, served requests for information or examined employees </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">located in their respective jurisdictions relating to the cross-border wealth management services provided by UBS and other financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">institutions. It is possible that implementation of automatic tax information exchange and other measures relating to cross-border provision of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial services could give rise to further inquiries in the future.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">As a result of investigations in France, in 2013, UBS (France) S.A. and UBS AG were put under formal examination (&#8220;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">mise en examen</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for complicity in having illicitly solicited clients on French territory, and were declared witness with legal assistance (&#8220;</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">t&#233;moin assist&#233;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">regarding the laundering of proceeds of tax fraud and of banking and financial solicitation by unauthorized persons. In 2014, UBS AG was </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">placed under formal examination with respect to the potential charges of laundering of proceeds of tax fraud, and the investigating judges </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ordered UBS to provide bail (&#8220;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">caution</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;) of EUR 1.1 billion. UBS AG appealed the determination of the bail amount, but both the appeal court
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(&#8220;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Cour d&#8217;Appel</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">&#8221;) and the French Supreme Court (&#8220;</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;">Cour de Cassation&#8221;) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">upheld the bail amount and rejected the appeal in full in late 2014. UBS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">AG has filed and has had accepted
a petition to the European Court of Human Rights to challenge various aspects of the French court&#8217;s decision.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In September 2015, the former CEO of UBS Wealth Management was placed under formal examination in connection with these </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings. In addition, the investigating judges have sought to issue arrest warrants against three Swiss-based former employees of UBS AG </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-256</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_127"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">who did not appear when summoned by the investigating
judge. In February 2016, the investigating judge notified UBS that he does not intend </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to conduct further investigation. This notification commences a period in which the
prosecutor may file a request for a judge to issue </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">formal charges.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In March 2015, UBS (France) S.A. was placed under formal examination for complicity regarding the laundering of proceeds of tax fraud </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and of banking and financial solicitation by unauthorized persons for the years 2004 until 2008 and declared witness with legal assistance for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">years 2009 to 2012. A bail of EUR 40 million was imposed, and was reduced by the Court of Appeals in May 2015 to EUR 10 million. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Separately, in 2013, the French banking supervisory authority&#8217;s disciplinary commission reprimanded UBS (France) S.A. for having had </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">insufficiencies in its control and compliance framework around its cross-border activities and know your customer obligations. It imposed a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">penalty of EUR 10 million, which was paid.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS AG has been notified by the Brussels public prosecutor&#8217;s office that it is investigating various aspects of UBS&#8217;s cross-border</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;"> business.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In
January 2015, UBS received inquiries from the US Attorney&#8217;s Office for the Eastern District of New York and from the US Securities </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and Exchange Commission (SEC),
which are investigating potential sales to US persons of bearer bonds and other unregistered securities in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">possible violation of the Tax Equity and Fiscal Responsibility
Act of 1982 (TEFRA) and the registration requirements of the US securities laws. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS is cooperating with the authorities in these investigations.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS has, and reportedly numerous other financial institutions have, received inquiries from
authorities concerning accounts relating to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the F&#233;d&#233;ration Internationale de Football Association (FIFA) and other constituent soccer associations and related
persons and entities. UBS is </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">cooperating with authorities in these inquiries.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2015 reflected provisions with respect to matters described in this item 1 in an amount that UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the future outflow of resources in respect of such matters cannot be determined with certainty based on currently available information, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">2.&#8195;Claims related to sales of residential mortgage-backed securities and
mortgages</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">From 2002 through 2007, prior to the crisis in the US residential loan
market, UBS was a substantial issuer and underwriter of US </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">residential mortgage-backed securities (RMBS) and was a purchaser and seller of US residential mortgages. A
subsidiary of UBS, UBS Real </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Estate Securities Inc. (UBS RESI), acquired pools of residential mortgage loans from originators and (through an affiliate) deposited them into
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">securitization trusts. In this manner, from 2004 through 2007, UBS RESI sponsored approximately USD 80 billion in RMBS, based on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">original principal balances of the securities issued.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS RESI also sold pools of loans acquired from originators to third-party purchasers. These whole loan sales during the period 2004 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">through 2007 totaled approximately USD 19 billion in original principal balance. We were not a significant originator of US residential loans. A </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">subsidiary of UBS originated approximately USD 1.5 billion in US residential mortgage loans during the period in which it was active from </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2006 to 2008, and securitized less than half of these loans.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">RMBS-related lawsuits concerning disclosures: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS is named as a
defendant relating to its role as underwriter and issuer of RMBS in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">lawsuits related to approximately USD 6.2 billion in original face amount of RMBS underwritten or
issued by UBS. Of the USD 6.2 billion in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">original face amount of RMBS that remains at issue in these cases, approximately USD 3.2 billion was issued in offerings in which
a UBS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">subsidiary transferred underlying loans (the majority of which were purchased from third-party originators) into a securitization trust and made </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">representations and warranties about those loans (UBS-sponsored RMBS). The remaining USD 3 billion of RMBS to which these cases relate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">was issued by third parties in securitizations in which UBS acted as underwriter (third party RMBS).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In connection with certain of these lawsuits, UBS has indemnification rights against surviving third-party issuers or originators for losses </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">or liabilities incurred by UBS, but UBS cannot predict the extent to which it will succeed in enforcing those rights. UBS is a defendant in two </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">lawsuits brought by the National Credit Union Administration (NCUA), as conservator for certain failed credit unions, asserting misstatements </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and omissions in the offering documents for RMBS purchased by the credit unions. Both lawsuits were filed in US District Courts, one in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">District of Kansas and the other in the Southern District of New York (SDNY). The original principal balance at issue in the Kansas case is </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-257</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_128"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">approximately USD 1.15 billion and the original
principal balance at issue in the SDNY case is approximately USD 400 million. In February </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2016, UBS made an offer of judgment to NCUA in the SDNY case, which NCUA has
accepted, pursuant to which UBS will pay USD 33 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">million plus an amount of prejudgment interest that will be determined by the court and reasonable attorneys&#8217; fees.
Once these amounts are </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">determined and judgment is entered, the SDNY case will end. Prejudgment interest and attorneys&#8217; fees are expected to significantly increase
the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">total amount to be paid in the SDNY case.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Lawsuits related to contractual representations and warranties concerning mortgages and RMBS: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">When UBS acted as an RMBS sponsor </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or mortgage seller, we generally made certain representations relating
to the characteristics of the underlying loans. In the event of a material </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">breach of these representations, we were in certain circumstances contractually obligated to
repurchase the loans to which the representations </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">related or to indemnify certain parties against losses. UBS has received demands to repurchase US residential mortgage
loans as to which UBS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">made certain representations at the time the loans were transferred to the securitization trust aggregating approximately USD 4.1 billion in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">original principal balance. Of this amount, UBS considers claims relating to approximately USD 2 billion in original principal balance to be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">resolved, including claims barred by the statute of limitations. Substantially all of the remaining claims are in litigation, including the matters </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">described in the next paragraph. UBS believes that new demands to repurchase US residential mortgage loans are time-barred under a decision </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rendered by the New York Court of Appeals.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2012, certain RMBS trusts filed an action (Trustee Suit) in the SDNY seeking to enforce UBS RESI&#8217;s obligation to repurchase loans in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the collateral pools for three RMBS securitizations (Transactions) with an original principal balance of approximately USD 2 billion, for which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Assured Guaranty Municipal Corp. (Assured Guaranty), a financial guaranty insurance company, had previously demanded repurchase. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">January 2015, the court rejected plaintiffs&#8217; efforts to seek damages for all loans purportedly in breach of representations and warranties in any of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the three Transactions and limited plaintiffs to pursuing claims based solely on alleged breaches for loans identified in the complaint or other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">breaches that plaintiffs can establish were independently discovered by UBS. In February 2015, the court denied plaintiffs&#8217; motion seeking </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reconsideration of its ruling. With respect to the loans subject to the Trustee Suit that were originated by institutions still in existence, UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">intends to enforce its indemnity rights against those institutions. Trial is currently scheduled for April 2016. We also have tolling agreements </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with certain institutional purchasers of RMBS concerning their potential claims related to substantial purchases of UBS-sponsored or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">third-party RMBS.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">3.&#8195;Madoff</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In relation to the Bernard L. Madoff Investment Securities LLC (BMIS) investment fraud, UBS AG, UBS (Luxembourg) SA and certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other UBS subsidiaries have been subject to inquiries by a number of regulators, including the Swiss Financial Market Supervisory Authority </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(FINMA) and the Luxembourg Commission de Surveillance du Secteur Financier (CSSF). Those inquiries concerned two third-party funds </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">established under Luxembourg law, substantially all assets of which were with BMIS, as well as certain funds established in offshore </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">jurisdictions with either direct or indirect exposure to BMIS. These funds now face severe losses, and the Luxembourg funds are in liquidation. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The last reported net asset value of the two Luxembourg funds before revelation of the Madoff scheme was approximately USD 1.7 billion in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the aggregate, although that figure likely includes fictitious profit reported by BMIS. The documentation establishing both funds identifies UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">entities in various roles including custodian, administrator, manager, distributor and promoter, and indicates that UBS employees serve as board </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">members. UBS (Luxembourg) SA and certain other UBS subsidiaries are responding to inquiries by Luxembourg investigating authorities, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">without, however, being named as parties in those investigations. In 2009 and 2010, the liquidators of the two Luxembourg funds filed claims on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">behalf of the funds against UBS entities, non-UBS entities and certain individuals including current and former UBS employees. The amounts </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claimed are approximately EUR 890 million and EUR 305 million, respectively. The liquidators have filed supplementary claims for amounts </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that the funds may possibly be held liable to pay the BMIS Trustee. These amounts claimed by the liquidator are approximately EUR 564 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million and EUR 370 million, respectively.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, a large number of alleged beneficiaries have filed claims against UBS entities (and
non-UBS entities) for purported losses </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">relating to the Madoff scheme. The majority of these cases are pending in Luxembourg, where appeals were filed by the claimants
against the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2010 decisions of the court in which the claims in a number of test cases were held to be inadmissible. In July 2014, the Luxembourg Court of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Appeal dismissed one test appeal in its entirety, which decision was appealed by the investor. In July 2015, the Luxembourg Supreme Court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">found in favor of UBS and dismissed the investor&#8217;s appeal. In the US, the BMIS Trustee filed claims in 2010 against UBS entities, among </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">others, in relation to the two Luxembourg funds and one of the offshore funds. The total amount claimed against all defendants in these actions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">was not less than USD 2 billion. Following a motion by UBS, in 2011, the SDNY dismissed all of the BMIS Trustee&#8217;s claims other than claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for recovery of fraudulent conveyances and preference payments that were allegedly transferred to UBS on the ground that the BMIS Trustee </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-258</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_129"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">lacks standing to bring such claims. In 2013, the Second
Circuit affirmed the District Court&#8217;s decision and, in June 2014, the US Supreme Court </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">denied the BMIS Trustee&#8217;s petition seeking review of the Second Circuit
ruling. In December 2014, several claims, including a purported class </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">action, were filed in the US by BMIS customers against UBS entities, asserting claims similar to the
ones made by the BMIS Trustee, seeking </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">unspecified damages. One claim was voluntarily withdrawn by the plaintiff. In July 2015, following a motion by UBS, the SDNY
dismissed the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">two remaining claims on the basis that the New York courts did not have jurisdiction to hear the claims against the UBS entities. In Germany, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain clients of UBS are exposed to Madoff-managed positions through third-party funds and funds administered by UBS entities in Germany. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">A small number of claims have been filed with respect to such funds. In January 2015, a court of appeal reversed a lower court decision in favor </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of UBS in one such case and ordered UBS to pay EUR 49 million, plus interest (approximately EUR 15.3 million). UBS filed an application for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">leave to appeal the decision. That application was rejected by the German Federal Supreme Court in December 2015, meaning that the Court of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Appeal&#8217;s decision is final.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">4.&#8195;Puerto Rico</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Declines since August 2013 in the market prices of Puerto Rico municipal bonds and of closed-end funds (the funds) that are </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sole-managed and co-managed by UBS Trust Company of Puerto Rico and distributed by UBS Financial Services Incorporated of Puerto Rico </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(UBS PR) have led to multiple regulatory inquiries, as well as customer complaints and arbitrations with aggregate claimed damages of USD 1.6 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">billion, of which claims with aggregate claimed damages of approximately USD 374 million have been resolved through settlements or </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">arbitration. The claims are filed by clients in Puerto Rico who own the funds or Puerto Rico municipal bonds and / or who used their UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">account assets as collateral for UBS non-purpose loans; customer complaint and arbitration allegations include fraud, misrepresentation and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unsuitability of the funds and of the loans. A shareholder derivative action was filed in 2014 against various UBS entities and current and certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">former directors of the funds, alleging hundreds of millions in losses in the funds. In 2015, defendants&#8217; motion to dismiss was denied. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Defendants are seeking leave to appeal that ruling to the Puerto Rico Supreme Court. In 2014, a federal class action complaint also was filed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against various UBS entities, certain members of UBS PR senior management, and the co-manager of certain of the funds seeking damages for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investor losses in the funds during the period from May 2008 through May 2014. Defendants have moved to dismiss that complaint. In March </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2015, a class action was filed in Puerto Rico state court against UBS PR seeking equitable relief in the form of a stay of any effort by UBS PR to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">collect on non-purpose loans it acquired from UBS Bank USA in December 2013 based on plaintiffs&#8217; allegation that the loans are not valid.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2014, UBS reached a settlement with the Office of the Commissioner of Financial Institutions
for the Commonwealth of Puerto Rico </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(OCFI) in connection with OCFI&#8217;s examination of UBS&#8217;s operations from January 2006 through September 2013. Pursuant to the
settlement, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS contributed USD 3.5 million to an investor education fund, offered USD 1.68 million in restitution to certain investors and, among other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">things, committed to undertake an additional review of certain client accounts to determine if additional restitution would be appropriate.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">That review resulted in an additional USD 2.1 million in restitution being offered to certain
investors. In September 2015, the SEC and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Financial Industry Regulatory Authority (FINRA) announced settlements with UBS PR of their separate investigations stemming
from the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2013 market events. Without admitting or denying the findings in either matter, UBS PR agreed in the SEC settlement to pay USD 15 million </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(which includes USD 1.18 million in disgorgement, a civil penalty of USD 13.63 million and pre-judgment interest), and USD 18.5 million in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the FINRA matter (which includes up to USD 11 million in restitution to 165 UBS PR customers and a civil penalty of USD 7.5 million). The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">SEC settlement involves a charge against UBS PR of failing to supervise the activities of a former financial advisor who had recommended the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">impermissible investment of nonpurpose loan proceeds into the UBS PR closed-end funds, in violation of firm policy and the customer loan </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreements. In the FINRA settlement, UBS PR is alleged to have failed to supervise certain customer accounts which were both more than 75% </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">invested in UBS PR closed-end funds and leveraged against those positions. We also understand that the DOJ is conducting a criminal inquiry </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">into the impermissible reinvestment of non-purpose loan proceeds. We are cooperating with the authorities in this inquiry.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2011, a purported derivative action was filed on behalf of the Employee Retirement System of
the Commonwealth of Puerto Rico </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(System) against over 40 defendants, including UBS PR and other consultants and underwriters, trustees of the System, and the President and
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Board of the Government Development Bank of Puerto Rico. The plaintiffs alleged that defendants violated their purported fiduciary duties and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contractual obligations in connection with the issuance and underwriting of approximately USD 3 billion of bonds by the System in 2008 and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sought damages of over USD 800 million. UBS is named in connection with its underwriting and consulting services. In 2013, the case was </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissed by the Puerto Rico Court of First Instance on the grounds that plaintiffs did not have standing to bring the claim, but that dismissal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">was subsequently overturned on appeal. Defendants have renewed their motion to dismiss the complaint on grounds not addressed when the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">court issued its prior ruling. Also, in 2013, an SEC Administrative Law Judge dismissed a case brought by the SEC against two UBS executives, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">finding no violations. The charges had stemmed from the SEC&#8217;s investigation of UBS&#8217;s sale of closed-end funds in 2008 and 2009, which UBS </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-259</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_130"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">settled in 2012. Beginning in 2012, two federal class
action complaints, which were subsequently consolidated, were filed against various UBS </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">entities, certain of the funds, and certain members of UBS PR senior management,
seeking damages for investor losses in the funds during the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">period from January 2008 through May 2012 based on allegations similar to those in the SEC action. A motion for
class certification was denied </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">without prejudice to the right to refile the motion after limited discovery, and that motion has since been refiled.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In June 2015 Puerto Rico&#8217;s Governor stated that the Commonwealth is unable to meet its
obligations. In addition, certain agencies and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">public corporations of the Commonwealth have held discussions with their creditors to restructure their outstanding debt,
and certain agencies </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and public corporations of the Commonwealth have defaulted on certain interest payments that were due in August 2015 and January 2016.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The United States Supreme Court has agreed to hear Puerto Rico&#8217;s appeal of a US District
Court&#8217;s invalidation of the Puerto Rico Public </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Corporations Debt Enforcement and Recovery Act (the Act), under which Puerto Rico&#8217;s public corporations would be
permitted to effect a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">mandatory restructuring of their respective debts with a specified creditor vote that would be binding on all applicable creditors, once approved
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">by a court or, alternatively, under a court-supervised bankruptcy type restructuring. The foregoing events, any further defaults by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commonwealth or its agencies and public corporations on (or any debt restructurings proposed by them with respect to) their outstanding debt, a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Supreme Court decision upholding the Act (or sending it back to the District Court for further proceedings) and any further actions taken by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Puerto Rico&#8217;s public corporations under the Act, as well as any market reactions to any of the foregoing, may increase the number of claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against UBS concerning Puerto Rico securities as well as potential damages sought.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2015 reflected provisions with respect to matters described in this item 4 in amounts that UBS believes </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, the future </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">outflow of resources in respect of such matters cannot be determined with certainty based on currently available information, and accordingly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may ultimately prove to be substantially greater (or may be less) than the provisions that we have recognized.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">5.&#8195;Foreign exchange, LIBOR, and benchmark rates, and other trading practices</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Foreign exchange-related regulatory matters</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">: Following an initial media report in 2013 of widespread irregularities in the foreign </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">exchange markets,
UBS immediately commenced an internal review of its foreign exchange business, which includes our precious metals and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">related structured products businesses. Since then,
various authorities have commenced investigations concerning possible manipulation of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">foreign exchange markets, including FINMA, the Swiss Competition Commission (WEKO),
the DOJ, the SEC, the US Commodity Futures </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Trading Commission (CFTC), the Board of Governors of the Federal Reserve System (Federal Reserve Board), the UK Financial
Conduct </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authority (FCA) (to which certain responsibilities of the UK Financial Services Authority (FSA) have passed), the UK Serious Fraud Office </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(SFO), the Australian Securities and Investments Commission (ASIC), the Hong Kong Monetary Authority (HKMA), the Korea Fair Trade </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Commission (KFTC) and the Brazil Competition Authority (CADE).</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition, WEKO is, and a number of other authorities reportedly are, investigating potential manipulation of precious metals prices. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS has taken and will take appropriate action with respect to certain personnel as a result of its ongoing review. In 2014, UBS reached </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">settlements with the FCA and the CFTC in connection with their foreign exchange investigations, and FINMA issued an order concluding its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">formal proceedings with respect to UBS relating to its foreign exchange and precious metals businesses. UBS has paid a total of approximately </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CHF 774 million to these authorities, including GBP 234 million in fines to the FCA, USD 290 million in fines to the CFTC, and CHF 134 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million to FINMA representing confiscation of costs avoided and profits. In May 2015, the Federal Reserve Board and the Connecticut </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Department of Banking issued an Order to Cease and Desist and Order of Assessment of a Civil Monetary Penalty Issued upon Consent (Federal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Reserve Order) to UBS AG. As part of the Federal Reserve Order, UBS AG paid a USD 342 million civil monetary penalty.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In May 2015, the DOJ&#8217;s Criminal Division (Criminal Division) terminated the December 2012
Non-Prosecution Agreement (NPA) with </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS AG related to UBS&#8217;s submissions of benchmark interest rates. As a result, UBS AG entered into a plea agreement with the
Criminal </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Division pursuant to which UBS AG agreed to and did plead guilty to a one-count criminal information filed in the US District Court for the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">District of Connecticut charging UBS AG with one count of wire fraud in violation of 18 USC Sections 1343 and 2. Under the plea agreement, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">UBS AG agreed to a sentence that includes a USD 203 million fine and a three-year term of probation. The criminal information charges that </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">between approximately 2001 and 2010, UBS AG engaged in a scheme to defraud counterparties to interest rate derivatives transactions by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">manipulating benchmark interest rates, including Yen LIBOR. Sentencing is currently scheduled for 9 May 2016. The Criminal Division </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">terminated the NPA based on its determination, in its sole discretion, that certain UBS AG employees committed criminal conduct that violated </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-260</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_131"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the NPA, including fraudulent and deceptive currency
trading and sales practices in conducting certain foreign exchange market transactions </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">with clients and collusion with other participants in certain foreign exchange
markets.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">We have ongoing obligations to cooperate with these authorities and to
undertake certain remediation, including actions to improve </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">processes and controls.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS has been granted conditional immunity by the Antitrust Division of the DOJ (Antitrust Division) from prosecution for EUR / USD </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">collusion and entered into a non-prosecution agreement covering other currency pairs. As a result, UBS AG will not be subject to prosecutions, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">fines or other sanctions for antitrust law violations by the Antitrust Division, subject to UBS AG&#8217;s continuing cooperation. However, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conditional immunity grant does not bar government agencies from asserting other claims and imposing sanctions against UBS AG, as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">evidenced by the settlements and ongoing investigations referred to above. UBS has also been granted conditional leniency by authorities in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certain jurisdictions, including WEKO, in connection with potential competition law violations relating to precious metals, and as a result, will </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">not be subject to prosecutions, fines or other sanctions for antitrust or competition law violations in those jurisdictions, subject to UBS AG&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">continuing cooperation.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In October 2015, UBS AG settled charges with the SEC relating to structured notes issued by UBS AG that were linked to the UBS V10 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Currency Index with Volatility Cap. Investigations relating to foreign exchange and precious metals matters by numerous authorities, including </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the CFTC, remain ongoing notwithstanding these resolutions.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Foreign exchange-related civil litigation: </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Putative class actions have
been filed since November 2013 in US federal courts and in other </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">jurisdictions against UBS and other banks on behalf of putative classes of persons who engaged in foreign
currency transactions with any of the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendant banks. They allege collusion by the defendants and assert claims under the antitrust laws and for unjust enrichment. In
2015, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">additional putative class actions were filed in federal court in New York against UBS and other banks on behalf of a putative class of persons </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">who entered into or held any foreign exchange futures contracts and options on foreign exchange futures contracts since 1 January 2003.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The complaints assert claims under the Commodity Exchange Act (CEA) and the US antitrust laws. In
July 2015, a consolidated </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint was filed on behalf of both putative classes of persons covered by the US federal court class actions described above. UBS has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">entered into a settlement agreement that would resolve all of these US federal court class actions. The agreement, which has been preliminarily </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">approved by the court and is subject to final court approval, requires, among other things, that UBS pay an aggregate of USD 141 million and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">provide cooperation to the settlement classes.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In June 2015, a putative class action was filed in federal court in New York against UBS and other banks on behalf of participants, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">beneficiaries, and named fiduciaries of plans qualified under the Employee Retirement Income Security Act of 1974 (ERISA) for whom a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendant bank provided foreign currency exchange transactional services, exercised discretionary authority or discretionary control over </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">management of such ERISA plan, or authorized or permitted the execution of any foreign currency exchange transactional services involving </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">such plan&#8217;s assets. The complaint asserts claims under ERISA.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2015, UBS was added to putative class actions pending against other banks in federal court in New York and other jurisdictions on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">behalf of putative classes of persons who bought or sold physical precious metals and various precious metal products and derivatives. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaints in these lawsuits assert claims under the antitrust laws and the CEA, and other claims.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">LIBOR and other benchmark-related regulatory matters</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">: Numerous
government agencies, including the SEC, the CFTC, the DOJ, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">FCA, the SFO, the Monetary Authority of Singapore (MAS), the HKMA, FINMA, the various state attorneys
general in the US, and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">competition authorities in various jurisdictions have conducted or are continuing to conduct investigations regarding submissions with respect to
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR and other benchmark rates.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">These investigations focus on whether there were improper attempts by UBS, among others, either acting on our own or together with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">others, to manipulate LIBOR and other benchmark rates at certain times.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2012, UBS reached settlements with the FSA, the CFTC and the Criminal Division of the DOJ in connection with their investigations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of benchmark interest rates. At the same time, FINMA issued an order concluding its formal proceedings with respect to UBS relating to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark interest rates. UBS has paid a total of approximately CHF 1.4 billion in fines and disgorgement &#8211; including GBP 160 million in fines </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the FSA, USD 700 million in fines to the CFTC, USD 500 million in fines to the DOJ, and CHF 59 million in disgorgement to FINMA. UBS </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-261</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_132"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Securities Japan Co. Ltd. (UBSSJ) entered into a plea
agreement with the DOJ under which it entered a plea to one count of wire fraud relating </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the manipulation of certain benchmark interest rates, including Yen
LIBOR.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS entered into an NPA with the DOJ, which (along with the plea agreement)
covered conduct beyond the scope of the conditional </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">leniency / immunity grants described below, required UBS to pay the USD 500 million fine to the DOJ after the
sentencing of UBSSJ, and </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">provided that any criminal penalties imposed on UBSSJ at sentencing be deducted from the USD 500 million fine. Under the NPA, we agreed, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">among other things, that for two years from 18 December 2012 UBS would not commit any US crime, and we would advise DOJ of any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">potentially criminal conduct by UBS or any of its employees relating to violations of US laws concerning fraud or securities and commodities </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">markets. The term of the NPA was extended by one year to 18 December 2015. In May 2015, the Criminal Division terminated the NPA based </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">on its determination, in its sole discretion, that certain UBS AG employees committed criminal conduct that violated the NPA. As a result, UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">entered into a plea agreement with the DOJ under which it entered a guilty plea to one count of wire fraud relating to the manipulation of certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">benchmark interest rates, including Yen LIBOR, and agreed to pay a fine of USD 203 million and accept a three-year term of probation. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Sentencing is currently scheduled for 9 May 2016.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2014, UBS reached a settlement with the European Commission (EC) regarding its investigation of bid-ask spreads in connection with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Swiss franc interest rate derivatives and paid a EUR 12.7 million fine, which was reduced to this level based in part on UBS&#8217;s cooperation with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the EC. The MAS, HKMA and the Japan Financial Services Agency have also resolved investigations of UBS (and in some cases, other banks). </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">We have ongoing obligations to cooperate with the authorities with whom we have reached resolutions and to undertake certain remediation </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with respect to benchmark interest rate submissions.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Investigations by the CFTC, ASIC and other governmental authorities remain ongoing notwithstanding these resolutions.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">UBS has been granted conditional leniency or conditional immunity from authorities in certain
jurisdictions, including the Antitrust </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Division of the DOJ, WEKO and the EC, in connection with potential antitrust or competition law violations related to submissions
for Yen </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">LIBOR and Euroyen TIBOR. WEKO has also granted UBS conditional immunity in connection with potential competition law violations </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">related to submissions for CHF LIBOR and certain transactions related to CHF LIBOR. As a result of these conditional grants, we will not be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">subject to prosecutions, fines or other sanctions for antitrust or competition law violations in the jurisdictions where we have conditional </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">immunity or leniency in connection with the matters covered by the conditional grants, subject to our continuing cooperation. However, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conditional leniency and conditional immunity grants we have received do not bar government agencies from asserting other claims and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">imposing sanctions against us, as evidenced by the settlements and ongoing investigations referred to above. In addition, as a result of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">conditional leniency agreement with the DOJ, we are eligible for a limit on liability to actual rather than treble damages, were damages to be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">awarded in any civil antitrust action under US law based on conduct covered by the agreement and for relief from potential joint and several </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">liability in connection with such civil antitrust action, subject to our satisfying the DOJ and the court presiding over the civil litigation of our </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cooperation. The conditional leniency and conditional immunity grants do not otherwise affect the ability of private parties to assert civil claims </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against us.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">LIBOR and other benchmark-related civil litigation</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">: A number of
putative class actions and other actions are pending in, or expected to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">be transferred to, the federal courts in New York against UBS and numerous other banks on behalf of
parties who transacted in certain interest </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">rate benchmark-based derivatives.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Also pending are actions asserting losses related to various products whose interest rate was linked to USD LIBOR, including adjustable </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">rate mortgages, preferred and debt securities, bonds pledged as collateral, loans, depository accounts, investments and other interest-bearing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">instruments. All of the complaints allege manipulation, through various means, of various benchmark interest rates, including USD LIBOR, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Euroyen TIBOR, Yen LIBOR, EURIBOR, CHF LIBOR, GBP LIBOR or USD ISDAFIX rates and seek unspecified compensatory and other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">damages under varying legal theories. In 2013, the court in the USD action dismissed the federal antitrust and racketeering claims of certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">USD LIBOR plaintiffs and a portion of their claims brought under the CEA and state common law. Plaintiffs have appealed the dismissal, and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the appeal remains pending. In 2014, the court in one of the Euroyen TIBOR lawsuits dismissed certain of the plaintiff&#8217;s claims, including </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">federal antitrust claims. In 2015, the same court dismissed plaintiff&#8217;s federal racketeering claims and affirmed its previous dismissal of plaintiff&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">antitrust claims. UBS and other defendants in other lawsuits including those related to EURIBOR, CHF LIBOR and GBP LIBOR have filed </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motions to dismiss.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-262</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_133">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Since September 2014, putative class actions have been filed in federal court in New York and New Jersey against UBS and other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial institutions, among others, on behalf of parties who entered into interest rate derivative transactions linked to ISDAFIX.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The complaints, which have since been consolidated into an amended complaint, allege that the
defendants conspired to manipulate </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">ISDAFIX rates from 1 January 2006 through January 2014, in violation of US antitrust laws and the CEA, among other theories, and seeks
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">unspecified compensatory damages, including treble damages. UBS and other defendants have filed a motion to dismiss, which remains pending.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:24pt;">Government bonds: </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Putative class actions have been filed in US federal courts against UBS and other banks on behalf of persons who </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">participated in markets for US Treasury securities since 2007. The complaints generally allege that the banks colluded with respect to and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">manipulated prices of US Treasury securities sold at auction. They assert claims under the antitrust laws and the CEA and for unjust enrichment. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The cases have been consolidated in the SDNY. Following filing of these complaints, UBS and reportedly other banks have received requests </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for information from various authorities regarding US Treasury securities and other government bond trading practices.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">With respect to additional matters and jurisdictions not encompassed by the settlements and order
referred to above, our balance sheet at </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">31 December 2015 reflected a provision in an amount that UBS believes to be appropriate under the applicable accounting standard.
As in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">case of other matters for which we have established provisions, the future outflow of resources in respect of such matters cannot be determined </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with certainty based on currently available information, and accordingly may ultimately prove to be substantially greater (or may be less) than </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the provision that we have recognized.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">6.&#8195;Swiss retrocessions</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Federal Supreme Court of Switzerland ruled in 2012, in a test case against UBS, that distribution fees paid to a firm for distributing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">third party and intra-group investment funds and structured products must be disclosed and surrendered to clients who have entered into a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">discretionary mandate agreement with the firm, absent a valid waiver.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">FINMA has issued a supervisory note to all Swiss banks in response to the Supreme Court decision. The note sets forth the measures </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Swiss banks are to adopt, which include informing all affected clients about the Supreme Court decision and directing them to an internal bank </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">contact for further details. UBS has met the FINMA requirements and has notified all potentially affected clients.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Supreme Court decision has resulted, and may continue to result, in a number of client
requests for UBS to disclose and potentially </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">surrender retrocessions. Client requests are assessed on a case-by-case basis. Considerations taken into account when
assessing these cases </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">include, among others, the existence of a discretionary mandate and whether or not the client documentation contained a valid waiver with </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">respect to distribution fees.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Our balance sheet at 31 December 2015 reflected a provision with respect to matters described in this item 6 in an amount that UBS </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">believes to be appropriate under the applicable accounting standard. The ultimate exposure will depend on client requests and the resolution </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">thereof, factors that are difficult to predict and assess. Hence, as in the case of other matters for which we have established provisions, the future </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">outflow of resources in respect of such matters cannot be determined with certainty based on currently available information, and accordingly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">7.&#8195;Banco UBS Pactual tax indemnity</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to the 2009 sale of Banco UBS Pactual S.A. (Pactual) by UBS to BTG Investments, LP
(BTG), BTG has submitted contractual</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">indemnification claims that UBS estimates
amount to approximately BRL 2.4 billion, including interest and penalties, which is net of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">liabilities retained by BTG. The claims pertain principally to several tax
assessments issued by the Brazilian tax authorities against Pactual </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">relating to the period from December 2006 through March 2009, when UBS owned Pactual. The majority of
these assessments relate to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">deductibility of goodwill amortization in connection with UBS&#8217;s 2006 acquisition of Pactual and payments made to Pactual employees
through </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">various profit-sharing plans. These assessments are being challenged in administrative and judicial proceedings. In May 2015, the administrative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">court issued a decision that was largely in favor of the tax authority with respect to the goodwill amortization assessment. This decision has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">been appealed.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-263</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_134">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">8. &#8195;Matters relating to the CDS market</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 2013, the EC issued a Statement of Objections against 13 credit default swap (CDS) dealers including UBS, as well as data service </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">provider Markit and the International Swaps and Derivatives Association (ISDA). The Statement of Objections broadly alleges that the dealers </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">infringed European Union antitrust rules by colluding to prevent exchanges from entering the credit derivatives market between 2006 and 2009. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">In December 2015, the EC issued a statement that it had decided to close its investigation against all 13 dealers, including UBS. The EC&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">investigation regarding Markit and ISDA is ongoing. Since mid-2009, the Antitrust Division of the DOJ has also been investigating whether </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">multiple dealers, including UBS, conspired with each other and with Markit to restrain competition in the markets for CDS trading, clearing and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other services. In 2014, putative class action plaintiffs filed consolidated amended complaints in the SDNY against 12 dealers, including UBS, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">as well as Markit and ISDA, alleging violations of the US Sherman Antitrust Act and common law. Plaintiffs allege that the defendants </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">unlawfully conspired to restrain competition in and / or monopolize the market for CDS trading in the US in order to protect the dealers&#8217; profits </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">from trading CDS in the over-the-counter market. In September 2015, UBS and the other defendants entered into settlement agreements to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">resolve the litigation, pursuant to which UBS has paid USD 75 million out of a total settlement amount paid by all defendants of approximately </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">USD 1.865 billion. The agreements have received preliminary court approval but are subject to final court approval.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Included by the Sponsor from the CFTC Website and not provided by UBS</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Commodity Futures Trading Commission (CFTC) on January 29, 2018 issued an Order filing and settling charges against UBS AG </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(UBS), requiring UBS to pay a $15 million civil monetary penalty and to undertake remedial relief. The Order finds that from January 2008 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">through at least December 2013, UBS, by and through the acts of certain precious metals traders on the spot desk (Traders), attempted to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">manipulate the price of precious metals futures contracts by utilizing a variety of manual spoofing techniques with respect to precious metals </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">futures contracts trading on the Commodity Exchange, Inc. (COMEX), including gold and silver, and by trading in a manner to trigger customer </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">stop-loss orders.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Goldman Sachs International (&#8220;GSI&#8221;)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Goldman Sachs International is a subsidiary of The Goldman Sachs Group, Inc. (&#8220;Group, Inc.&#8221;). From time to time, Group, Inc. (and its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">subsidiaries, including Goldman Sachs International), its officers and employees are involved in proceedings and receive inquiries, subpoenas </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and notices of investigation relating to various aspects of its business some of which result in sanction. Details are set out in Goldman Sachs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">International&#8217;s entry on the FCA/PRA Financial Services Register (https://register.fca.org.uk/ShPo_HomePage), Goldman Sachs International&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial statements and Group Inc.&#8217;s various regulatory filings under applicable laws and regulations, Forms 10-K and 10-Q and periodic </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">filings pursuant to the U.S. Securities Exchange Act of 1934 (http://www.goldmansachs.com/investor-relations/financials/). Goldman Sachs </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">International is registered in the US with National Futures Association (NFA) as a provisionally registered Swap Dealer.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The disclosures below are extracts from Group Inc&#8217;s financial statements dating back five
years available on the GS website:</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The firm is involved in a number of judicial,
regulatory and arbitration proceedings (including those described below) concerning matters </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">arising in connection with the conduct of the firm&#8217;s businesses. Many of
these proceedings are in early stages, and many of these cases seek an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">indeterminate amount of damages.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Malaysia Development Berhad (1MDB)-Related Matters</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The firm has received subpoenas and requests for documents and information from various governmental and regulatory bodies and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">self-regulatory organizations as part of investigations and reviews relating to financing transactions and other matters involving 1MDB, a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sovereign wealth fund in Malaysia. Subsidiaries of the firm acted as arrangers or purchasers of approximately $6.5 billion of debt securities of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1MDB. On November 1, 2018, the U.S. Department of Justice (DOJ) unsealed a criminal information and guilty plea by Tim Leissner, a former </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">participating managing director of the firm, and an indictment against Ng Chong Hwa, a former managing director of the firm, and Low Taek </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Jho. Leissner pleaded guilty to a two-count criminal information charging him with conspiring to launder money and conspiring to violate the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. Foreign Corrupt Practices Act&#8217;s (FCPA) anti-bribery and internal accounting controls provisions. Low and Ng were charged in a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">three-count indictment with conspiring to launder money and conspiring to violate the FCPA&#8217;s anti-bribery provisions. On August 28, 2018, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Leissner&#8217;s guilty plea was accepted by the U.S. District Court for the Eastern District of New York and Leissner was adjudicated guilty on both </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">counts. Ng was also charged in this indictment with conspiring to violate the FCPA&#8217;s internal accounting controls provisions. The charging </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">documents state, among other things, that Leissner and Ng participated in a conspiracy to misappropriate proceeds of the 1MDB offerings for </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-264</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_135"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">themselves and to pay bribes to various government
officials to obtain and retain 1MDB business for the firm. The plea and charging documents </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">indicate that Leissner and Ng knowingly and willfully circumvented the
firm&#8217;s system of internal accounting controls, in part by repeatedly </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">lying to control personnel and internal committees that reviewed these offerings. The indictment
of Ng and Low alleges that the firm&#8217;s system of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">internal accounting controls could be easily circumvented and that the firm&#8217;s business culture, particularly in
Southeast Asia, at times prioritized </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">consummation of deals ahead of the proper operation of its compliance functions. On May 6, 2019, Ng pleaded not guilty to the
DOJ&#8217;s criminal </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">charges. On February 4, 2020, the FRB disclosed that Andrea Vella, a former participating managing director whom the DOJ had previously </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">referred to as an unindicted co-conspirator, had agreed, without admitting or denying the FRB&#8217;s allegations, to a consent order that prohibited </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">him from participating in the banking industry. No other penalties were imposed by the consent order. On December 17, 2018, the Attorney </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">General of Malaysia filed criminal charges in Malaysia against Goldman Sachs International (GSI), as the arranger of three offerings of debt </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">securities of 1MDB, aggregating approximately $6.5 billion in principal amount, for alleged disclosure deficiencies in the offering documents </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relating to, among other things, the use of proceeds for the debt securities, as well as against Goldman Sachs (Asia) LLC (GS Asia) and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Goldman Sachs (Singapore) PTE (GS Singapore). Criminal charges have also been filed against Leissner, Low, Ng and Jasmine Loo Ai Swan. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">In a related press release, the Attorney General of Malaysia indicated that prosecutors in Malaysia will seek criminal fines against the accused in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">excess of $2.7 billion plus the $600 million of fees received in connection with the debt offerings. On August 9, 2019, the Attorney General of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Malaysia announced that criminal charges had also been filed against seventeen current and former directors of GSI, GS Asia and GS Singapore. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The Malaysia Securities Commission issued notices to show cause against Goldman Sachs (Malaysia) Sdn Bhd (GS Malaysia) in December </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2018 and March 2019 that (i) allege possible violations of Malaysian securities laws and (ii) indicate that the Malaysia Securities Commission is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">considering whether to revoke GS Malaysia&#8217;s license to conduct corporate finance and fund management activities in Malaysia. The firm has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">received multiple demands, beginning in November 2018, from alleged shareholders under Section 220 of the Delaware General Corporation </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Law for books and records relating to, among other things, the firm&#8217;s involvement with 1MDB and the firm&#8217;s compliance procedures. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">December 13, 2019, an alleged shareholder filed a lawsuit in the Court of Chancery of the State of Delaware seeking books and records relating </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to, among other things, the firm&#8217;s involvement with 1MDB and the firm&#8217;s compliance procedures. On February 19, 2019, a purported </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">shareholder derivative action relating to 1MDB was filed in the U.S. District Court for the Southern District of New York against Group Inc. and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the directors at the time and a former chairman and chief executive officer of the firm. The amended complaint filed on July 12, 2019, which </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">seeks unspecified damages, disgorgement and injunctive relief, alleges breaches of fiduciary duties, including in connection with alleged insider </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading by certain current and former directors, unjust enrichment and violations of the anti-fraud provisions of the Exchange Act, including in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">connection with Group Inc.&#8217;s common stock repurchases and solicitation of proxies. Defendants moved to dismiss this action on September 12, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2019. Beginning in March 2019, the firm has also received demands from alleged shareholders to investigate and pursue claims against certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">current and former directors and executive officers based on their oversight and public disclosures regarding 1MDB and related internal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">controls. On November 21, 2018, a summons with notice was filed in New York Supreme Court, County of New York, by International </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Petroleum Investment Company, which guaranteed certain debt securities issued by 1MDB, and its subsidiary Aabar Investments PJS. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">summons with notice makes unspecified claims relating to 1MDB and seeks unspecified compensatory and punitive damages and other relief </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against Group Inc., GSI, GS Asia, GS Singapore, GS Malaysia, Leissner, Ng, and Vella, as well as individuals (who are not current or former </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">employees of the firm) previously associated with the plaintiffs. On December 20, 2018, a putative securities class action lawsuit was filed in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">U.S. District Court for the Southern District of New York against Group Inc. and certain former officers of the firm alleging violations of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">anti-fraud provisions of the Exchange Act with respect to Group Inc.&#8217;s disclosures concerning 1MDB and seeking unspecified damages. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs filed the second amended complaint on October 28, 2019, which the defendants moved to dismiss on January 9, 2020. The firm is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cooperating with the DOJ and all other governmental and regulatory investigations relating to 1MDB. The firm is also engaged in discussions </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with certain governmental and regulatory authorities with respect to potential resolution of their investigations and proceedings. There can be no </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">assurance that the discussions will lead to resolution of any of those matters. Any such resolution, as well as proceedings by the DOJ or other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">governmental or regulatory authorities, could result in the imposition of significant fines, penalties and other sanctions against the firm, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">including restrictions on the firm&#8217;s activities.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Interest Rate Swap Antitrust Litigation</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Group Inc., GS&amp;Co., GSI, GS Bank USA and Goldman Sachs Financial Markets, L.P. (GSFM) are among the defendants named in a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">putative antitrust class action relating to the trading of interest rate swaps, filed in November 2015 and consolidated in the U.S. District Court for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Southern District of New York. The same Goldman Sachs entities also are among the defendants named in two antitrust actions relating to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the trading of interest rate swaps, commenced in April 2016 and June 2018, respectively, in the U.S. District Court for the Southern District of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">New York by three operators of swap execution facilities and certain of their affiliates. These actions have been consolidated for pretrial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings. The complaints generally assert claims under federal antitrust law and state common law in connection with an alleged conspiracy </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-265</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_136"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">among the defendants to preclude exchange trading of
interest rate swaps. The complaints in the individual actions also assert claims under state </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">antitrust law. The complaints seek declaratory and injunctive relief, as well
as treble damages in an unspecified amount. Defendants moved to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismiss the class and the first individual action and the district court dismissed the state common law
claims asserted by the plaintiffs in the first </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">individual action and otherwise limited the state common law claim in the putative class action and the antitrust claims in
both actions to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">period from 2013 to 2016. On November 20, 2018, the court granted in part and denied in part the defendants&#8217; motion to dismiss the second </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">individual action, dismissing the state common law claims for unjust enrichment and tortious interference, but denying dismissal of the federal </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and state antitrust claims. On March 13, 2019, the court denied the plaintiffs&#8217; motion in the putative class action to amend their complaint to add </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">allegations related to 2008-2012 conduct, but granted the motion to add limited allegations from 2013-2016, which the plaintiffs added in a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">fourth consolidated amended complaint filed on March 22, 2019. The plaintiffs in the putative class action moved for class certification on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">March 7, 2019.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Commodities-Related Litigation</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">GSI is among the defendants named in putative class actions relating to trading in platinum and
palladium, filed beginning on </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">November 25, 2014 and most recently amended on May 15, 2017, in the U.S. District Court for the Southern District of New York. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amended complaint generally alleges that the defendants violated federal antitrust laws and the Commodity Exchange Act in connection with an </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">alleged conspiracy to manipulate a benchmark for physical platinum and palladium prices and seek declaratory and injunctive relief, as well as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">treble damages in an unspecified amount. Defendants moved to dismiss the third consolidated amended complaint on July 21, 2017. GS&amp;Co., </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">GSI, J. Aron &amp; Company and Metro, a previously consolidated subsidiary of Group Inc. that was sold in the fourth quarter of 2014, are among </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the defendants in a number of putative class and individual actions filed beginning on August 1, 2013 and consolidated in the U.S. District Court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">for the Southern District of New York. The complaints generally allege violations of federal antitrust laws and state laws in connection with the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">storage of aluminum and aluminum trading. The complaints seek declaratory, injunctive and other equitable relief, as well as unspecified </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">monetary damages, including treble damages. In December 2016, the district court granted defendants&#8217; motions to dismiss as to all remaining </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims. Certain plaintiffs subsequently appealed in December 2016. On August 27, 2019, the Second Circuit vacated the district court&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">dismissals and remanded the case to district court for further proceedings.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Included by the Sponsor from the NFA Website and not provided by Goldman Sachs International:</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">TRS Case #17-001 (May 26, 2017) &#8211; Failure to report a canceled or amended transaction.
513-Cancelled trades and amended trade </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">information. Fine of $1,000.</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">BLB Case #161 (August 12, 2016) &#8211; For trade date June 2, 2016, Goldman Sachs International did not notify nor receive prior approval to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">offset an error trade as required under BSEF Rule 516. Fine of $1,250.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">For trade date March 13, 2020, GSI failed to report two Block Trades to BSEF within 10 minutes after the Participants agreed to and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">executed the terms of each Block Trade as required under BSEF Rule 531.A(d). Summary Notice of Fine ($1250), effective November 11, 2020.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Royal Bank of Canada (&#8220;RBC&#8221;)</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">RBC is a large global institution that is subject to many different complex legal and regulatory requirements that continue to evolve. RBC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">is and has been subject to a variety of legal proceedings, including civil claims and lawsuits, regulatory examinations, investigations, audits and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">requests for information by various governmental regulatory agencies and law enforcement authorities in various jurisdictions. Some of these </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">matters may involve novel legal theories and interpretations and may be advanced under criminal as well as civil statutes, and some proceedings </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">could result in the imposition of civil, regulatory enforcement or criminal penalties. RBC reviews the status of all proceedings on an ongoing </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">basis and will exercise judgment in resolving them in such manner as RBC believes to be in its best interest. This is an area of significant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgment and uncertainty and the extent of its financial and other exposure to these proceedings after taking into account current accruals could </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">be material to RBC&#8217;s results of operations in any particular period. The following is a description of RBC&#8217;s significant legal proceedings.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">LIBOR regulatory investigations and litigation</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Royal Bank of Canada and other U.S. dollar panel banks have been named as defendants in private lawsuits filed in the U.S. with respect </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">to the setting of U.S. dollar LIBOR including a number of class action lawsuits which have been consolidated before the U.S. District Court for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Southern District of New York. The complaints in those private lawsuits assert claims against us and other panel banks under various U.S. </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-266</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_137"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">laws, including U.S. antitrust laws, the U.S. Commodity
Exchange Act, and state law. In addition to the LIBOR actions, in January 2019, a </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">number of financial institutions, including Royal Bank of Canada and RBC Capital Markets
LLC, were named in a purported class action in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">New York alleging violations of the U.S. antitrust laws and common law principles of unjust enrichment in the setting of
LIBOR after the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Intercontinental Exchange took over administration of the benchmark interest rate from the British Bankers&#8217; Association in 2014. On March 26, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2020, Royal Bank of Canada and RBC Capital Markets LLC were dismissed from the purported class action in New York alleging violations of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the U.S. antitrust laws and common law principles of unjust enrichment in the setting of LIBOR after the Intercontinental Exchange took over </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">administration of the benchmark interest rate from the British Bankers&#8217; Association in 2014. On April 24, 2020, the plaintiffs filed a notice of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">appeal. Based on the facts currently known, it is not possible at this time for us to predict the ultimate outcome of these proceedings or the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">timing of their resolution.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Royal Bank of Canada Trust Company (Bahamas) Limited proceedings</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On April 13, 2015, a French investigating judge notified Royal Bank of Canada Trust Company (Bahamas) Limited (RBC Bahamas) of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the issuance of an ordonnance de renvoi referring RBC Bahamas and other unrelated persons to the French tribunal correctionnel to face the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">charge of complicity in estate tax fraud relating to actions taken relating to a trust for which RBC Bahamas serves as trustee. RBC Bahamas </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">believes that its actions did not violate French law and contested the charge in the French court. On January 12, 2017, the French court acquitted </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">all parties including RBC Bahamas, and on June 29, 2018, the French appellate court affirmed the acquittals. The acquittals were appealed and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the hearing took place in November 25, 2020. The court&#8217;s decision is expected to be issued in January 2021. On October 28, 2016, Royal Bank </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of Canada was granted an exemption by the U.S. Department of Labor that allows Royal Bank of Canada and its current and future affiliates to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">continue to qualify for the Qualified Professional Asset Manager (QPAM) exemption under the Employee Retirement Income Security Act </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">despite any potential conviction of RBC Bahamas in the French proceeding for a temporary one year period from the date of conviction. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">November 3, 2020, the Solicitor of Labor of the U.S. 210 Royal Bank of Canada: Annual Report 2020 Consolidated Financial Statements </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Department of Labor issued an opinion stating that a conviction under non-U.S. law is not a disqualifying event for purposes of the QPAM </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">exemption. Based on that opinion, any conviction in a French court would not trigger disqualification of Royal Bank of Canada and its current </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and future affiliates under the QPAM exemption.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">RBC Bahamas continues to review the trustee&#8217;s and the trust&#8217;s legal obligations, including liabilities and potential liabilities under </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">applicable tax and other laws. Based on the facts currently known, it is not possible at this time to predict the ultimate outcome of these matters; </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">however, we believe that the ultimate resolution will not have a material effect on our consolidated financial position, although it may be </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">material to our results of operations in the period it occurs.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Interchange fees litigation</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Since 2011, seven proposed class actions have been commenced in Canada: Bancroft-Snell v. Visa
Canada Corporation, et al., 9085-4886 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Quebec Inc. v. Visa Canada Corporation, et al., Coburn and Watson&#8217;s Metropolitan Home v. Bank of America Corporation, et al.
(Watson), </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Macaronies Hair Club and Laser Centre Inc. v. BofA Canada Bank, et al., 1023926 Alberta Ltd. v. Bank of America Corporation, et al., The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Crown &amp; Hand Pub Ltd. v. Bank of America Corporation, et al., and Hello Baby Equipment Inc. v. BofA Canada Bank, et al. The defendants in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">each action are VISA Canada Corporation (Visa), MasterCard International Incorporated (MasterCard), Royal Bank of Canada and other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial institutions. The plaintiff class members are Canadian merchants who accept Visa and/or MasterCard branded credit cards for payment. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The actions allege, among other things, that from March 2001 to the present, Visa and MasterCard conspired with their issuing banks and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">acquirers to set default interchange rates and merchant discount fees and that certain rules (Honour All Cards and No Surcharge) have the effect </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of increasing the merchant discount fees. The actions include claims of civil conspiracy, breach of the Competition Act (the Act), interference </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with economic relations and unjust enrichment. The claims seek unspecified general and punitive damages. In Watson, a decision to partially </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">certify the action as a class proceeding was released on March 27, 2014, and was appealed. On August 19, 2015, the British Columbia Court of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Appeal struck the plaintiff class representative&#8217;s cause of action under section 45 of the Competition Act and reinstated the plaintiff class </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">representative&#8217;s cause of action in civil conspiracy by unlawful means, among other rulings. In October 2016, the trial court in Watson denied a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion by the plaintiff to revive the stricken section 45 Act claim, and also denied the plaintiff&#8217;s motion to add new causes of action. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Supreme Court of Canada declined the B.C. class action plaintiffs&#8217; request to appeal the decision striking the plaintiffs&#8217; cause of action under </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">section 45 of the Competition Act. In October 2020, the parties agreed to adjourn the Watson trial.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In 9085-4886 Quebec Inc. v. Visa Canada Corporation, et al., the Quebec-court dismissed the Competition Act claims by Quebec </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">merchants for post-2010 damages and certified a class action as to the remaining claims. The merchants appealed and on July 25, 2019, the </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-267</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_138"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Quebec Court of Appeal allowed the appeal to also
authorize the merchants to proceed under section 45 of the Competition Act for claims after </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">March 12, 2010 and for claims under section 49 of the Competition
Act.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Foreign exchange matters</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Various regulators are conducting inquiries regarding potential violations of antitrust law by a number of banks, including Royal Bank of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Canada, regarding foreign exchange trading. Beginning in 2015, putative class actions were brought against Royal Bank of Canada and/or RBC </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Capital Markets, LLC in the United States and Canada. These actions were each brought against multiple foreign exchange dealers and allege, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">among other things, collusive behaviour in global foreign exchange trading.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In August 2018, the U.S. District Court entered a final order approving RBC Capital Markets&#8217; pending settlement with class plaintiffs. In </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">November 2018, certain institutional plaintiffs who had previously opted-out of participating in the settlement filed their own lawsuit in US </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">District Court. In May 2020, the US District Court dismissed Royal Bank of Canada from the November 2018 lawsuit brought by certain </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">institutional plaintiffs who had previously opted-out of participating in the August 2018 settlement with class plaintiffs. The Canadian class </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">actions and one other U.S. action that is purportedly brought on behalf of different classes of plaintiffs remain pending. Based on the facts </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">currently known, it is not possible at this time to predict the ultimate outcome of the Foreign Exchange Matters or the timing of their </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">ultimate resolution.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Panama Papers inquiries</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Following media reports on the contents of files misappropriated from a Panamanian-based law firm, Mossack Fonseca &amp; Co about </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">special purpose entities associated with that firm, regulatory, tax and enforcement authorities are conducting inquiries. The inquiries focus on, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">among other issues, the potential use of such entities by third parties to avoid tax and disclosure obligations. Royal Bank of Canada has </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">responded to information and document requests by a number of such authorities.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Inquiries on sales practices</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">RBC has received inquiries about its sales practices and related compensation arrangements. In
addition, in March 2017, the Financial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Consumer Agency of Canada announced that it will begin a review of sales practices in the Canadian federally regulated financial
sector. The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Office of the Superintendent of Financial Institutions is also involved in conducting this joint sales practices review. On March 20, 2018, the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Financial Consumer Agency of Canada (FCAC) released their industry report on its review of sales practices.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Other matters</font><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">RBC is a defendant in a number of other actions alleging that certain of its practices and actions were improper. The lawsuits involve a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">variety of complex issues and the timing of their resolution is varied and uncertain. Management believes that RBC will ultimately be successful </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in resolving these lawsuits, to the extent that RBC is able to assess them, without material financial impact to the Bank. This is, however, an area </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of significant judgment and the potential liability resulting from these lawsuits could be material to its results of operations in any </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">particular period.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Various other legal proceedings are pending that challenge certain of its other practices or
actions. While this is an area of significant </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">judgment and some matters are currently inestimable, RBC considers that the aggregate liability, to the extent that RBC is
able to assess it, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">resulting from these other proceedings will not be material to its consolidated financial position or results of operations.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Morgan Stanley &amp; Co. International PLC (MSIP or MSLplc)</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Morgan Stanley &amp; Co. International plc (&#8220;MSIplc&#8221;) is acting as a swap dealer for
ProShares Trust II. MSIplc is provisionally registered in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the U.S. with the National Futures Association (&#8220;NFA&#8221;) as a Swap Dealer (NFA ID: 0238917). The NFA
BASIC tool identifies one regulatory </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">action involving MSIplc:</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to an offer of settlement in which MSIplc neither admitted nor denied the rule violation upon which the penalty is based, on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 26, 2017, a Panel of the Chicago Board of Trade (&#8220;CBOT&#8221;) Business Conduct Committee (&#8220;BCC&#8221; or &#8220;Panel&#8221;) found that on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">October 26, 2015, MSIP facilitated the execution of two Exchange for Related Position (&#8220;EFRP&#8221;) transactions in the 10-Year U.S. Treasury </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Note futures market that were contingent upon each other for the purpose of rebalancing positions, which offset the related position without the </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-268</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_139"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">incurrence of material market risk. Additionally, the
Panel found that the quantity of the related position was not approximately equivalent to the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">quantity of the Exchange component of the EFRP. The Panel thus concluded that
MSIP thereby violated CBOT Rules 538.C. and 538.E. In </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">accordance with the settlement offer, the Panel ordered MSIP to pay a fine of $25,000.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">MSIplc is a wholly-owned subsidiary of Morgan Stanley (&#8220;MS&#8221; or the
&#8220;Firm&#8221;). MS files annual reports and quarterly reports in which it </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">discloses material information about legal proceedings, including actions brought by
regulatory organizations and government agencies, relating </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to its derivatives, securities and commodities business that allege various violations of federal and state
securities laws, including information </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">about any material litigation or regulatory investigation. Full details on the items noted below can be found at:
https://www.morganstanley.com/pub/content/msdotcom/en/about-us-ir/sec-filings.html</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">This disclosure does not include any new matters or updates to existing matters arising during or
after the second quarter of 2021. For </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">active matters initiated prior to the second quarter of 2021, updates were based on the matters&#8217; public U.S. state or federal
court dockets. Such </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">material litigation disclosure identifies the following matters relating to MSIplc:</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On July 15, 2010, China Development Industrial Bank (&#8220;CDIB&#8221;) filed a complaint
against the Firm, styled China Development Industrial </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Bank v. Morgan Stanley &amp; Co. Incorporated et al., which is pending in the Supreme Court of the State of New York,
New York County </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">(&#8220;Supreme Court of NY&#8221;). The complaint relates to a $275 million CDS referencing the super senior portion of the STACK 2006-1 CDO. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">complaint asserts claims for common law fraud, fraudulent inducement and fraudulent concealment and alleges that the Firm misrepresented the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">risks of the STACK 2006-1 CDO to CDIB, and that the Firm knew that the assets backing the CDO were of poor quality when it entered into the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">CDS with CDIB. The complaint seeks compensatory damages related to the approximately $228 million that CDIB alleges it has already lost </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">under the CDS, rescission of CDIB&#8217;s obligation to pay an additional $12 million, punitive damages, equitable relief, pre- and post-judgment </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">interest, fees and costs. On February 28, 2011, the court denied the Firm&#8217;s motion to dismiss the complaint. On December 21, 2018, the court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">denied the Firm&#8217;s motion for summary judgment and granted in part the Firm&#8217;s motion for sanctions related to the spoliation of evidence. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">January 18, 2019, CDIB filed a motion to clarify and resettle the portion of the court&#8217;s December 21, 2018 order granting spoliation sanctions. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">On January 24, 2019, CDIB filed a notice of appeal from the court&#8217;s December 21, 2018 order, and the Firm filed a notice of appeal from the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">same order. On March 7, 2019, the court denied the relief sought by CDIB in its January 18, 2019 motion. On May 21, 2020, the Appellate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Division, First Department (&#8220;First Department&#8221;), modified the Supreme Court of NY&#8217;s order to deny the Firm&#8217;s motion for sanctions relating to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">spoliation of evidence and otherwise affirmed the denial of the Firm&#8217;s motion for summary judgment. On June 19, 2020, the Firm moved for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">leave to appeal the First Department&#8217;s decision to the New York Court of Appeals (&#8220;Court of Appeals&#8221;), which the First Department denied on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">July 24, 2020.</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 11, 2011, an Italian financial institution, Banco Popolare Societ&#225; Cooperativa
(&#8220;Banco Popolare&#8221;), filed a civil claim against </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Firm in the Milan courts, styled Banco Popolare Societ&#225; Cooperativa v Morgan Stanley &amp; Co.
International plc &amp; others, related to its </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">purchase of &#8364;100 million of bonds issued by Parmalat. The claim asserted by Banco Popolare alleges, inter alia, that
the Firm was aware of </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Parmalat&#8217;s impending insolvency and conspired with others to deceive Banco Popolare into buying bonds by concealing both Parmalat&#8217;s true
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial condition and certain features of the bonds from the market and Banco Popolare. Banco Popolare seeks damages of &#8364;76 million </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(approximately $93 million) plus damages for loss of opportunity and moral damages. The Firm filed its answer on April 20, 2012. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 11, 2018, the court dismissed in full the claim against the Firm. On March 11, 2019, the plaintiff filed an appeal in the Court of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Appeal of Milan. On May 31, 2019, the Firm filed its response to the plaintiff&#8217;s appeal. The parties filed final submissions in the Court of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Appeal of Milan in November 2020. On February 2, 2021, the Firm was served with the Court of Appeal&#8217;s judgment, which partially upheld </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Banco Popolare&#8217;s appeal on limited grounds and awarded Banco Popolare approximately &#8364;2.3 million (approximately $2.8 million) in damages </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plus interest and certain legal and other expenses</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 22, 2017, the public prosecutor for the Court of Accounts for the Republic of Italy filed a claim against the Firm styled Case No. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2012/00406/MNV, which is pending in the Regional Prosecutor&#8217;s Office at the Judicial Section of the Court of Auditors for Lazio, Italy. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claim related to certain derivative transactions between the Republic of Italy and the Firm. The transactions were originally entered into between </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">1999 and 2005, and were restructured (and certain of the transactions were terminated) in December 2011 and January 2012. The claim alleged, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">inter alia, that the Firm effectively acted as an agent of the state in connection with these transactions and asserts claims related to, among other </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">things, whether the Ministry of Finance was authorized to enter into these transactions, whether the transactions were appropriate, and whether </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Firm&#8217;s conduct related to the termination of certain transactions was proper. The prosecutor sought damages through an administrative </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">process against the Firm for &#8364;2.76 billion (approximately $3.4 billion). On March 30, 2018, the Firm filed its defense to the claim. On June 15, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2018, the Court issued a decision declining jurisdiction and dismissing the claim against the Firm. A hearing of the public prosecutor&#8217;s appeal </font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-269</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_140"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">was held on January 10, 2019. On March 7, 2019, the
Appellate Division of the Court of Accounts for the Republic of Italy issued a decision </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">affirming the decision below declining jurisdiction and dismissing the claim
against the Firm. On April 19, 2019, the public prosecutor filed an </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">appeal with the Italian Supreme Court seeking to overturn this decision. On June 14, 2019, the Firm
filed its response to the public prosecutor&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">affirmed the earlier decisions that the Court of Accounts lacked jurisdiction to hear the claim against the Firm,
thereby dismissing the public </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">prosecutor&#8217;s claim against the Firm</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In matters styled Case number 15/3637 and Case number 15/4353, the Dutch Tax Authority (&#8220;Dutch Authority&#8221;) is challenging in the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Dutch courts the prior set-off by the Firm of approximately &#8364;124 million (approximately $152 million) plus accrued interest of withholding tax </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">credits against the Firm&#8217;s corporation tax liabilities for the tax years 2007 to 2013. The Dutch Authority alleges that the Firm was not entitled to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">receive the withholding tax credits on the basis, inter alia, that a Firm subsidiary did not hold legal title to certain securities subject to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">withholding tax on the relevant dates. The Dutch Authority has also alleged that the Firm failed to provide certain information to the Dutch </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authority and keep adequate books and records. On April 26, 2018, the District Court in Amsterdam issued a decision dismissing the Dutch </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authority&#8217;s claims with respect to certain of the tax years in dispute. On May 12, 2020, the Court of Appeal in Amsterdam granted the Dutch </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Authority&#8217;s appeal in matters re-styled Case number 18/00318 and Case number 18/00319. On June 22, 2020, the Firm filed an appeal against </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the decision of the Court of Appeal in Amsterdam before the Dutch High Court.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On October 5, 2017, various institutional investors filed a claim against the Firm and another bank in a matter now styled Case number </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">B-803-18 (previously BS 99-6998/2017), in the City Court of Copenhagen, Denmark concerning their roles as underwriters of the initial public </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">offering (&#8220;IPO&#8221;) in March 2014 of the Danish company OW Bunker A/S. The claim seeks damages of approximately DKK 529 million </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">(approximately $87 million) plus interest in respect of alleged losses arising from investing in shares in OW Bunker, which entered into </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">bankruptcy in November 2014. Separately, on November 29, 2017, another group of institutional investors joined the Firm and another bank as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants to pending proceedings in the High Court of Eastern Denmark against various other parties involved in the IPO in a matter styled </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Case number B-2073-16. The claim brought against the Firm and the other bank has been given its own Case number B-2564-17. The investors </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claim damages of approximately DKK 767 million (approximately $126 million) plus interest, from the Firm and the other bank on a joint and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">several basis with the Defendants to these proceedings. Both claims are based on alleged prospectus liability; the second claim also alleges </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">professional liability of banks acting as financial intermediaries. On June 8, 2018, the City Court of Copenhagen, Denmark ordered that the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">matters now styled Case number B-803-18, B-2073-16 and Case number B-2564-17 be heard together before the High Court of Eastern </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Denmark. On June 29, 2018, the Firm filed its defense to the matter now styled Case number B-2564-17. On February 4, 2019, the Firm filed its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defense to the matter now styled Case number B-803-18.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Beginning in February of 2016, the Firm was named as a defendant in multiple purported antitrust class actions now consolidated into a </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">single proceeding in the United States District Court for the Southern District of New York (&#8220;SDNY&#8221;) styled In Re: Interest Rate Swaps </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Antitrust Litigation. Plaintiffs allege, inter alia, that the Firm, together with a number of other financial institution defendants, violated U.S. and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">New York state antitrust laws from 2008 through December of 2016 in connection with their alleged efforts to prevent the development of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">electronic exchange based platforms for interest rates swaps trading. Complaints were filed both on behalf of a purported class of investors who </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">purchased interest rates swaps from defendants, as well as on behalf of two swap execution facilities that allegedly were thwarted by the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defendants in their efforts to develop such platforms. The consolidated complaints seek, among other relief, certification of the investor class of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">plaintiffs and treble damages. On July 28, 2017, the court granted in part and denied in part the defendants&#8217; motion to dismiss the complaints.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The following are extracts from MS&#8217;s filings on Form 10-Q throughout 2021, which relate to
MSIplc:</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">1Q 2021 10-Q</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Legal Proceedings</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The following developments have occurred since previously reporting certain matters in the
Firm&#8217;s 2020 Form 10-K and the Firm&#8217;s </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2021 (the &#8220;First Quarter Form 10-Q&#8221;).
See also the disclosures set </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">forth under &#8220;Legal Proceedings&#8221; in the 2020 Form 10-K and the First Quarter Form 10-Q.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Residential Mortgage and Credit Crisis Related Matter</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On March 22, 2021, the parties in China Development Industrial Bank v. Morgan Stanley &amp; Co.
Incorporated entered into a settlement </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">agreement. On April 16, 2021, the court entered a stipulation of voluntary discontinuance, with prejudice.</font></div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-270</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_141"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">European
Matters</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Tax</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On January 29, 2021, the Advocate General of the Dutch High Court in matters re-styled Case
number 15/3637 and Case number 15/4353 </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">issued an advisory opinion on the Firm&#8217;s appeal, which rejected the Firm&#8217;s principal grounds of appeal. On February 11,
2021, the Firm and the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Dutch Tax Authority each responded to this opinion.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">2Q 2021 10-Q</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Legal Proceedings</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The following developments have occurred since previously reporting certain matters in the Firm&#8217;s 2020 Form 10-K, the Firm&#8217;s Quarterly </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Reports on Form 10-Q for the quarterly period ended March 31, 2021 (the &#8220;First Quarter Form 10-Q&#8221;) and the quarterly period ended June 30, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2021 (the &#8220;Second Quarter Form 10-Q&#8221;). See also the disclosures set forth under &#8220;Legal Proceedings&#8221; in the 2020 Form 10-K, the First Quarter </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Form 10-Q, and the Second Quarter Form 10-Q.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">European Matter</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On June 22, 2021, Dutch criminal authorities sought various documents in connection with an investigation of the Firm related to the civil </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">claims asserted by the Dutch Tax Authority in matters re-styled Case number 18/00318 and Case number 18/00319, concerning the accuracy of </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Dutch subsidiary&#8217;s tax returns and the maintenance of its books and records for 2007 to 2012.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">MSIplc does not file its own periodic reports with the U.S. Securities and Exchange Commission. However, MSIplc files periodic </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial statements including with the U.K. Financial Conduct Authority (the &#8220;FCA&#8221;), which include current descriptions of litigations, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings, and investigations which are considered material to MSIplc.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The following is an extract from MSIplc&#8217;s financial statements for the year ended 31 December 2020 (the &#8220;Group&#8221; includes MSIplc and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">its subsidiaries):</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:24pt;">Litigation matters</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In addition to the matters described below, in the normal course of business, the Group has been named, from time to time, as a defendant </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">in various legal actions, including arbitrations, class actions and other litigation, arising in connection with its activities as a global diversified </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial services institution. Certain of the actual or threatened legal actions include claims for substantial compensatory and/or punitive </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">damages or claims for indeterminate amounts of damages. In some cases, the entities that would otherwise be the primary defendants in such </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">cases are bankrupt or are in financial distress.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Group is also involved, from time to time, in other reviews, investigations and proceedings (both formal and informal) by </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">governmental and self-regulatory agencies regarding the business, and involving, among other matters, sales and trading activities, financial </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">products or offerings sponsored, underwritten or sold by the Group, and accounting and operational matters, certain of which may result in </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">adverse judgments, settlements, fines, penalties, injunctions or other relief.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Group contests liability and/or the amount of damages as appropriate in each pending matter. Where available information indicates </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">that it is probable a liability had been incurred at the date of the consolidated financial statements and the Group can reasonably estimate the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">amount of that loss, the Group accrues the estimated loss by a charge to income. The future legal expenses may fluctuate from period to period, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">given the current environment regarding government investigations and private litigation affecting global financial services firms, including </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Group.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In many
proceedings and investigations, however, it is inherently difficult to determine whether any loss is probable or even possible, or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to estimate the amount of any loss. The
Group cannot predict with certainty if, how or when such proceedings or investigations will be resolved </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">or what the eventual settlement, fine, penalty or other relief, if
any, may be, particularly for proceedings and investigations where the factual </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">record is being developed or contested or where plaintiffs or government entities seek
substantial or indeterminate damages, restitution, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">disgorgement or penalties. Numerous issues may need to be resolved before a loss or additional loss or range of loss or
additional range of loss </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-271</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_142">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">can be
reasonably estimated for a proceeding or investigation, including through potentially lengthy discovery and determination of important </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">factual matters, determination of
issues related to class certification and the calculation of damages or other relief, and by addressing novel or </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">unsettled legal questions relevant to the proceedings or
investigations in question.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Subject to the foregoing, the Group believes, based on
current knowledge and after consultation with counsel, that the outcome of such </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings and investigations will not have a material adverse effect on the financial
condition of the Group, although the outcome of such </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings or investigations could be material to the Group&#8217;s operating results and cash flows for a particular
period depending on, among </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">other things, the level of the Group&#8217;s revenues or income for such period.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">While the Group has identified below certain proceedings that the Group believes to be material,
individually or collectively, there can be </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">no assurance that additional material losses will not be incurred from claims that have not yet been asserted or are not yet
determined to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">be material.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On 15 July 2010, China Development Industrial Bank (&#8220;CDIB&#8221;) filed a complaint against the Group and another Morgan Stanley Group </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">affiliate, styled China Development Industrial Bank v. Morgan Stanley &amp; Co. Incorporated et al., which is pending in the Supreme Court of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">State of New York, New York County (&#8220;Supreme Court of NY&#8221;). The complaint relates to a $275 million credit default swap (&#8220;CDS&#8221;) </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">referencing the super senior portion of the STACK 2006-1 collateralised debt obligation (&#8220;CDO&#8221;). The complaint asserts claims for common </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">law fraud, fraudulent inducement and fraudulent concealment and alleges that the Group and another Morgan Stanley Group affiliate </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that the Group and another Morgan Stanley Group affiliate knew that the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">assets backing the CDO were of poor quality when it entered into the CDS with CDIB. The complaint seeks compensatory damages related to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the approximately $228 million that CDIB alleges it has already lost under the CDS, rescission of CDIB&#8217;s obligation to pay an additional $12 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million, punitive damages, equitable relief, pre- and post-judgment interest, fees and costs. On 28 February 2011, the court denied the Group&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">and another Morgan Stanley Group affiliate&#8217;s motion to dismiss the complaint. On 21 December 2018, the court denied the Group&#8217;s and another </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Morgan Stanley Group affiliate&#8217;s motion for summary judgment and granted in part the Group&#8217;s and another Morgan Stanley Group affiliate&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion for sanctions related to the spoliation of evidence. On 18 January 2019, CDIB filed a motion to clarify and resettle the portion of the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">court&#8217;s 21 December 2018 order granting spoliation sanctions. On 24 January 2019, CDIB filed a notice of appeal from the court&#8217;s 21 December </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2018 order, and the Group and another Morgan Stanley Group affiliate filed a notice of appeal from the same order. On 7 March 2019, the court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">denied the relief sought by CDIB in its 18 January 2019 motion. On 21 May 2020, the Appellate Division, First Department (&#8220;First </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Department&#8221;), modified the Supreme Court of NY&#8217;s order` to deny the Group&#8217;s and another Morgan Stanley Group affiliate&#8217;s motion for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">sanctions relating to spoliation of evidence and otherwise affirmed the denial of the Group&#8217;s and another Morgan Stanley Group affiliate&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">motion for summary judgment. On 19 June 2020, the Group and another Morgan Stanley Group affiliate moved for leave to appeal the First </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Department&#8217;s decision to the New York Court of Appeals, which the First Department denied on 24 July 2020. On 22 March 2021, the parties </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">reached a settlement in this matter. On 5 April 2021, the parties filed a stipulation of voluntary discontinuance, dismissing the action </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">with prejudice.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On
11 October 2011, an Italian financial institution, Banco Popolare Societ&#225; Cooperativa (&#8220;Banco Popolare&#8221;), filed a civil claim against </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">the Group and
another Morgan Stanley Group affiliate in the Milan courts, styled Banco Popolare Societ&#225; Cooperativa v Morgan Stanley &amp; Co. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">International plc &amp;
others,related to its purchase of &#8364;100 million of bonds issued by Parmalat. The claim asserted by Banco Popolare alleges, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">inter alia, that the Group and another
Morgan Stanley Group affiliate were aware of Parmalat&#8217;s impending insolvency and conspired with others </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to deceive Banco Popolare into buying bonds by concealing both
Parmalat&#8217;s true financial condition and certain features of the bonds from the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">market and Banco Popolare. Banco Popolare seeks damages of &#8364;76 million
(approximately $93 million) plus damages for loss of opportunity </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">and moral damages. The Group and another Morgan Stanley Group affiliate filed their answer on 20 April
2012. On 11 September 2018, the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">court dismissed in full the claim against the Group and another Morgan Stanley Group affiliate. On 11 March 2019, the plaintiff filed an
appeal </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">in the Court of Appeal of Milan. On 31 May 2019, the Group and another Morgan Stanley Group affiliate filed their response to the plaintiff&#8217;s </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">appeal. The parties filed final submissions in the Court of Appeal of Milan in November 2020. On 2 February 2021, the Group and another </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Morgan Stanley Group affiliate were served with the Court of Appeal&#8217;s judgment, which partially upheld Banco Popolare&#8217;s appeal on limited </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">grounds and awarded Banco Popolare approximately &#8364;2.3 million (approximately $2.8 million) in damages plus interest and certain legal and </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">other expenses.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On
22 June 2017, the public prosecutor for the Court of Accounts for the Republic of Italy filed a claim against the Group styled Case No. </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2012/00406/MNV, which is pending in
the Regional Prosecutor&#8217;s Office at the Judicial Section of the Court of Auditors for Lazio, Italy. The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">claim related to certain derivative transactions between the
Republic of Italy and the Group and another Morgan Stanley Group affiliate. The </font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-272</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_143">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions
were originally entered into between 1999 and 2005, and were restructured (and certain of the transactions were terminated) in </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">December 2011 and January 2012. The claim
alleged, inter alia, that the Group effectively acted as an agent of the state in connection with these </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions and asserts claims related to, among other things,
whether the Ministry of Finance was authorised to enter into these transactions, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">whether the transactions were appropriate, and whether the Group&#8217;s conduct related
to the termination of certain transactions was proper. The </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">prosecutor sought damages through an administrative process against the Group for &#8364;2.76 billion
(approximately $3.4 billion). On 30 March </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2018, the Group filed its defence to the claim. On 15 June 2018, the Court issued a decision declining jurisdiction and
dismissing the claim </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">against the Group. A hearing of the public prosecutor&#8217;s appeal was held on 10 January 2019. On 7 March 2019, the Appellate Division of the
</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Court of Accounts for the Republic of Italy issued a decision affirming the decision below declining jurisdiction and dismissing the claim </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">against the Group. On 19 April 2019, the public prosecutor filed an appeal with the Italian Supreme Court seeking to overturn this decision. On </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">14 June 2019, the Group filed its response to the public prosecutor&#8217;s appeal. On 17 November 2020, an appeal hearing took place before the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Italian Supreme Court. On 1 February 2021, the Italian Supreme Court affirmed the earlier decisions that the Court of Accounts lacked </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">jurisdiction to hear the claim against the Group, thereby dismissing the public prosecutor&#8217;s claim against the Group.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">In matters styled Case number 15/3637 and Case number 15/4353, the Dutch Tax Authority
(&#8220;Dutch Authority&#8221;) is challenging in the </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Dutch courts the prior set-off by a subsidiary undertaking of the Group of approximately &#8364;124 million
(approximately $152 million) plus </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">accrued interest of withholding tax credits against the subsidiary undertaking of the Group&#8217;s corporation tax liabilities for the
tax years 2007 to </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">2013. The Dutch Authority alleges that the subsidiary undertaking of the Group was not entitled to receive the withholding tax credits on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">basis, inter alia, that the subsidiary undertaking of the Group did not hold legal title to certain securities subject to withholding tax on the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">relevant dates. The Dutch Authority has also alleged that the subsidiary undertaking of the Group failed to provide certain information to the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Dutch Authority and keep adequate books and records. On 26 April 2018, the District Court in Amsterdam issued a decision dismissing the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Dutch Authority&#8217;s claims with respect to certain of the tax years in dispute. On 12 May 2020, the Court of Appeal in Amsterdam granted the </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">Dutch Authority&#8217;s appeal in matters re-styled Case number 18/00318 and Case number 18/00319. On 22 June 2020, the subsidiary undertaking </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of the Group filed an appeal against the decision of the Court of Appeal in Amsterdam before the Dutch High Court. The Group&#8217;s tax charge for </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">the period includes a tax expense of $212 million principally associated with the remeasurement of provisions for this matter, see note 8.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">On 5 October 2017, various institutional investors filed a claim against the Group and another
bank in a matter now styled Case number </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">B-803-18(previously BS 99-6998/2017), in the City Court of Copenhagen, Denmark concerning their roles as underwriters of the
initial public </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">offering (&#8220;IPO&#8221;) in March 2014 of the Danish company OW Bunker A/S. The claim seeks damages of DKK 534,270,456 (approximately $87 </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">million) plus interest in respect of alleged losses arising from investing in shares in OW Bunker, which entered into bankruptcy in November </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">2014. Separately, on 29 November 2017, another group of institutional investors joined the Group and another bank as defendants to pending </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">proceedings in the High Court of Eastern Denmark against various other parties involved in the IPO in a matter styled Case number B-2073-16. </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">The claim brought against the Group and the other bank has been given its own Case number B-2564-17. The investors claim damages of DKK </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">767,235,885 (approximately $126 million) plus interest, from the Group and the other bank on a joint and several basis with the defendants to </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">these proceedings. Both claims are based on alleged prospectus liability; the second claim also alleges professional liability of banks acting as </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">financial intermediaries. On 8 June 2018, the City Court of Copenhagen, Denmark ordered that the matters now styled Case number B-803-18, </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">B-2073-16 and Case number B-2564-17 be heard together before the High Court of Eastern Denmark. On 29 June 2018, the Group filed its </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defence to the matter now styled Case number B-2564-17. On 4 February 2019, the Group filed its defence to the matter now styled Case </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">number B-803-18.</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Group and other financial institutions are responding to a number of governmental
investigations and civil litigation matters related </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">to allegations of anticompetitive conduct in various aspects of the financial services industry, including the matter
described below.</font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Beginning in February of 2016, the Group and certain Morgan Stanley
Group affiliates were named as a defendant in multiple purported </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">antitrust class actions now consolidated into a single proceeding in the United States District Court for
the Southern District of New York styled </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">In Re: Interest Rate Swaps Antitrust Litigation. Plaintiffs allege, inter alia, that the Group and certain Morgan Stanley Group
affiliates, together </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">with a number of other financial institution defendants, violated United States and New York state antitrust laws from 2008 through December </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">of 2016 in connection with their alleged efforts to prevent the development of electronic exchange-based platforms for interest rates swaps </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">trading. Complaints were filed both on behalf of a purported class of investors who purchased interest rates swaps from defendants, as well as on </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">behalf of two swap execution facilities that allegedly were thwarted by the defendants in their efforts to develop such platforms. The </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">consolidated complaints seek, among other relief, certification of the investor class of plaintiffs and treble damages. On 28 July 2017, the court </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">granted in part and denied in part the motion to dismiss the complaints.</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-273</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_2c70cfea-3b9b-4c7e-805b-cbbaf21962a1_144"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="line-height:11.0pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;">Included by the Sponsor from the NFA website and not provided by MSIP</font></div>
<div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">Pursuant to an offer of settlement in which Morgan Stanley &amp; Co. International Plc
(&#8220;MSIP&#8221;) neither admitted nor denied the rule </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">violation upon which the penalty is based, on September 26, 2017, a Panel of the Chicago Board of Trade
(&#8220;CBOT&#8221;) Business Conduct </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">Committee (&#8220;BCC&#8221; or &#8220;Panel&#8221;) found that on October 26, 2015, MSIP facilitated the execution of two Exchange
for Related Position (&#8220;EFRP&#8221;) </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">transactions in the 10-Year U.S. Treasury Note futures market that were contingent upon each other for the purpose of rebalancing
positions, </font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;">which offset the related position without the incurrence of material market risk. Additionally, the Panel found that the quantity of the related </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">position was not approximately equivalent to the quantity of the Exchange component of the EFRP. The Panel thus concluded that MSIP thereby </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">violated CBOT Rules 538.C. and 538.E. In accordance with the settlement offer, the Panel ordered MSIP to pay a fine of $25,000, effective </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">September 28, 2017</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-274</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_1177034f-0ab0-4bc7-8632-c4f57c8cc945_1">
</A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="line-height:11.0pt;text-align:center;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-weight:bold;margin-left:0%;">APPENDIX A&#8212;GLOSSARY OF DEFINED
TERMS</font><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:11pt;"> </font></div> <div style="line-height:11.0pt;margin-top:8pt;text-align:left;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:24pt;">The Glossary of Defined Terms below defines certain of the terms and meanings used throughout this Prospectus. Each term also is </font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;">defined the first time it is used in this Prospectus.</font><font style="color:#000000;font-family:Times New Roman;font-size:1pt;font-weight:bold;line-height:1pt;">&#8195;</font></div>
<div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">1933 Act</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Securities Act of 1933, as amended</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">1934 Act</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Securities Exchange Act of 1934, as amended</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">1940 Act</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Investment Company Act of 1940, as amended</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Administrator</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The Bank of New York Mellon, as administrator for the Funds</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Advisers Act</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The Investment Advisers Act of 1940</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Authorized Participant</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Those who may purchase (</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:0.0%;">i.e</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">., create) or redeem Creation Units directly from the Funds</font></div> </div> </td> </tr>
<tr style="height:26pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Authorized Participant </font></div> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Agreement</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The agreement that is entered into between an Authorized Participant, the Sponsor and the Trust that </font></div>
<div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">allows an Authorized Participant to purchase or redeem Creation Units directly
from the Funds</font></div> </div> </td> </tr>
<tr style="height:26pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Authorized Participant </font></div> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Procedures Handbook</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">A handbook that details the procedures for placing and processing Purchase Orders and Redemption </font></div>
<div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Orders in Creation Units</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">BNYM</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The Bank of New York Mellon</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Business Day</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Any day on which the NAV of a specified Fund is determined.</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Cboe</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Chicago Board Options Exchange, Incorporated</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">CBOT</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Chicago Board of Trade</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">CEA</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Commodity Exchange Act, as amended</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">CFE</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Cboe Futures Exchange</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">CFTC</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">United States Commodity Futures Trading Commission</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">CME</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Chicago Mercantile Exchange</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Code</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Internal Revenue Code of 1986, as amended</font></div> </div> </td> </tr>
<tr style="height:26pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Creation Unit</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">A block of 25,000 or 50,000 Shares, as applicable, that is created for sale by the Trust to Authorized </font></div>
<div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Participants and/or submitted to the Trust for redemption by an Authorized
Participant.</font></div> </div> </td> </tr>
<tr style="height:26pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Currency Fund(s)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The UltraShort Australian Dollar Fund, the Ultra Euro Fund, the Short Euro Fund, the UltraShort Euro </font></div>
<div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Fund, the Ultra Yen Fund and/or the UltraShort Yen Fund</font></div> </div>
</td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Custodian</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The Bank of New York Mellon, as custodian for the Funds</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Distributor</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">SEI Investments Distribution Co., as distributor for the Funds</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Dodd-Frank Act</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Dodd-Frank Wall Street Reform and Consumer Protection Act</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">DSTA</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Delaware Statutory Trust Act</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">DTC</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Depository Trust Company</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">EMU</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">European Monetary Union</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">EU</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">European Union</font></div> </div> </td> </tr>
<tr style="height:26pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Exchange</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The exchange on which a Fund is primarily listed and traded (</font><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;font-style:italic;margin-left:0.0%;">i.e</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">., NYSE Arca or Cboe BZX Exchange, </font></div>
<div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Inc.)</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">FCM</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Futures Commission Merchant</font></div> </div> </td> </tr> </table> </div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-1</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_1177034f-0ab0-4bc7-8632-c4f57c8cc945_2"></A> <div style="page-break-after:always;"> <div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;">
<div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">1933 Act</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Securities Act of 1933, as amended</font></div> </div> </td> </tr>
<tr style="height:37pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Financial Instrument</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Instruments whose value is derived from the value of an underlying asset, rate, benchmark or an equity </font></div>
<div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">market volatility index, including futures contracts, swap agreements, forward
contracts, option contracts, </font></div> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">and other instruments.</font></div>
</div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">FINRA</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Financial Industry Regulatory Authority, Inc.</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Fund(s)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">One or more of the series of the Trust offered herein.</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Geared Funds</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The Ultra Funds, the UltraShort Funds and the Short Euro Fund</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Gold Subindex</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Gold Subindex</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ICE</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Intercontinental Exchange</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">IRS</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">United States Internal Revenue Service</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Matching Fund</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The VIX Futures Fund</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Natural Gas Funds</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The Ultra Natural Gas Fund and the UltraShort Natural Gas Fund</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Natural Gas Subindex</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Natural Gas Subindex</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">NAV</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Net Asset Value</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">NFA</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">National Futures Association</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">NSCC</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">National Securities Clearing Corporation</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">NYMEX</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">New York Mercantile Exchange</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">NYSE</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">New York Stock Exchange</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">NYSE Arca</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">NYSE Arca Equities, Inc.</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Other Fund</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">A series of the Trust that is not being offered pursuant to this Prospectus.</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">OTC</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Over-The-Counter</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">PDI</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProFunds Distributors, Inc.</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Position Limit Rules</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The requirement of U.S. commodities exchanges to establish corresponding speculative position limits.</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Precious Metals Fund(s)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The UltraShort Silver Fund and/or the UltraShort Gold Fund</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">PTP</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Publicly-traded partnership</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Reference Asset</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The underlying asset that is used to determine the value of a Financial Instrument.</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Regulations</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The income tax regulations promulgated under the Code.</font><font style="color:#000000;font-family:Times New Roman;font-size:9pt;line-height:11pt;margin-left:0.0%;">
</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">S&amp;P</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Standard &amp; Poor&#8217;s</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">SEC</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">United States Securities and Exchange Commission</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">SEI</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">SEI Investments Distribution Co.</font></div> </div> </td> </tr>
<tr style="height:26pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Shares</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Common units of beneficial interest that represent units of fractional undivided beneficial interest in and </font></div>
<div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ownership of the Funds.</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Short Fund</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Short Euro</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Silver Subindex</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Bloomberg Silver Subindex</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Sponsor</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShare Capital Management LLC</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Title VII</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Title VII of Dodd Frank</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Transfer Agent</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The Bank of New York Mellon, as transfer agent for the Funds</font></div> </div> </td> </tr> </table> </div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-2</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_1177034f-0ab0-4bc7-8632-c4f57c8cc945_3"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;"> <div style="margin-top:0.0%;">
<table style="empty-cells:show;margin-left:0%;width:100%;" cellpadding="0" cellspacing="0">
<tr style="height:11pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">1933 Act</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Securities Act of 1933, as amended</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Trust</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">ProShares Trust II</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Trust Agreement</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The Amended and Restated Trust Agreement of ProShares Trust II, as amended by Amendment No. 1.</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Trustee</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Wilmington Trust Company</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">U.K.</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">United Kingdom</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Ultra Fund(s)</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The Ultra Natural Gas Fund, the Ultra Euro Fund, and/or the Ultra Yen Fund</font></div> </div> </td> </tr>
<tr style="height:26pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">UltraShort Fund(s)</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">The UltraShort Natural Gas Fund, the UltraShort Australian Dollar Fund, the UltraShort Euro Fund, the </font></div>
<div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">UltraShort Yen Fund and/or the Precious Metals Funds</font></div> </div> </td>
</tr>
<tr style="height:15pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">U.S.</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">United States of America</font></div> </div> </td> </tr>
<tr style="height:15pt;">
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">VIX</font></div> </div> </td>
<td style="background-color:#FFFFFF;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Cboe Volatility Index</font></div> </div> </td> </tr>
<tr style="height:11pt;">
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:24.71%;"> <div style="line-height:11pt;"> <div style="margin-left:0%;margin-right:6.98%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">VIX Index</font></div> </div> </td>
<td style="background-color:azure;padding-bottom:4pt;padding-top:4pt;vertical-align:Top;width:75.29%;"> <div style="line-height:11pt;"> <div style="margin-left:2.29%;margin-right:0%;text-align:left;white-space:nowrap;"><font
style="color:#000000;font-family:Times New Roman;font-size:9pt;margin-left:0.0%;">Cboe Volatility Index</font></div> </div> </td> </tr> </table> </div> <div style="line-height:11.0pt;margin-top:3.0pt;text-align:left;"> </div> </div>
<div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;"> <div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-3</font></div> </div> </div> </div>
<div style="float:left;margin-bottom:5.0pt;width:100%;"> </div> <hr style="clear:both;margin:0.25pt;"> </div> <div> <div> <a name="xx_ac39c21a-28b0-44fe-b443-feed4fe133ee_1"></A> <div style="page-break-after:always;">
<div style="float:left;margin-left:6.05%;margin-top:102pt;width:522pt;z-index:-1;"> <div style="text-align:center;">
<img src="g313748covproshare.jpg" alt=" " style="height:29pt;width:133pt;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:10pt;">&#8201;</font> <br><font
style="color:#000000;font-family:Times New Roman;font-size:10pt;font-weight:bold;line-height:10pt;">(February ___, 2022)</font></div> </div> <div style="float:left;margin-left:6.05%;margin-top:6pt;width:522pt;">
<div style="line-height:10.0pt;text-align:right;"><font style="color:#000000;font-family:Times New Roman;font-size:10pt;line-height:10pt;">-4</font></div> </div> </div> </div> <div style="float:left;margin-bottom:5.0pt;width:100%;"> </div>
<hr style="clear:both;margin:0.25pt;"> </div>
<p style="margin-top:1em; margin-bottom:0em; page-break-before:always">
<HR SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">


<Center><DIV STYLE="width:8.5in" align="left">
 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>PART II </B></P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B>Information Not Required in Prospectus </B></P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Item 14. <B>Other Expenses of Issuance and Distribution.</B> </P>
<P STYLE="margin-top:6pt; margin-bottom:0pt; text-indent:4%; font-size:10pt; font-family:Times New Roman">The following chart reflects estimated amounts required to prepare and file this Registration Statement and complete the offering of the Shares
registered hereby. </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="76%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" ALIGN="center">


<TR>

<TD WIDTH="87%"></TD>

<TD VALIGN="bottom" WIDTH="8%"></TD>
<TD></TD>
<TD></TD>
<TD></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:8pt">
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" COLSPAN="2" ALIGN="center" STYLE="border-bottom:1.00pt solid #000000"><B>Approximate</B><br><B>Amount</B></TD>
<TD VALIGN="bottom">&nbsp;</TD></TR>


<TR BGCOLOR="#cceeff" STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">Securities and Exchange Commission Registration Fee</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">$</TD>
<TD VALIGN="bottom" ALIGN="right">&nbsp;</TD>
<TD NOWRAP VALIGN="bottom">(1)&nbsp;</TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">FINRA Filing Fee</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">$</TD>
<TD VALIGN="bottom" ALIGN="right">0</TD>
<TD NOWRAP VALIGN="bottom">&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">Printing Expenses</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">$</TD>
<TD VALIGN="bottom" ALIGN="right">15,000</TD>
<TD NOWRAP VALIGN="bottom">&nbsp;</TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">Fees of Certified Public Accountants</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">$</TD>
<TD VALIGN="bottom" ALIGN="right">7,500</TD>
<TD NOWRAP VALIGN="bottom">&nbsp;</TD></TR>
<TR BGCOLOR="#cceeff" STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">Fees of Counsel</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">$</TD>
<TD VALIGN="bottom" ALIGN="right">15,000</TD>
<TD NOWRAP VALIGN="bottom">&nbsp;</TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:1.00px solid #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">Total</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom">$</TD>
<TD VALIGN="bottom" ALIGN="right">&nbsp;</TD>
<TD NOWRAP VALIGN="bottom">(2)&nbsp;</TD></TR>
<TR STYLE="font-size:1px; ">
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:3.00px double #000000">&nbsp;</P></TD>
<TD VALIGN="bottom"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-top:3.00px double #000000">&nbsp;</P></TD>
<TD>&nbsp;</TD></TR>
</TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="4%" VALIGN="top" ALIGN="left">(1)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">Applicable registration fees have been deferred in accordance with Rules 456(d) and 457(u) under the Securities
Act and will be paid on an annual net basis no later than 90 days after the end of each fiscal year and are therefore not estimable at this time. </P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="4%" VALIGN="top" ALIGN="left">(2)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">Because an indeterminable amount of securities is covered by this Registration Statement, the total expenses in
connection with the issuance and distribution of the Shares are, therefore, not currently determinable. </P></TD></TR></TABLE> <P STYLE="margin-top:18pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Item 15. <B>Indemnification of
Directors and Officers.</B> </P> <P STYLE="margin-top:6pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">The amended and restated Trust Agreement of the Trust provides for, and as amended from <FONT STYLE="white-space:nowrap"><FONT
STYLE="white-space:nowrap">time-to-time,</FONT></FONT> will provide for, the indemnification of the Sponsor. The Sponsor (including Covered Persons as will be provided under each amended and restated Trust Agreement) shall be indemnified by the
Trust (or any Fund separately to the extent the matter in question relates to a single Fund or is otherwise disproportionate), against any losses, judgments, liabilities, expenses and amounts paid in settlement of any claims sustained by it in
connection with the defense or disposition of any action, suit or other proceeding, whether civil or criminal, before any court or administrative or legislative body, in which such Sponsor may be or may have been involved as a party or otherwise or
with which such Sponsor may be or may have been threatened, while in office or thereafter, by reason of any alleged act or omission as the Sponsor or by reason of his or her being or having been the Sponsor except with respect to any matter as to
which such Sponsor shall have been finally adjudicated in any such action, suit or other proceeding not to have acted in good faith in the reasonable belief that such Sponsor&#146;s action was in the best interests of the Trust and except that the
Sponsor shall not be indemnified against any liability to the Trust or its Shareholders by reason of willful misconduct or gross negligence of such Sponsor. </P>
<P STYLE="margin-top:18pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Item 16. <B>Exhibits.</B> </P> <P STYLE="margin-top:6pt; margin-bottom:0pt; text-indent:4%; font-size:10pt; font-family:Times New Roman">The following
documents (unless otherwise indicated) are filed herewith and made a part of this Registration Statement: </P> <P STYLE="margin-top:6pt; margin-bottom:0pt; text-indent:4%; font-size:10pt; font-family:Times New Roman">(a) Exhibits. The following
exhibits are filed herewith: </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" ALIGN="center">


<TR>

<TD WIDTH="6%"></TD>

<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD WIDTH="92%"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:8pt">
<TD VALIGN="bottom" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; border-bottom:1.00pt solid #000000; display:table-cell; font-size:8pt; font-family:Times New Roman; "><B>Exhibit<BR>Number</B></P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom" STYLE="border-bottom:1.00pt solid #000000"> <P STYLE="margin-top:0pt; margin-bottom:1pt; font-size:8pt; font-family:Times New Roman"><B>Description of Document</B></P></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">&nbsp;&nbsp;4.1</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="http://www.sec.gov/Archives/edgar/data/1415311/000119312508198079/dex42.htm">Amended and Restated Trust Agreement of ProShares Trust II(1) </A></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">&nbsp;&nbsp;4.1(a)</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="http://www.sec.gov/Archives/edgar/data/1415311/000119312520063298/d893516dex41a.htm">Amendment No.1 to Amended and Restated Trust Agreement of ProShares Trust II(6) </A></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">&nbsp;&nbsp;4.2</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="http://www.sec.gov/Archives/edgar/data/1415311/000119312520063298/d893516dex42.htm">Form of Authorized Participant Agreement(6) </A></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">&nbsp;&nbsp;5.1</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="d260053dex51.htm">Opinion of Richards, Layton&nbsp;&amp; Finger, P.A. as to legality </A></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">&nbsp;&nbsp;8.1</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="d260053dex81.htm">Opinion of Morgan, Lewis&nbsp;&amp; Bockius LLP as to income tax matters</A></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">10.1</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="http://www.sec.gov/Archives/edgar/data/1415311/000119312508179333/dex101.htm">Form of Sponsor Agreement(3) </A></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">10.2</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="http://www.sec.gov/Archives/edgar/data/1415311/000119312518284103/d599770dex102.htm">Form of Transfer Agency and Service Agreement(4) </A></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">10.3</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="http://www.sec.gov/Archives/edgar/data/1415311/000119312520063298/d893516dex103.htm">Form of Custodian Agreement(6) </A></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">10.4</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="http://www.sec.gov/Archives/edgar/data/1415311/000119312508237858/dex104.htm">Form of Distribution Agreement(2) </A></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">10.5</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="http://www.sec.gov/Archives/edgar/data/1415311/000119312508237858/dex105.htm">Form of Futures Account Agreement(2) </A></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">10.6</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="http://www.sec.gov/Archives/edgar/data/1415311/000119312511250376/d230073dex106.htm">Form of Institutional Master Futures Client Account Agreement(5) </A></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">10.7</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="http://www.sec.gov/Archives/edgar/data/1415311/000119312518284103/d599770dex107.htm">Form of Administration and Accounting Agreement(4) </A></TD></TR></TABLE>
 <p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center">II-1 </P>

</DIV></Center>


<p style="margin-top:1em; margin-bottom:0em; page-break-before:always">
<HR SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">


<Center><DIV STYLE="width:8.5in" align="left">

<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" ALIGN="center">


<TR>

<TD WIDTH="6%"></TD>

<TD VALIGN="bottom" WIDTH="4%"></TD>
<TD WIDTH="92%"></TD></TR>

<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">23.1</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="d260053dex51.htm">Consent of Richards, Layton&nbsp;&amp; Finger, P.A. (included in Exhibit 5.1) </A></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">23.2</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="d260053dex81.htm">Consent of Morgan, Lewis&nbsp;&amp; Bockius LLP (included in Exhibit 8.1) </A></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">23.3</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="d260053dex233.htm">Consent of PricewaterhouseCoopers LLP </A></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">24.1</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="#ii260053_pwr">Power of Attorney for Louis M. Mayberg and Michael L. Sapir (included on the signature page to this Registration Statement) </A></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="8"></TD>
<TD HEIGHT="8" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" NOWRAP> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; margin-left:1.00em; text-indent:-1.00em; font-size:10pt; font-family:Times New Roman">107</P></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><A HREF="d260053dexfilingfees.htm">Filing Fee Table </A></TD></TR>
</TABLE> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="4%" VALIGN="top" ALIGN="left">(1)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">Incorporated by reference to the Trust&#146;s Registration Statement, filed on September 18, 2008.
</P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="4%" VALIGN="top" ALIGN="left">(2)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">Incorporated by reference to the Trust&#146;s Registration Statement, filed on November 17, 2008.
</P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="4%" VALIGN="top" ALIGN="left">(3)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">Incorporated by reference to the Trust&#146;s Registration Statement, filed on August 15, 2008.
</P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="4%" VALIGN="top" ALIGN="left">(4)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">Incorporated by reference to the Trust&#146;s Form <FONT STYLE="white-space:nowrap">8-K,</FONT> filed on
September 26, 2018. </P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="4%" VALIGN="top" ALIGN="left">(5)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">Incorporated by reference to the Trust&#146;s Registration Statement filed, on September 16, 2011.
</P></TD></TR></TABLE>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="4%" VALIGN="top" ALIGN="left">(6)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">Incorporated by reference to the Trust&#146;s Registration Statement, filed on March 6, 2020.
</P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="4%" VALIGN="top" ALIGN="left">(b)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">Financial Statements. No financial statements are filed herewith. </P></TD></TR></TABLE>
<P STYLE="margin-top:18pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Item 17. <B>Undertakings.</B> </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">(a)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">The undersigned registrant hereby undertakes: </P></TD></TR></TABLE>
<P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="9%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">(1)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">To file, during any period in which offers or sales are being made, a post-effective amendment to this
registration statement; </P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="13%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">(i)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">To include any prospectus required by section 10(a)(3) of the Securities Act of 1933, as amended;
</P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="13%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">(ii)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">To reflect in the prospectus any facts or events arising after the effective date of the registration statement
(or the most recent post-effective amendment thereof) which, individually or in the aggregate, represent a fundamental change in the information set forth in the registration statement. </P></TD></TR></TABLE>
<P STYLE="margin-top:6pt; margin-bottom:0pt; margin-left:26%; font-size:10pt; font-family:Times New Roman">Notwithstanding the foregoing, any increase or decrease in volume of securities offered (if the total dollar value of securities offered would
not exceed that which was registered) and any deviation from the low or high end of the estimated maximum offering range may be reflected in the form of prospectus filed with the Commission pursuant to Rule 424(b) if, in the aggregate, the changes
in volume and price represent no more than a 20&nbsp;per cent change in the maximum aggregate offering price set forth in the &#147;Calculation of Registration Fee&#148; table in the effective registration statement; </P>
<P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="13%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">(iii)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">To include any material information with respect to the plan of distribution not previously disclosed in the
registration statement or any material change to such information in the registration statement; </P></TD></TR></TABLE> <P STYLE="margin-top:6pt; margin-bottom:0pt; margin-left:22%; font-size:10pt; font-family:Times New Roman"><I>Provided</I>,
<I>however</I>, that paragraphs (a)(1)(i), (a)(1)(ii) and (a)(1)(iii) of this section do not apply if the registration statement is on Form S&#150;3 or Form F&#150;3 and the information required to be included in a post-effective amendment by those
paragraphs is contained in reports filed with or furnished to the Commission by the registrant pursuant to section 13 or section 15(d) of the Securities Exchange Act of 1934 that are incorporated by reference in the registration statement, or is
contained in a form of prospectus filed pursuant to Rule 424(b) that is part of the registration statement. </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">(2)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">That, for the purpose of determining any liability under the Securities Act of 1933, each such post-effective
amendment shall be deemed to be a new registration statement relating to the securities offered therein, and the offering of such securities at that time shall be deemed to be the <I>bona fide </I>offering thereof. </P></TD></TR></TABLE>
<P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">(3)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">To remove from registration by means of a post-effective amendment any of the securities being registered which
remain unsold at the termination of the offering. </P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">(4)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">That, for the purpose of determining liability under the Securities Act of 1933 to any purchaser:
</P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="9%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">(i)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">If the registrant is relying on Rule 430B: </P></TD></TR></TABLE>
<P STYLE="margin-top:6pt; margin-bottom:0pt; margin-left:26%; font-size:10pt; font-family:Times New Roman">(A) Each prospectus filed by the registrant pursuant to Rule 424(b)(3) shall be deemed to be a part of the registration statement as of the
date the filed prospectus was deemed part of and included in the registration statement; and </P>
 <p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center">II-2 </P>

</DIV></Center>


<p style="margin-top:1em; margin-bottom:0em; page-break-before:always">
<HR SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">


<Center><DIV STYLE="width:8.5in" align="left">
 <P STYLE="margin-top:0pt; margin-bottom:0pt; margin-left:26%; font-size:10pt; font-family:Times New Roman">(B) Each prospectus required to be filed pursuant to Rule 424(b)(2), (b)(5), or (b)(7) as
part of a registration statement in reliance on Rule 430B relating to an offering made pursuant to Rule 415(a)(1)(i), (vii), or (x)&nbsp;for the purpose of providing the information required by section 10(a) of the Securities Act of 1933 shall be
deemed to be part of and included in the registration statement as of the earlier of the date such form of prospectus is first used after effectiveness or the date of the first contract of sale of securities in the offering described in the
prospectus. As provided in Rule 430B, for liability purposes of the issuer and any person that is at that date an underwriter, such date shall be deemed to be a new effective date of the registration statement relating to the securities in the
registration statement to which that prospectus relates, and the offering of such securities at that time shall be deemed to be the initial bona fide offering thereof. Provided, however, that no statement made in a registration statement or
prospectus that is part of the registration statement or made in a document incorporated or deemed incorporated by reference into the registration statement or prospectus that is part of the registration statement will, as to a purchaser with a time
of contract of sale prior to such effective date, supersede or modify any statement that was made in the registration statement or prospectus that was part of the registration statement or made in any such document immediately prior to such
effective date. </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="9%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">(5)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">That, for the purpose of determining liability of the registrant under the Securities Act of 1933 to any
purchaser in the initial distribution of the securities: </P></TD></TR></TABLE> <P STYLE="margin-top:6pt; margin-bottom:0pt; margin-left:22%; font-size:10pt; font-family:Times New Roman">The undersigned registrant undertakes that in a primary
offering of securities of the undersigned registrant pursuant to this registration statement, regardless of the underwriting method used to sell the securities to the purchaser, if the securities are offered or sold to such purchaser by means of any
of the following communications, the undersigned registrant will be a seller to the purchaser and will be considered to offer or sell such securities to such purchaser: </P> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="13%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">(i)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">Any preliminary prospectus or prospectus of the undersigned registrant relating to the offering required to be
filed pursuant to Rule 424; </P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="13%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">(ii)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">Any free writing prospectus relating to the offering prepared by or on behalf of the undersigned registrant or
used or referred to by the undersigned registrant; </P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="13%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">(iii)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">The portion of any other free writing prospectus relating to the offering containing material information about
the undersigned registrant or their securities provided by or on behalf of the undersigned registrant; and </P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="9%">&nbsp;</TD>
<TD WIDTH="4%" VALIGN="top" ALIGN="left">(iv)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">Any other communication that is an offer in the offering made by the undersigned registrant to the purchaser.
</P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">(b)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">The undersigned registrant hereby undertakes that, for purposes of determining any liability under the
Securities Act of 1933, each filing of the registrant&#146;s annual report pursuant to Section&nbsp;13(a) or Section&nbsp;15(d) of the Securities Exchange Act of 1934 (and, where applicable, each filing of an employee benefit plan&#146;s annual
report pursuant to Section&nbsp;15(d) of the Securities Exchange Act of 1934) that is incorporated by reference in the registration statement shall be deemed to be a new registration statement relating to the securities offered therein, and the
offering of such securities at that time shall be deemed to be the initial <I>bona fide </I>offering thereof. </P></TD></TR></TABLE> <P STYLE="font-size:6pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt" BORDER="0" CELLPADDING="0" CELLSPACING="0" WIDTH="100%">
<TR style = "page-break-inside:avoid">
<TD WIDTH="4%">&nbsp;</TD>
<TD WIDTH="5%" VALIGN="top" ALIGN="left">(c)</TD>
<TD ALIGN="left" VALIGN="top"> <P STYLE=" margin-top:0pt ; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman; " ALIGN="left">Insofar as indemnification for liabilities under the Securities Act of 1933 may be permitted to directors,
officers or persons controlling the registrant pursuant to the provisions described in Item 15 above, or otherwise, the registrant has been informed that in the opinion of the Securities and Exchange Commission such indemnification is against public
policy as expressed in the Act and is, therefore, unenforceable. In the event that a claim for indemnification against such liabilities (other than the payment by the registrant of expenses incurred or paid by a director, officer or controlling
person of the registrant in the successful defense of any such action, suit or proceeding) is asserted by such director, officer or controlling person in connection with the securities being registered, the registrant will, unless in the opinion of
their respective counsel the matter has been settled by controlling precedent, submit to a court of appropriate jurisdiction the question whether such indemnification by it is against public policy as expressed in the Act and will be governed by the
final adjudication of such issue. </P></TD></TR></TABLE>
 <p STYLE="margin-top:0pt;margin-bottom:0pt ; font-size:8pt">&nbsp;</P> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center">II-3 </P>

</DIV></Center>


<p style="margin-top:1em; margin-bottom:0em; page-break-before:always">
<HR SIZE="3" style="COLOR:#999999" WIDTH="100%" ALIGN="CENTER">


<Center><DIV STYLE="width:8.5in" align="left">
 <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman" ALIGN="center"><B><A NAME="sig1"></A>SIGNATURES </B></P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; text-indent:4%; font-size:10pt; font-family:Times New Roman">Pursuant to the requirements of the Securities Act of 1933, the Registrant has duly caused this Registration Statement on Form <FONT
STYLE="white-space:nowrap">S-1</FONT> to be signed on its behalf by the undersigned, thereunto duly authorized, in the city of Bethesda, State of Maryland, on the 14th day of February, 2022. </P>
<P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P><DIV ALIGN="right">
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="40%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt">


<TR>

<TD WIDTH="12%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="87%"></TD></TR>


<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" COLSPAN="3"><B>ProShares Trust II</B></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">By:</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"> <P STYLE="margin-top:0pt; margin-bottom:1pt; border-bottom:1px solid #000000; font-size:10pt; font-family:Times New Roman">/s/ Todd B. Johnson</P></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Name:</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">Todd B. Johnson</TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top">Title:</TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom">Principal Executive Officer</TD></TR>
</TABLE></DIV> <P STYLE="margin-top:12pt; margin-bottom:0pt; text-indent:4%; font-size:10pt; font-family:Times New Roman"><A NAME="ii260053_pwr"></A>Pursuant to the requirements of the Securities Act of 1933, this Registration
Statement on Form <FONT STYLE="white-space:nowrap">S-1</FONT> has been signed by the following persons in the capacities and on the date indicated. </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt">


<TR>

<TD WIDTH="38%"></TD>

<TD VALIGN="bottom"></TD>
<TD WIDTH="44%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="16%"></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">/s/ Todd B. Johnson</TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="top"><I>Principal&nbsp;Executive&nbsp;Officer</I></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top" ALIGN="center">February 14, 2022</TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:8pt">
<TD VALIGN="bottom"><FONT STYLE="font-size:10pt">Name: Todd B. Johnson</FONT></TD>
<TD VALIGN="bottom">&nbsp;&nbsp;</TD>
<TD VALIGN="bottom"></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">/s/ Edward Karpowicz</TD>
<TD VALIGN="bottom" ROWSPAN="2">&nbsp;&nbsp;</TD>
<TD VALIGN="top" ROWSPAN="2"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><I>Principal Financial Officer</I></P>
<P STYLE="margin-top:0pt; margin-bottom:1pt; font-size:10pt; font-family:Times New Roman"><I>Principal Accounting Officer</I></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top" ALIGN="center">February 14, 2022</TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:8pt">
<TD VALIGN="bottom"><FONT STYLE="font-size:10pt">Name: Edward Karpowicz</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE> <P STYLE="margin-top:12pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman">Each of the undersigned members of ProShare Capital Management LLC, the sponsor of the Registrant, hereby constitutes Todd B.
Johnson, Richard F. Morris, and Robert J. Borzone, Jr., individually and not jointly, his true and lawful attorneys-in-fact and agents, with full power of substitution and resubstitution, for him and in his name, place and stead, in any and all
capacities, to sign under the Securities Act of 1933, as amended (including post-effective amendments to the registration statement and any such related registration statements), and to file the same, with all exhibits thereto, and any other
documents in connection therewith, granting unto said attorneys-in-fact and agents full power and authority to do and perform each and every act and thing requisite and necessary to be done in and about the premises, as fully to all intents and
purposes as he might or could do in person, hereby ratifying and confirming that said attorneys-in-fact and agents, or their substitute or substitutes, may lawfully do or cause to be done by virtue hereof. </P>
<P STYLE="margin-top:12pt; margin-bottom:0pt; text-indent:4%; font-size:10pt; font-family:Times New Roman">Pursuant to the requirements of the Securities Act of 1933, this Registration Statement on Form <FONT STYLE="white-space:nowrap">S-1</FONT>
has been signed by the following persons on behalf of the Sponsor in the capacities and on the date indicated. </P> <P STYLE="font-size:12pt;margin-top:0pt;margin-bottom:0pt">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" WIDTH="100%" BORDER="0" STYLE="BORDER-COLLAPSE:COLLAPSE; font-family:Times New Roman; font-size:10pt">


<TR>

<TD WIDTH="38%"></TD>

<TD VALIGN="bottom"></TD>
<TD WIDTH="44%"></TD>

<TD VALIGN="bottom" WIDTH="1%"></TD>
<TD WIDTH="16%"></TD></TR>


<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">/s/ Louis M. Mayberg</TD>
<TD VALIGN="bottom" ROWSPAN="2">&nbsp;&nbsp;</TD>
<TD VALIGN="top" ROWSPAN="2"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><I>Member of the Sponsor</I></P>
<P STYLE="margin-top:0pt; margin-bottom:1pt; font-size:10pt; font-family:Times New Roman"><I>(Director)</I></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top" ALIGN="center">February 14, 2022</TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:8pt">
<TD VALIGN="bottom"><FONT STYLE="font-size:10pt">Name: Louis M. Mayberg</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
<TR STYLE="font-size:1pt">
<TD HEIGHT="16"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD>
<TD HEIGHT="16" COLSPAN="2"></TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:10pt">
<TD VALIGN="top" STYLE="BORDER-BOTTOM:1px solid #000000">/s/ Michael L. Sapir</TD>
<TD VALIGN="bottom" ROWSPAN="2">&nbsp;&nbsp;</TD>
<TD VALIGN="top" ROWSPAN="2"> <P STYLE="margin-top:0pt; margin-bottom:0pt; font-size:10pt; font-family:Times New Roman"><I>Member of the Sponsor</I></P>
<P STYLE="margin-top:0pt; margin-bottom:1pt; font-size:10pt; font-family:Times New Roman"><I>(Director)</I></P></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="top" ALIGN="center">February 14, 2022</TD></TR>
<TR STYLE="page-break-inside:avoid ; font-family:Times New Roman; font-size:8pt">
<TD VALIGN="bottom"><FONT STYLE="font-size:10pt">Name: Michael L. Sapir</FONT></TD>
<TD VALIGN="bottom">&nbsp;</TD>
<TD VALIGN="bottom"></TD></TR>
</TABLE>
</DIV></Center>

</BODY></HTML>
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{"company-data": {"conformed-name": "ProShares Trust II", "cik": "0001415311", "assigned-sic": "6221", "irs-number": "000000000", "state-of-incorporation": "DE", "fiscal-year-end": "1231"}, "filing-values": {"form-type": "S-1", "act": "33", "file-number": "333-262728", "film-number": "22635969"}, "business-address": {"street1": "7501 WISCONSIN AVE", "street2": "SUITE 1000", "city": "BETHESDA", "state": "MD", "zip": "20814", "phone": "240-497-6400"}, "mail-address": {"street1": "7501 WISCONSIN AVE", "street2": "SUITE 1000", "city": "BETHESDA", "state": "MD", "zip": "20814"}, "former-company": {"former-conformed-name": "Commodities & Currencies Trust", "date-changed": "20071016"}}
S-1
As filed with the Securities and Exchange Commission on February 14, 2022
Registration No. 333-
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
S-1
REGISTRATION STATEMENT
UNDER
THE
SECURITIES ACT OF 1933
PROSHARES TRUST II
(Exact name of registrant as specified in its charter)
Delaware
6221
87-6284802
(State of Organization)
(Primary Standard Industrial
Classification Code Number)
(I.R.S. Employer
Identification Number)
7272 Wisconsin Avenue
21st Floor
Bethesda,
Maryland 20814
(240)
497-6400
(Address, including zip code, and telephone number, including area code, of registrant's principal executive offices)
Michael L. Sapir
c/o
ProShare Capital Management LLC
7272 Wisconsin Avenue
21st Floor
Bethesda,
Maryland 20814
(240)
497-6400
(Name, address, including zip code, and telephone number, including area code, of agent for service)
Copies to:
Michael M. Philipp
c/o Morgan, Lewis & Bockius LLP
77 West Wacker Drive
Chicago, Illinois 60601
Richard F. Morris
c/o ProShare Capital Management LLC
7272 Wisconsin Avenue
21st Floor
Bethesda, MD
20814
Approximate date of commencement of proposed sale to the public:
As promptly as practicable after the effective date of this Registration Statement.
If any of the securities being registered on this Form are to be offered on a delayed or continuous basis pursuant to Rule 415 under the
Securities Act of 1933 check the following box:  ☒
If this Form is filed to register additional securities for an offering
pursuant to Rule 462(b) under the Securities Act, please check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering.  ☐
If this Form is a post-effective amendment filed pursuant to Rule 462(c) under the
Securities Act, check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering.  ☐
If this Form is a post-effective amendment filed pursuant to Rule 462(d) under the Securities Act, check the following box and list the
Securities Act registration statement number of the earlier effective registration statement for the same offering.  ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a
non-accelerated
filer, smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting
company," and "emerging growth company" in Rule
12b-2
of the Exchange Act.
ProShares VIX
Mid-Term
Futures ETF
Large accelerated filer
☐
Accelerated filer
☐
Non-accelerated
filer
☐
Smaller reporting company
☒
Emerging growth company
☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities Act.  ☐
ProShares Ultra Bloomberg
Natural Gas
Large accelerated filer
☐
Accelerated filer
☐
Non-accelerated
filer
☐
Smaller reporting company
☒
Emerging growth company
☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities Act.  ☐
ProShares UltraShort
Bloomberg Natural Gas
Large accelerated filer
☐
Accelerated filer
☐
Non-accelerated
filer
☐
Smaller reporting company
☒
Emerging growth company
☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities Act.  ☐
ProShares UltraShort Silver
Large accelerated filer
☐
Accelerated filer
☐
Non-accelerated
filer
☐
Smaller reporting company
☒
Emerging growth company
☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities Act.  ☐
ProShares UltraShort Gold
Large accelerated filer
☐
Accelerated filer
☐
Non-accelerated
filer
☐
Smaller reporting company
☒
Emerging growth company
☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities Act.  ☐
ProShares UltraShort
Australian Dollar
Large accelerated filer
☐
Accelerated filer
☐
Non-accelerated
filer
☐
Smaller reporting company
☒
Emerging growth company
☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended
transition period for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities Act.  ☐
ProShares Ultra Euro
Large accelerated filer
☐
Accelerated filer
☐
Non-accelerated
filer
☐
Smaller reporting company
☒
Emerging growth company
☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities Act.  ☐
ProShares Short Euro
Large accelerated filer
☐
Accelerated filer
☐
Non-accelerated
filer
☐
Smaller reporting company
☒
Emerging growth company
☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities Act.  ☐
ProShares UltraShort Euro
Large accelerated filer
☐
Accelerated filer
☐
Non-accelerated
filer
☐ (Do not check if a smaller reporting company)
Smaller reporting company
☒
Emerging growth company
☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities Act.  ☐
ProShares Ultra Yen
Large accelerated filer
☐
Accelerated filer
☐
Non-accelerated
filer
☐
Smaller reporting company
☒
Emerging growth company
☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities Act.  ☐
ProShares UltraShort Yen
Large accelerated filer
☐
Accelerated filer
☐
Non-accelerated
filer
☐
Smaller reporting company
☒
Emerging growth company
☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period
for complying with any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities Act.  ☐
The registrant hereby amends this Registration Statement on such date or dates as may be necessary to delay its effective date until the registrant shall
file a further amendment which specifically states that this Registration Statement shall thereafter become effective in accordance with Section 8(a) of the Securities Act of 1933 or until this Registration Statement shall become effective on
such date as the Commission, acting pursuant to said Section 8(a), may determine.
The information in
this Prospectus is not complete and may be changed. We may not sell these securities until the
registration statement filed with the Securities and
Exchange Commission is effective. This Prospectus is not an offer to
sell these securities and is not soliciting an offer to buy these securities in any
jurisdiction where the offer or sale is not
permitted.
Subject to completion, February 14,
2022
PROSHARES TRUST II
Common Units of Beneficial Interest
Fund
Benchmark
ProShares VIX Mid-Term Futures ETF (VIXM)
S&P 500
®
VIX Mid-Term Futures Index
ProShares Ultra Bloomberg Natural Gas (BOIL)
Bloomberg Natural Gas Subindex
SM
ProShares UltraShort Bloomberg Natural Gas (KOLD)
Bloomberg Natural Gas Subindex
SM
ProShares UltraShort Silver (ZSL)
Bloomberg Silver Subindex
SM
ProShares UltraShort Gold (GLL)
Bloomberg Gold Subindex
SM
ProShares UltraShort Australian Dollar (CROC)
The U.S. dollar price of the Australian dollar
ProShares Ultra Euro (ULE)
The U.S. dollar price of the euro
ProShares Short Euro (EUFX)
The U.S. dollar price of the euro
ProShares UltraShort Euro (EUO)
The U.S. dollar price of the euro
ProShares Ultra Yen (YCL)
The U.S. dollar price of the Japanese yen
ProShares UltraShort Yen (YCS)
The U.S. dollar price of the Japanese yen
ProShares Trust II (the "Trust") is a Delaware statutory trust organized into separate series. The Trust may from time to time offer to sell
common units of beneficial interest ("Shares") of any or all of the series of the Trust listed above (each, a "Fund" and collectively, the "Funds")
or other series of the Trust. Shares represent units of fractional undivided beneficial interest in and ownership of a series of the Trust. Each
Fund's Shares are offered on a continuous basis. With the exception of the Shares of the ProShares VIX Mid-Term Futures ETF, the Shares of
each Fund are listed for trading on NYSE Arca, Inc. under the ticker symbol shown above next to each Fund's name. The Shares of the
ProShares VIX Mid-Term Futures ETF are listed for trading on Cboe BZX Exchange, Inc. (collectively with the NYSE Arca, Inc., the
"Exchange"). Please note that the Trust has series other than the Funds.
The ProShares VIX Mid-Term Futures ETF seeks investment results, before fees and expenses, that match the performance of the S&P
500
®
VIX Mid-Term Futures Index (the "Index").
Each of the other Funds is "geared" (each, a "Geared Fund" and
collectively, the "Geared Funds") which means that each has an
investment objective to seek daily investment results, before fees and expenses, that correspond
either to a multiple (2x), the inverse (-1x) or an
inverse multiple (-2x) of the performance of a benchmark for a single day, not for any other period. The Geared Funds do
not seek to achieve
their stated investment objective over a period greater than a single day. A "single day" is measured from the time a Fund calculates its
respective net asset value ("NAV") to the time of the Fund's next NAV calculation. The NAV calculation times for the Funds typically range
from 7:00 a.m. to 4:15 p.m. (Eastern Time). Please see the section entitled "Summary-Creation and Redemption Transactions" for additional
details on the NAV calculation times for the Funds.
The Funds seek to achieve their respective investment objectives through the appropriate amount of exposure to its benchmark. Each
Fund also has the ability to engage in swap transactions, forward contracts, options contacts, and other instruments in order to achieve its
investment objective, in the manner and to the extent described herein. The Funds will not invest directly in any commodities or currencies.
-1
The ProShares VIX Mid-Term Futures ETF
may be referred to herein as the "VIX Futures Fund" or the "Matching Fund." The ProShares
Ultra Bloomberg Natural Gas (the "Ultra Natural Gas
Fund") and the ProShares UltraShort Bloomberg Natural Gas (the "UltraShort Natural
Gas Fund") may be collectively referred to as the "Natural Gas
Funds." The ProShares UltraShort Silver (the "UltraShort Silver Fund") and the
ProShares UltraShort Gold (the "UltraShort Gold Fund") may be
collectively referred to as the "Precious Metals Funds." The ProShares
UltraShort Australian Dollar (the "UltraShort Australian Dollar Fund"), the
ProShares Ultra Euro (the "Ultra Euro Fund"), the ProShares Short
Euro (the "Short Euro Fund" or the "Short Fund"), ProShares
UltraShort Euro (the "UltraShort Euro Fund"), the ProShares Ultra Yen (the
"Ultra Yen Fund") and the ProShares UltraShort Yen (the
"UltraShort Yen Fund") may be collectively referred to as the "Currency Funds." The
Ultra Natural Gas Fund, the Ultra Euro Fund and the Ultra Yen
Fund may be collectively referred to as the "Ultra Funds." The UltraShort
Natural Gas Fund, the UltraShort Australian Dollar Fund, the UltraShort Euro Fund,
the UltraShort Yen Fund and the Precious Metals Funds
may be collectively referred to as the "UltraShort Funds."
INVESTING IN THE SHARES INVOLVES SIGNIFICANT RISKS. PLEASE REFER TO "RISK FACTORS" BEGINNING
ON PAGE
13
.
THE FUNDS PRESENT SIGNIFICANT RISKS NOT APPLICABLE TO OTHER TYPES OF FUNDS. THE FUNDS ARE NOT
APPROPRIATE FOR ALL INVESTORS. THE VIX FUTURES FUND INCLUDES RISKS RELATING TO INVESTING IN AND
SEEKING EXPOSURE TO VIX FUTURES CONTRACTS. THE GEARED FUNDS THAT USE LEVERAGE ARE RISKIER THAN
SIMILARLY BENCHMARKED EXCHANGE-TRADED FUNDS THAT DO NOT USE LEVERAGE. AN INVESTOR SHOULD
ONLY CONSIDER AN INVESTMENT IN A GEARED FUND IF HE OR SHE UNDERSTANDS THE CONSEQUENCES OF
SEEKING DAILY LEVERAGED, DAILY INVERSE OR DAILY INVERSE LEVERAGED INVESTMENT RESULTS, INCLUDING
THE IMPACT OF COMPOUNDING ON GEARED FUND PERFORMANCE.
THE RETURN OF A GEARED FUND FOR A PERIOD LONGER THAN A SINGLE DAY
IS THE RESULT OF ITS RETURN
FOR EACH DAY COMPOUNDED OVER THE PERIOD AND USUALLY WILL DIFFER IN AMOUNT AND POSSIBLY EVEN
DIRECTION FROM THE GEARED FUND'S STATED MULTIPLE TIMES THE RETURN OF THE BENCHMARK FOR THE
SAME PERIOD. THESE DIFFERENCES CAN BE SIGNIFICANT.
THE FUNDS' INVESTMENTS MAY BE ILLIQUID AND/OR HIGHLY
VOLATILE AND THE FUNDS MAY EXPERIENCE
LARGE LOSSES FROM BUYING, SELLING OR HOLDING SUCH INVESTMENTS. AN INVESTOR IN ANY OF THE FUNDS
COULD POTENTIALLY LOSE THE FULL PRINCIPAL VALUE OF HIS/HER INVESTMENT WITHIN A SINGLE DAY.
SHAREHOLDERS WHO INVEST IN THE FUNDS SHOULD ACTIVELY MANAGE AND MONITOR THEIR INVESTMENTS,
AS FREQUENTLY AS DAILY.
The Short Euro Fund seeks daily investment results, before fees and expenses,
that correspond to the inverse (-1x) of the
performance of its benchmark for a single day, not for any other period. Each Ultra Fund seeks daily
investment results, before fees and
expenses, that correspond to two times (2x) the performance of its benchmark for a single day, not for any other
period. Each
UltraShort Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the
performance of its benchmark for a single day, not for any other period.
The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the
period and usually will differ in amount and possibly even direction from the Geared Fund's stated multiple times the return of the
Geared Fund's benchmark for the same period. Daily compounding of a Geared Fund's investment returns can dramatically and
adversely affect its longer-term performance especially during periods of high volatility. Volatility has a negative impact on Geared
Fund performance and the volatility of a Geared Fund's benchmark may be at least as important to a Geared Fund's return as the
return of the Fund's benchmark.
The Geared Funds that use leverage should produce returns for a single day that
are more volatile than those of its respective
benchmark. For example, the return for a single day of each of the Ultra Natural Gas Fund, the Ultra Euro
Fund and the Ultra Yen
Fund with its (2x) multiple should be approximately two times as volatile for a single day as the return of a fund with an
objective of
matching the same benchmark. The return for a single day of each of the UltraShort Natural Gas Fund, the UltraShort Silver Fund, the
-2
UltraShort Gold Fund, the UltraShort
Australian Dollar Fund, the UltraShort Euro Fund, and the UltraShort Yen Fund with a -2x
multiple should be approximately two times as volatile for a
single day as the inverse of the return of a fund with an objective of
matching the same benchmark.
THE VIX FUTURES FUND PRESENTS DIFFERENT RISKS THAN OTHER TYPES OF FUNDS, INCLUDING RISKS
RELATING TO INVESTING AND SEEKING EXPOSURE TO VIX FUTURES CONTRACTS. AN INVESTOR SHOULD ONLY
CONSIDER AN INVESTMENT IN THE VIX FUTURES FUND IF HE OR SHE UNDERSTANDS THE CONSEQUENCES OF
SEEKING EXPOSURE TO VIX FUTURES CONTRACTS. THE VIX FUTURES FUND GENERALLY IS INTENDED TO BE USED
ONLY FOR SHORT-TERM HORIZONS.
The VIX Futures Fund is benchmarked to the S&P 500 VIX Mid-Term Futures
Index. The VIX Futures Fund is not
benchmarked to the VIX Index (which is commonly referred to as the "VIX"). The S&P 500 VIX Mid-Term
Futures Index and the VIX
are two separate indices and can be expected to perform very differently.
The VIX is a non-investable index that measures the implied volatility of the S&P 500. For these purposes, "implied volatility" is
a measure of the expected volatility
(
i.e
., the rate and magnitude of
variations in performance) of the S&P 500 over the next 30 days.
The VIX does not represent the actual volatility of the S&P 500. The VIX is
calculated based on the prices of a constantly changing
portfolio of S&P 500 put and call options. The S&P 500 VIX Mid-Term Futures Index, the
index used by the VIX Futures Fund,
consists of mid-term VIX futures contracts. As such, the performance of the Index can be expected to be very different
from the actual
volatility of the S&P 500 or the performance of the VIX. As a result, the performance of the Funds also can be expected to be very
different from the actual volatility of the S&P 500 or the performance of the VIX.
Unlike certain other asset classes that, in general, have historically increased in price over long periods of time, the volatility of
the S&P 500 as measured by the VIX has historically reverted to a long-term average level over time. This means that the potential
upside of an investment in the VIX Futures Fund may be limited. In addition, gains of the VIX Futures Fund, if any, may be subject to
significant and unexpected reversals. Investors holding Shares of the VIX Futures Fund beyond short-term periods have an increased
risk of losing all or a substantial portion of their investment.
Each Fund will distribute to shareholders a Schedule K-1 that will contain information regarding the income and expenses of the
Fund.
NEITHER THE TRUST NOR ANY FUND IS A MUTUAL FUND OR ANY OTHER TYPE OF INVESTMENT
COMPANY AS
DEFINED IN THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE "1940 ACT"), AND NEITHER IS SUBJECT TO
REGULATION THEREUNDER. SHAREHOLDERS DO NOT HAVE THE PROTECTIONS ASSOCIATED WITH OWNERSHIP
OF SHARES IN AN INVESTMENT COMPANY REGISTERED UNDER THE 1940 ACT. SEE RISK FACTOR ENTITLED
"SHAREHOLDERS DO NOT HAVE THE PROTECTIONS ASSOCIATED WITH OWNERSHIP OF SHARES IN AN INVESTMENT
COMPANY REGISTERED UNDER THE 1940 ACT IN PART ONE OF THIS PROSPECTUS FOR MORE INFORMATION.
Each Fund continuously offers and redeems Shares only in large blocks of Shares known as "Creation Units", each of which consists of
50,000 Shares (25,000 Shares with respect to the VIX Futures Fund). Only Authorized Participants (as defined herein) may purchase and
redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized
Participant Agreement with the Trust and ProShare Capital Management LLC (the "Sponsor"). Shares are offered to Authorized Participants in
Creation Units at each Fund's respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any
Creation Unit they create at a per-Share market price. The form of Authorized Participant Agreement and the related Authorized Participant
Procedures Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit.
Authorized Participants will not receive from any Fund, the Sponsor, or any of their affiliates, any fee or other compensation in connection with
their sale of Shares to the public. An Authorized Participant may receive commissions or fees from investors who purchase Shares through their
commission or fee-based brokerage accounts.
These securities have not been approved or disapproved by the United States Securities and Exchange Commission (the "SEC")
or any state securities commission nor has the SEC or any state securities commission passed upon the accuracy or adequacy of this
Prospectus. Any representation to the contrary is a criminal offense.
-3
THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF PARTICIPATING
IN THIS POOL NOR HAS THE COMMISSION PASSED ON THE ADEQUACY OR ACCURACY OF THIS DISCLOSURE
DOCUMENT.
February ___, 2022
The Shares are neither interests in nor obligations of the Sponsor, Wilmington
Trust Company, or any of their respective
affiliates. The Shares are not insured by the Federal Deposit Insurance Corporation or any other governmental
agency.
This Prospectus has two parts: the offered series disclosure and the general pool disclosure. These parts are bound together and
are incomplete if not distributed together to prospective participants.
COMMODITY FUTURES TRADING COMMISSION
RISK DISCLOSURE
STATEMENT
YOU SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL
CONDITION PERMITS YOU TO PARTICIPATE
IN A COMMODITY POOL. IN SO DOING, YOU SHOULD BE AWARE THAT COMMODITY INTEREST TRADING CAN
QUICKLY LEAD TO LARGE LOSSES AS WELL AS GAINS. SUCH TRADING LOSSES CAN SHARPLY REDUCE THE NET
ASSET VALUE OF THE POOL AND CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN ADDITION,
RESTRICTIONS ON REDEMPTIONS MAY AFFECT YOUR ABILITY TO WITHDRAW YOUR PARTICIPATION IN THE
POOL.
FURTHER, COMMODITY POOLS MAY BE SUBJECT TO SUBSTANTIAL CHARGES FOR MANAGEMENT, AND
ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS THAT ARE SUBJECT TO THESE
CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS.
THIS DISCLOSURE DOCUMENT CONTAINS A COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED TO THIS
POOL, AT PAGES
80
THROUGH
84
, AND A STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK EVEN,
THAT
IS, TO RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT, AT PAGES
80
THROUGH
84
.
THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER FACTORS NECESSARY TO EVALUATE
YOUR PARTICIPATION IN THIS COMMODITY POOL. THEREFORE, BEFORE YOU DECIDE TO PARTICIPATE IN THIS
COMMODITY POOL, YOU SHOULD CAREFULLY STUDY THIS DISCLOSURE DOCUMENT, INCLUDING A DESCRIPTION
OF THE PRINCIPAL RISK FACTORS OF THIS INVESTMENT, AT PAGES
13
THROUGH
51
.
YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL MAY TRADE FOREIGN FUTURES OR OPTIONS
CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE UNITED STATES, INCLUDING MARKETS
FORMALLY LINKED TO A UNITED STATES MARKET, MAY BE SUBJECT TO REGULATIONS WHICH OFFER DIFFERENT
OR DIMINISHED PROTECTION TO THE POOL AND ITS PARTICIPANTS. FURTHER, UNITED STATES REGULATORY
AUTHORITIES MAY BE UNABLE TO COMPEL THE ENFORCEMENT OF THE RULES OF REGULATORY AUTHORITIES
OR MARKETS IN NON-UNITED STATES JURISDICTIONS WHERE TRANSACTIONS FOR THE POOL MAY BE EFFECTED.
SWAPS TRANSACTIONS, LIKE OTHER FINANCIAL TRANSACTIONS, INVOLVE A VARIETY OF SIGNIFICANT
RISKS. THE SPECIFIC RISKS PRESENTED BY A PARTICULAR SWAP TRANSACTION NECESSARILY DEPEND UPON THE
TERMS OF THE TRANSACTION AND YOUR CIRCUMSTANCES. IN GENERAL, HOWEVER, ALL SWAPS TRANSACTIONS
INVOLVE SOME COMBINATION OF MARKET RISK, CREDIT RISK, COUNTERPARTY CREDIT RISK, FUNDING RISK,
LIQUIDITY RISK, AND OPERATIONAL RISK.
-4
HIGHLY CUSTOMIZED
SWAPS TRANSACTIONS IN PARTICULAR MAY INCREASE LIQUIDITY RISK, WHICH MAY
RESULT IN A SUSPENSION OF REDEMPTIONS. HIGHLY LEVERAGED TRANSACTIONS MAY
EXPERIENCE SUBSTANTIAL
GAINS OR LOSSES IN VALUE AS A RESULT OF RELATIVELY SMALL CHANGES IN THE VALUE OR LEVEL OF AN
UNDERLYING OR RELATED MARKET FACTOR. IN EVALUATING THE RISKS AND CONTRACTUAL OBLIGATIONS
ASSOCIATED WITH A PARTICULAR SWAP TRANSACTION, IT IS IMPORTANT TO CONSIDER THAT A SWAP TRANSACTION
MAY, IN CERTAIN INSTANCES, BE MODIFIED OR TERMINATED ONLY BY MUTUAL CONSENT OF THE ORIGINAL
PARTIES AND SUBJECT TO AGREEMENT ON INDIVIDUALLY NEGOTIATED TERMS. THEREFORE, IT MAY NOT BE
POSSIBLE FOR THE COMMODITY POOL OPERATOR TO MODIFY, TERMINATE, OR OFFSET THE POOL'S OBLIGATIONS
OR THE POOL'S EXPOSURE TO THE RISKS ASSOCIATED WITH A TRANSACTION PRIOR TO ITS SCHEDULED
TERMINATION DATE.
THIS PROSPECTUS DOES NOT INCLUDE ALL OF THE INFORMATION OR EXHIBITS IN THE REGISTRATION
STATEMENT OF THE TRUST. INVESTORS CAN READ AND COPY THE ENTIRE REGISTRATION STATEMENT AT THE
PUBLIC REFERENCE FACILITIES MAINTAINED BY THE SEC IN WASHINGTON, D.C.
THE TRUST WILL FILE QUARTERLY AND ANNUAL REPORTS WITH THE SEC. INVESTORS CAN READ AND COPY
THESE REPORTS AT THE SEC PUBLIC REFERENCE FACILITIES IN WASHINGTON, D.C. PLEASE CALL THE SEC AT
1-800-SEC-0330 FOR FURTHER INFORMATION.
THE FILINGS OF THE TRUST ARE POSTED AT THE SEC WEBSITE AT WWW.SEC.GOV.
REGULATORY NOTICES
NO DEALER, SALESMAN OR ANY OTHER PERSON HAS BEEN AUTHORIZED TO GIVE ANY INFORMATION OR TO
MAKE ANY REPRESENTATION NOT CONTAINED IN THIS PROSPECTUS, AND, IF GIVEN OR MADE, SUCH OTHER
INFORMATION OR REPRESENTATION MUST NOT BE RELIED UPON AS HAVING BEEN AUTHORIZED BY THE TRUST,
ANY OF THE FUNDS, THE SPONSOR, THE AUTHORIZED PARTICIPANTS OR ANY OTHER PERSON.
THIS PROSPECTUS DOES NOT CONSTITUTE AN OFFER OR SOLICITATION TO SELL OR A SOLICITATION OF AN
OFFER TO BUY, NOR SHALL THERE BE ANY OFFER, SOLICITATION, OR SALE OF THE SHARES IN ANY JURISDICTION
IN WHICH SUCH OFFER, SOLICITATION, OR SALE IS NOT AUTHORIZED OR TO ANY PERSON TO WHOM IT IS
UNLAWFUL TO MAKE ANY SUCH OFFER, SOLICITATION, OR
SALE.
AUTHORIZED PARTICIPANTS MAY BE REQUIRED TO DELIVER A PROSPECTUS WHEN TRANSACTING IN
SHARES. SEE "PLAN OF DISTRIBUTION" IN PART TWO OF THIS PROSPECTUS.
-5
PROSHARES TRUST
II
Table of Contents
Page
PART ONE
OFFERED SERIES DISCLOSURE
SUMMARY
4
Important Information About the Funds
4
Overview
5
The VIX Futures Fund
5
The Natural Gas Funds
5
The Precious Metals Funds
6
The Currency Funds
6
Purchases and Sales in the Secondary Market
7
Creation and Redemption Transactions
7
Breakeven Amounts
8
Important Tax Information
9
RISK FACTOR SUMMARY
10
Risks Related to All Funds
10
Risks Specific to the Geared Funds, VIX Futures Fund, Natural Gas Funds, Precious Metals Funds, and Currency Funds
11
RISK FACTORS
13
CAUTIONARY NOTE REGARDING FORWARD-LOOKING STATEMENTS
52
DESCRIPTION OF EACH FUND'S BENCHMARK
53
DESCRIPTION OF THE MID-TERM VIX FUTURES FUND'S INDEX
53
The S&P 500 VIX Mid-Term Futures Index
53
Information about the Index Licensor
54
DESCRIPTION OF THE NATURAL GAS FUNDS' BENCHMARK
55
Bloomberg Natural Gas Subindex
SM
55
Information About the Index Licensor
55
DESCRIPTION OF THE PRECIOUS METALS FUNDS' BENCHMARKS
56
Bloomberg Silver Subindex
SM
56
Information About the Index Licensor
57
Bloomberg Gold Subindex
SM
58
Information About the Index Licensor
58
DESCRIPTION OF THE CURRENCY FUNDS' BENCHMARKS
59
Australian dollar
59
Euro
59
Japanese Yen
60
INVESTMENT OBJECTIVES AND PRINCIPAL INVESTMENT STRATEGIES
60
Investment Objectives
60
Principal Investment Strategies
61
PERFORMANCE OF THE OFFERED COMMODITY POOLS OPERATED BY THE COMMODITY POOL OPERATOR
70
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
79
CHARGES
80
Breakeven Table
80
MATERIAL U.S. FEDERAL INCOME TAX CONSIDERATIONS
85
Status of the Funds
86
U.S. Shareholders
87
-i-
Page
PART TWO
GENERAL POOL DISCLOSURE
PERFORMANCE OF THE OTHER COMMODITY POOLS
OPERATED BY THE COMMODITY POOL
OPERATOR
99
USE OF PROCEEDS
107
WHO MAY SUBSCRIBE
107
CREATION AND REDEMPTION OF SHARES
107
Creation Procedures
108
Redemption Procedures
110
Creation and Redemption Transaction Fee
111
Special Settlement
111
LITIGATION
111
DESCRIPTION OF THE SHARES; THE FUNDS; CERTAIN MATERIAL
TERMS OF THE
TRUST AGREEMENT
112
Description of the Shares
112
Principal Office; Location of Records; Fiscal Year
112
The Funds
113
The Trustee
113
The Sponsor
114
Duties of the Sponsor
117
Ownership or Beneficial Interest in the Funds
117
Management; Voting by Shareholders
118
Recognition of the Trust and the Funds in Certain States
118
Possible Repayment of Distributions Received by Shareholders
118
Shares Freely Transferable
118
Book-Entry Form
118
Reports to Shareholders
118
Net Asset Value ("NAV")
119
Indicative Optimized Portfolio Value ("IOPV")
119
Termination Events
120
DISTRIBUTIONS
120
THE ADMINISTRATOR
120
THE CUSTODIAN
120
THE TRANSFER AGENT
120
THE DISTRIBUTOR
121
Description of SEI
121
THE SECURITIES DEPOSITORY; BOOK-ENTRY ONLY SYSTEM; GLOBAL SECURITY
121
SHARE SPLITS OR REVERSE SPLITS
122
CONFLICTS OF INTEREST
122
MATERIAL CONTRACTS
123
Administration and Accounting Agreement
123
Transfer Agency and Service Agreement
124
Custody Agreement
124
Distribution Agreement
124
PURCHASES BY EMPLOYEE BENEFIT PLANS
125
General
125
"Plan Assets"
125
Ineligible Purchasers
125
-ii-
Page
PLAN OF DISTRIBUTION
126
Buying and Selling Shares
126
Authorized Participants
126
Likelihood of Becoming a Statutory Underwriter
127
General
127
LEGAL MATTERS
127
EXPERTS
128
WHERE INVESTORS CAN FIND MORE INFORMATION
128
RECENT FINANCIAL INFORMATION AND ANNUAL REPORTS
128
PRIVACY POLICY
129
The Trust's Commitment to Investors
129
The Information the Trust Collects About Investors
129
How the Trust Handles Investors' Personal Information
129
How the Trust Safeguards Investors' Personal Information
129
INCORPORATION BY REFERENCE OF CERTAIN DOCUMENTS
129
FUTURES COMMISSION MERCHANTS
131
Litigation and Regulatory Disclosure Relating to FCMs
131
Margin Levels Expected to be Held at the FCMs
204
SWAP COUNTERPARTIES
204
Litigation and Regulatory Disclosure Relating to Swap Counterparties
205
APPENDIX A—GLOSSARY OF DEFINED TERMS
A
-
1
-iii-
PART ONE
OFFERED SERIES DISCLOSURE
SUMMARY
Investors should read the following summary together with the more detailed
information in this Prospectus before investing in Shares of
any of the Funds, including the information under the caption "Risk Factors,"
and all exhibits to this Prospectus and the information
incorporated by reference in this Prospectus, including the financial statements and the notes to
those financial statements in the Trust's Annual
Report on Form 10-K, and the Quarterly Reports on Form 10-Q, and Current Reports, if any, on Form
8-K. Please see the section entitled
"Incorporation by Reference of Certain Documents" in Part Two of this Prospectus. Investors should also
read any updated Prospectus,
supplements to this Prospectus, notices and press releases, and other important information about the Funds which are posted
on the Sponsor's
website at www.ProShares.com.
For ease of reference, any references throughout this Prospectus to various actions taken by any or all of the Funds are actually actions
taken by the Trust on behalf of such Funds.
The definitions of capitalized terms used in this Prospectus can
be found in the Glossary of Defined Terms in Appendix A and throughout
this Prospectus.
Important Information About the Funds
THE FUNDS PRESENT SIGNIFICANT RISKS NOT APPLICABLE TO OTHER TYPES OF FUNDS. THE FUNDS ARE NOT
APPROPRIATE FOR ALL INVESTORS. THE VIX FUTURES FUND INCLUDES RISKS RELATING TO INVESTING IN AND
SEEKING
EXPOSURE TO VIX FUTURES CONTRACTS. THE GEARED FUNDS THAT USE LEVERAGE ARE RISKIER THAN
SIMILARLY BENCHMARKED EXCHANGE-TRADED FUNDS THAT DO NOT USE LEVERAGE. AN INVESTOR
SHOULD ONLY
CONSIDER AN INVESTMENT IN A GEARED FUND IF HE OR SHE UNDERSTANDS THE CONSEQUENCES OF SEEKING
DAILY LEVERAGED, DAILY INVERSE OR DAILY INVERSE LEVERAGED INVESTMENT RESULTS, INCLUDING THE IMPACT
OF
COMPOUNDING ON GEARED FUND PERFORMANCE.
THE RETURN OF A GEARED FUND
FOR A PERIOD LONGER THAN A SINGLE DAY IS THE RESULT OF ITS RETURN FOR
EACH DAY COMPOUNDED OVER THE PERIOD AND USUALLY WILL DIFFER IN AMOUNT AND POSSIBLY EVEN
DIRECTION FROM THE GEARED FUND'S STATED MULTIPLE TIMES THE RETURN OF THE FUND'S BENCHMARK FOR THE
SAME PERIOD. THESE DIFFERENCES CAN BE SIGNIFICANT.
THE FUNDS' INVESTMENTS MAY BE ILLIQUID (I.E., DIFFICULT OR IMPOSSIBLE TO SELL AT THE DESIRED PRICE)
AND/OR HIGHLY VOLATILE AND THE FUNDS MAY EXPERIENCE LARGE LOSSES FROM BUYING, SELLING OR HOLDING
SUCH
INVESTMENTS. AN INVESTOR IN ANY OF THE FUNDS COULD POTENTIALLY LOSE THE FULL PRINCIPAL VALUE
OF HIS/HER INVESTMENT WITHIN A SINGLE DAY.
SHAREHOLDERS WHO INVEST IN THE FUNDS SHOULD ACTIVELY MANAGE AND MONITOR THEIR INVESTMENTS,
AS
FREQUENTLY AS DAILY.
The Short Euro Fund seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the performance of
its benchmark for a single day, not for any other period. Each UltraShort Fund seeks daily investment results, before fees and expenses, that
correspond to two times the inverse (-2x) of the performance of its benchmark for a single day, not for any other period. Each Ultra Fund seeks
daily investment results, before fees and expenses, that correspond to two times (2x) the performance of its benchmark for a single day, not for
any other period. The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the
period and usually will differ in amount and possibly even direction from the Geared Fund's stated multiple times the return of the Geared
Fund's benchmark for the same period. These differences can be significant. Daily compounding of a Geared Fund's investment returns can
dramatically and adversely affect its longer-term performance, especially during periods of high volatility.
-4
Volatility has a negative impact on
Geared Fund performance and the volatility of a Geared Fund's benchmark may be at least as
important to a Geared Fund's return as the return of the Geared
Fund's benchmark. Each Geared Fund (except for the Short Euro Fund) uses
leverage and should produce returns for a single day that are more volatile than that of its
benchmark. For example, the return for a single day of
an Ultra Fund with a 2x multiple should be approximately two times as volatile for a single day as the return of a
fund with an objective of
matching the same benchmark. The return for a single day of an UltraShort Fund with a -2x multiple should be approximately two times as
volatile for a single day as the return of a fund with an objective of matching the same benchmark. The Short Euro Fund is designed to return for
a single day the inverse (-1x) of the return that would be expected of a fund with an objective of matching the same benchmark for such day.
THE VIX FUTURES FUND PRESENTS DIFFERENT RISKS THAN OTHER TYPES OF FUNDS,
INCLUDING RISKS
RELATING TO INVESTING AND SEEKING EXPOSURE TO VIX FUTURES CONTRACTS. AN INVESTOR SHOULD ONLY
CONSIDER AN INVESTMENT IN THE VIX FUTURES FUND IF HE OR SHE UNDERSTANDS THE CONSEQUENCES OF
SEEKING EXPOSURE TO VIX
FUTURES CONTRACTS.
The VIX Futures Fund is benchmarked to the S&P 500 VIX Mid-Term Futures Index (the "Index"), an investable index of VIX futures
contracts. The VIX Futures Fund is a matching fund (the "Matching Fund") which seeks results, before fees and expenses, that over time match
the performance of the Index. The VIX Futures Fund is not benchmarked to the VIX Index (which is commonly referred to as the "VIX"). The
VIX is a non-investable index that measures the implied volatility of the S&P 500. For these purposes, "implied volatility" is a measure of the
expected volatility (
i.e
., the rate and magnitude of variations in performance) of the S&P 500 over the next 30 days. The VIX does not represent
the actual volatility of the S&P 500. The VIX is calculated based on the prices of a constantly changing portfolio of S&P 500 put and call
options. The index underlying the VIX Futures Fund consists of mid-term VIX futures contracts.
THE PERFORMANCE OF THE INDEX AND THE VIX FUTURES FUND CAN BE EXPECTED TO BE VERY DIFFERENT
FROM THE ACTUAL
VOLATILITY OF THE S&P 500 OR THE PERFORMANCE OF THE VIX INDEX.
Unlike certain other asset classes that, in general, have historically increased in price over
long periods of time, the volatility of the S&P
500 as measured by the VIX has historically reverted to a long-term average level over time. This means that the
potential upside of an
investment in the VIX Futures Fund may be limited. In addition, gains of the VIX Futures Fund, if any, may be subject to significant and
unexpected reversals. Investors holding Shares of the VIX Futures Fund beyond short-term periods have an increased risk of losing a substantial
portion of their investment. Historically, the longer an investor's holding period in the VIX Futures Fund, the greater the potential of loss. The
VIX Futures Fund generally is intended to be used only for short-term investment horizons.
Overview
Each Fund is listed below along with its respective benchmark.
The VIX Futures Fund
Fund Name
Benchmark
ProShares VIX Mid-Term Futures ETF
S&P 500
®
VIX Mid-Term Futures Index
The Natural Gas Funds
Fund Name
Benchmark
ProShares Ultra Bloomberg Natural Gas
Bloomberg Natural Gas Subindex
SM
ProShares UltraShort Bloomberg Natural Gas
Bloomberg Natural Gas Subindex
SM
-5
The Precious Metals Funds
Fund Name
Benchmark
ProShares UltraShort Silver
Bloomberg Silver Subindex
SM
ProShares UltraShort Gold
Bloomberg Gold Subindex
SM
The
Currency Funds
Fund Name
Benchmark
ProShares UltraShort Australian Dollar
The U.S. dollar price of the Australian dollar
ProShares Ultra Euro
The U.S. dollar price of the euro
ProShares Short Euro
The U.S. dollar price of the euro
ProShares UltraShort Euro
The U.S. dollar price of the euro
ProShares Ultra Yen
The U.S. dollar price of the Japanese yen
ProShares UltraShort Yen
The U.S. dollar price of the Japanese yen
The VIX Futures Fund
The VIX Futures Fund is sometimes referred to herein as the "Matching Fund." This
Fund offers investors the opportunity to obtain
"matching"
(
i.e.,
not leveraged, inverse or inverse leveraged) exposure to its
underlying benchmark, as described herein.
The Geared Funds
The Geared Funds currently include the following Funds: the Natural Gas Funds, the Precious Metals Funds and the Currency Funds.
The "Short Fund" seeks daily investment results, before fees and expenses, that
correspond to the inverse (-1x) of the performance of its
benchmark for a single day. Each "UltraShort Fund" seeks daily investment results, before fees and
expenses, that correspond to two times the
inverse (-2x) of the performance of its benchmark. Each "Ultra Fund" seeks daily investment results, before fees and
expenses, that correspond
to two times (2x) of the performance of its benchmark. The Geared Funds do not seek to achieve their stated objective over a period greater than
a single day. A "single day" is measured from the time the Fund calculates its net asset value ("NAV") to the time of the Fund's next
NAV calculation.
Each Geared Fund seeks to engage in daily rebalancing to position its portfolio so that its
exposure to its benchmark is consistent with its
daily investment objective. The impact of changes to the value of a Fund's benchmark each day will affect whether
such Fund's portfolio needs
to be rebalanced. For example, if the Short Fund's or an UltraShort Fund's benchmark has risen on a given day, net assets of
such Fund should
fall (assuming there were no Creation Units issued). As a result, inverse exposure will need to be decreased. Conversely, if the Short Fund's or
an UltraShort Fund's benchmark has fallen on a given day, net assets of such Fund should rise (assuming there were no Creation Unit
redemptions). As a result, inverse exposure will need to be increased. For an Ultra Fund, the Fund's long exposure will need to be increased on
days when such Fund's benchmark rises (assuming there were no Creation Unit redemptions) and decreased on days when such Fund's
benchmark falls (assuming there were no Creation Units issued). The time and manner in which a Geared Fund rebalances its portfolio may vary
from day to day at the discretion of the Sponsor depending upon market conditions and other circumstances.
-6
DAILY REBALANCING AND THE COMPOUNDING OF EACH DAY'S RETURN OVER TIME MEANS
THAT THE RETURN
OF EACH GEARED FUND FOR A PERIOD LONGER THAN A SINGLE DAY WILL BE THE RESULT OF EACH DAY'S RETURNS
COMPOUNDED OVER THE PERIOD, WHICH WILL VERY LIKELY DIFFER FROM A MULTIPLE (2X), THE INVERSE (-1X) OR
AN
INVERSE MULTIPLE (-2X) OF THE RETURN OF THE GEARED FUND'S BENCHMARK FOR THE SAME PERIOD. A
GEARED FUND WILL LOSE MONEY IF ITS BENCHMARK'S PERFORMANCE IS FLAT
OVER TIME, AND A GEARED FUND
CAN LOSE MONEY REGARDLESS OF THE PERFORMANCE OF ITS BENCHMARK, AS A RESULT OF DAILY REBALANCING,
THE BENCHMARK'S
VOLATILITY, COMPOUNDING AND OTHER FACTORS.
All Funds
Each of the Funds intends to invest in Financial Instruments to gain the appropriate amount of
exposure to its benchmark in the manner
and to the extent described herein. "Financial Instruments" are instruments whose value is derived from the value of an
underlying asset, rate or
benchmark (such asset, rate or benchmark, a "Reference Asset") and include futures contracts, swap agreements, forward contracts,
option
contracts, and other instruments. The Funds will not invest directly in any commodities or currencies.
In seeking to achieve the Funds' investment objectives, the Sponsor uses a mathematical
approach to investing. Using this approach, the
Sponsor determines the type, quantity and mix of Financial Instruments that the Sponsor believes, in combination, should
produce daily returns
consistent with the Funds' objectives.
The Funds are not actively managed by traditional methods (
e.g
., by effecting changes in the composition of a portfolio on the basis of
judgments relating to economic,
financial and market conditions with a view toward obtaining positive results under all market conditions).
Each Fund seeks to remain fully invested at all times in
Financial Instruments and money market instruments that, in combination, provide
exposure to its underlying benchmark consistent with its investment objective, even during
periods in which the benchmark is flat or moving in
a manner which causes the value of a Fund to decline.
The Sponsor has the authority to change a Fund's investment objective, benchmark or
investment strategy at any time, or to terminate the
Trust or a Fund, in each case, without shareholder approval or advance notice, subject to applicable regulatory
requirements.
ProShare Capital Management LLC, a Maryland limited liability company,
serves as the Trust's Sponsor and commodity pool operator.
The principal office of the Sponsor and the Funds is located at 7272 Wisconsin Avenue, 21
st
Floor, Bethesda, Maryland 20814. The telephone
number of the Sponsor and each of the Funds is (240) 497-6400.
Purchases and Sales in the Secondary Market
The Shares of each Fund are listed on NYSE Arca, Inc. with the exception of Shares
of the VIX Mid-Term Futures ETF which are listed
for trading on the Cboe BZX Exchange, Inc. (the "Exchange") under the ticker symbols shown on the front cover
of this Prospectus. Secondary
market purchases and sales of Shares are subject to ordinary brokerage commissions and charges.
Creation and Redemption Transactions
Only an Authorized Participant may purchase (
i.e
., create) or redeem Shares with the Funds. Authorized Participants may create and
redeem Shares only in
large blocks of Shares known as "Creation Units", each of which consists of 50,000 Shares (25,000 Shares with respect to
the VIX Futures Fund). An
"Authorized Participant" is an entity that has entered into an Authorized Participant Agreement with the Trust and
the Sponsor. Creation Units are offered to
Authorized Participants at each Fund's NAV. Creation Units in a Fund are expected to be created
when there is sufficient demand for Shares in such Fund that the
market price per Share is at a premium to the NAV per Share. Authorized
Participants will likely sell such Shares to the public at prices that are expected to reflect,
among other factors, the trading price of the Shares of
such Fund and the supply of and demand for the Shares at the time of sale. Similarly, it is expected that Creation
Units in a Fund will be
redeemed when the market price per Share of such Fund is at a discount to the NAV per Share. The Sponsor expects that the exploitation of such
arbitrage opportunities by Authorized Participants and their clients will tend to cause the public trading price of the Shares to track the NAV per
-7
Share of a Fund over time, though there can be no
guarantees this will be the case. Retail investors seeking to purchase or sell Shares on any day
effect such transactions in the secondary market at the market price per
Share, rather than in connection with the creation or redemption of
Creation Units.
A creation transaction, which is subject to acceptance by SEI Investments Distribution Co. ("SEI" or the "Distributor"), generally takes
place when an Authorized Participant deposits a specified amount of cash (unless as provided otherwise in this Prospectus) in exchange for a
specified number of Creation Units. Similarly, Shares can be redeemed only in Creation Units, generally for cash (unless as provided otherwise
in this Prospectus). Except when aggregated in Creation Units, Shares are not redeemable. The prices at which creations and redemptions occur
are based on the next calculation of the NAV after an order is received in proper form, as described in the Authorized Participant Agreement and
the related Authorized Participant Procedures Handbook. From time to time the Sponsor, in its sole discretion, may impose limits on the number
of Creation Units that may be created each day by each Authorized Participant, or on the total number of Creation Units that may be created by
all Authorized Participants on such day, or may suspend the purchase and/or redemption of Creation Units altogether. For example, the Sponsor
may impose such limits or suspension if it believes doing so would help a Fund manage its portfolio, such as by allowing a Fund to comply with
counterparty or position limits, or to manage or otherwise comply with Share registration requirements, or in response to significant and/or rapid
increases in the size of a Fund as a result of an increase in creation activity. The manner by which Creation Units are purchased and redeemed is
governed by the terms of this Prospectus, the Authorized Participant Agreement and Authorized Participant Procedures Handbook. Creation and
redemption orders are not effective until accepted by the Distributor and may be rejected or revoked. By placing a purchase order, an Authorized
Participant agrees to deposit cash (unless as provided otherwise in this Prospectus) with The Bank of New York Mellon ("BNYM", the
"Custodian", the "Transfer Agent" and the "Administrator"), acting in its capacity as custodian of the Funds.
Creation and redemption transactions must be placed each day with SEI by the create/redeem
cut-off time (stated below) to receive that
day's NAV. The Sponsor may require orders to be placed earlier if, for example, the Exchange or other exchange material
to the valuation or
operation of such Fund closes before such cut-off time. Because the primary trading session for the commodities and/or futures contracts
underlying certain of the Funds have different closing (or fixing) times than U.S. Equity markets, the create/redeem cut-off time and NAV
calculation time for each Fund may differ. See the section entitled "Net Asset Value" for additional information about the NAV calculations.
Underlying Benchmark
Create/Redeem Cut-off
NAV Calculation Time
S&P 500 VIX Mid-Term Futures Index
2:00 p.m. (Eastern Time)
4:00 p.m. (Eastern Time)
Bloomberg Natural Gas Subindex
SM
2:00 p.m. (Eastern Time)
2:30 p.m. (Eastern Time)
Bloomberg Silver Subindex
SM
1:00 p.m. (Eastern Time)
1:25 p.m. (Eastern Time)
Bloomberg Gold Subindex
SM
1:00 p.m. (Eastern Time)
1:30 p.m. (Eastern Time)
Australian dollar
3:00 p.m. (Eastern Time)
4:00 p.m. (Eastern Time)
Euro
3:00 p.m. (Eastern Time)
4:00 p.m. (Eastern Time)
Yen
3:00 p.m. (Eastern Time)
4:00 p.m. (Eastern Time)
Breakeven Amounts
A Fund will be profitable only if returns from the Fund's investments exceed its
"breakeven amount." Estimated breakeven amounts are
set forth in the table below. The estimated breakeven amounts represent the estimated amount of trading
income that each Fund would need to
achieve during one year to offset the Fund's estimated fees, costs and expenses, net of any interest income earned by the Fund on
its
investments. Estimated amounts do not represent actual results, which may be different. It is not possible to predict whether a Fund will break
even at the end of the first twelve months of an investment or any other period. See "
Charges—Breakeven Table
," beginning on page
80
, for
more detailed tables
showing Breakeven Amounts.
Fund Name
Breakeven Amount
(% Per Annum of
Average
Daily NAV)*
Assumed
Selling
Price
Per Share*
Breakeven Amount
($ for the
Assumed Selling
Price Per Share)*
ProShares VIX Mid-Term Futures ETF
0.98%
$
35.00
$
0.34
ProShares Ultra Bloomberg Natural Gas
1.61%
$
40.00
$
0.64
-8
Fund Name
Breakeven Amount
(% Per Annum of
Average
Daily NAV)*
Assumed
Selling
Price
Per Share*
Breakeven Amount
($ for the
Assumed Selling
Price Per Share)*
ProShares UltraShort Bloomberg Natural Gas
1.88%
$
10.00
$
0.19
ProShares UltraShort Silver
1.49%
$
30.00
$
0.45
ProShares UltraShort Gold
1.37%
$
35.00
$
0.48
ProShares Ultra Euro
0.98%
$
15.00
$
0.15
ProShares Short Euro
0.97%
$
45.00
$
0.44
ProShares UltraShort Euro
0.98%
$
25.00
$
0.25
ProShares UltraShort Australian Dollar
1.03%
$
50.00
$
0.52
ProShares Ultra Yen
0.98%
$
50.00
$
0.49
ProShares UltraShort Yen
0.98%
$
80.00
$
0.78
*
The breakeven analysis
set forth in this table assumes that the Shares have a constant NAV equal to the amount shown. The amount
approximates the NAV of such shares based on recent NAV history
as of November 30, 2021, rounded to the nearest $5. The actual NAV
of each Fund differs and is likely to change on a daily basis. The numbers in this chart have been
rounded to the nearest 0.01.
Important Tax Information
Please note that each Fund will distribute to each shareholder a Schedule K-1 that will contain
information regarding the shareholder's
share of income and expense items of the Fund. Schedule K-1 is a complex form and shareholders may find that preparing tax
returns may
require additional time or may require the assistance of an accountant or other tax preparer, at an additional expense to the shareholder.
-9
RISK FACTOR
SUMMARY
Risks Related to All Funds
•
Each Fund seeks to achieve its investment objective even during periods when the performance of the Fund's benchmark is flat or when the
benchmark is moving in a manner that may cause the value of the Fund to decline.
•
There is no guarantee that any Fund will achieve its investment
objective.
•
Potential negative impact from rolling futures positions; there have been extended periods in the past where the investment strategies utilized
by the Funds have caused significant and sustained losses.
•
The number of underlying components included in a Fund's
benchmark may impact the volatility of such benchmark, which could adversely
affect an investment in the Shares.
•
Possible
illiquid markets may cause or exacerbate losses; the large size of the positions the Funds may acquire increases these risks.
•
Changes implemented by the benchmark provider that affect the
composition and valuation of the benchmark could negatively impact the
performance of the benchmark and therefore the performance of the Funds.
•
For the Funds linked to a benchmark, changes implemented by the benchmark provider that affect the composition and valuation of the
benchmark could negatively impact the performance of the Funds.
•
The particular benchmark used by a Fund may underperform other
asset classes and may underperform other indices or benchmarks based
upon the same underlying Reference Asset.
•
A Fund may change its investment objective, benchmark and investment strategies, and/or may terminate, at any time without shareholder
approval.
•
There may be circumstances that could prevent or make it
impractical for a Fund to operate in a manner consistent with its investment objective
and investment strategies.
•
Historical correlation trends between Fund benchmarks and other asset classes may not continue or may reverse, limiting or eliminating any
potential diversification or other benefit from owning a Fund.
•
The lack of active trading markets for the Shares may result in losses upon the
sale of such Shares.
•
Investors may be adversely affected by redemption or creation orders that are subject to postponement, suspension or rejection under certain
circumstances.
•
The NAV per Share may not correspond to the market price per Share.
•
Investors may be adversely affected by an overstatement or understatement of a Fund's NAV due to the valuation method employed or errors
in the NAV calculation.
•
The liquidity of the Shares may also be affected by the
withdrawal from participation of Authorized Participants, which could adversely
affect the market price of the Shares.
•
Shareholders that are not Authorized Participants may only purchase or sell their Shares in secondary trading markets, and the conditions
associated with trading in secondary markets may adversely affect investors' investment in the Shares.
•
A Fund's listing exchange may halt trading in Shares of the Fund which would adversely impact investors' ability to sell Shares and could
lead to investor losses.
•
Shareholders
do not have the protections associated with ownership of shares in an investment company registered under the 1940 Act.
-10
•
Regulatory changes or
actions may alter the operations and profitability of the Funds.
•
Regulatory and exchange daily price limits, position limits and
accountability levels may cause the Sponsor to restrict the creation of Creation
Units which could have a negative impact on the operation of each Fund, prevent a Fund
from achieving its investment objective, and
disrupt secondary market trading of Fund Shares.
•
The use of futures contracts may expose the Funds to liquidity and other risks,
which could result in significant loss to the Funds.
•
Margin requirements and position limits applicable to futures contracts and the ability of and market required by swap counterparties may
limit a Fund's ability to achieve sufficient exposure and prevent a Fund from achieving its investment objective.
•
The insolvency of a futures commission merchant ("FCM") or clearinghouse or the failure of an FCM or clearinghouse to properly segregate
Fund assets held as margin on futures transactions may result in losses to the Funds.
•
A Fund's performance could be adversely affected if an FCM reduces its
internal risk limits for the Fund.
•
The use of swap agreements may expose the Funds to liquidity risk, counterparty credit risk and other risks, which could result in significant
loss to the Funds.
•
The use of derivatives, such as swap agreements and forward contracts, exposes the Funds to counterparty credit risks.
•
The use of
options strategies may expose the Funds to significant loss and liquidity, counterparty and other risks.
•
Use of an options strategy is costly and may not protect a Fund.
•
Shareholders'
 tax liability may exceed cash distributions on the Shares.
•
Investors in our Funds may be exposed to various tax risks, as described in further detail below.
•
Natural disasters and public health disruptions, such as the COVID-19 virus, may have a significant negative impact on the performance of
each Fund; the risks and other information described herein could become outdated as a result of such events.
•
Financial markets, including the benchmark and Financial Instruments used by a Fund and Fund Shares may be subject to unusual trading
activity, volatility, and potential fraud and/or manipulation by third parties, which could have a negative impact on the performance of the
benchmark and the Fund or the liquidity and price of Fund Shares.
•
Benchmark changes and market transactions, including the daily
rebalancing of futures contracts by the Funds may have a significant impact
on the trading, liquidity and price of the futures contracts underlying the benchmark and, in
turn, a significant impact on the performance of
the benchmark and the Funds and the trading, liquidity, and price of Fund Shares.
•
Purchases of Creation Units by Authorized Participants may be limited or suspending by the Sponsor in its sole discretion. For example, the
Sponsor may limit or suspend the purchase of Creation Units if it believes doing so would help a Fund manage its portfolio, such as by
allowing a Fund to comply with counterparty or position limits, or to manage or otherwise comply with Share registration requirements, or in
response to significant and/or rapid increases in the size of a Fund as a result of an increase in creation activity. This may, among other
things, cause Fund Shares to trade at a premium to NAV or otherwise have a negative impact on the liquidity and trading of Fund Shares.
Risks Specific to the Geared Funds, VIX Futures Fund, Natural Gas Funds, Precious Metals Funds,
and Currency Funds
•
The use of leveraged or inverse leveraged positions increases risk and could result in the total loss of an investor's investment within a
single day.
•
Due to the compounding of daily returns, a Geared Fund's
returns over periods longer than a single day will likely differ in amount and possibly
even direction from the Fund's stated multiple times the return of its
benchmark for such period. Intraday price performance of Geared
Fund shares will likely differ from the Fund's stated daily multiple times the performance of its
benchmark for such day.
-11
•
Intraday price performance of Geared Fund shares will likely
differ from the Fund's stated daily multiple times the performance of its benchmark
for such day.
•
To achieve a high degree of correlation with their applicable underlying benchmarks, the Geared Funds seek to rebalance their portfolios
daily to keep exposure consistent with their respective investment objectives. Various market factors may adversely affect such Geared
Funds' ability to adjust exposure to requisite levels.
•
The Natural Gas Funds are linked to an index of natural gas
futures contracts, and are not directly linked to the "spot" price of natural gas.
Natural Gas futures contracts may perform very differently from the spot
price of natural gas.
•
The Precious Metals Funds do not hold gold or silver bullion. Rather, the Precious Metals Funds use Financial Instruments to gain exposure
to gold or silver bullion. Using Financial Instruments to obtain exposure to gold or silver bullion may cause tracking error and subject the
Precious Metals Funds to the effects of contango and backwardation as described herein.
•
Currency exchange rates may be susceptible to distortion, manipulation and their
values may fluctuate drastically.
•
VIX futures contracts can be highly volatile and the Fund may experience sudden and large losses when buying, selling or holding
such instruments.
-12
RISK FACTORS
Investing in the Funds involves significant risks not applicable to other types of investments. The Funds may be highly volatile and
you could potentially lose the full principal value of your investment within a single day. Before you decide to purchase any Shares,
you
should consider carefully the risks described below together with all of the other information included in this Prospectus, as well
as
information found in documents incorporated by reference in this Prospectus. These risk factors may be amended, supplemented or
superseded from time to time by risk factors contained in any periodic report, prospectus supplement, post-effective amendment or in
other
reports filed with the SEC in the future.
The assets that the Funds invest in can be highly volatile and the Funds may experience sudden and large losses when buying,
selling or holding such instruments; you can lose all of your investment within a single day.
Investments linked to commodity or currency markets can be highly volatile compared to investments in traditional securities and the
Funds may experience sudden and large losses. These markets may fluctuate widely based on a variety of factors including changes in overall
market movements, political and economic events, wars, acts of terrorism, natural disasters (including disease, epidemics and pandemics) and
changes in interest rates or inflation rates. High volatility may have an adverse impact on the performance of the Funds. An investor in any of
the Funds could potentially lose the full principal value of his or her investment within a single day.
Risks Specific to the Geared Funds
The use of leveraged or inverse leveraged positions increases risk and could
result in the total loss of an investor's investment within a
single day.
Each of the Geared Funds (except for the Short Euro Fund) utilizes leverage in seeking to achieve
its investment objective and will lose
more money in market environments adverse to its daily investment objective than funds that do not employ leverage. The use of
leveraged
and/or inverse leveraged positions increases risk and could result in the total loss of an investor's investment within a single day. The more a
Fund invests in leveraged positions, the more this leverage will magnify any losses on those investments. A Fund's investments in leveraged
positions generally requires a small investment relative to the amount of investment exposure assumed. As a result, such investments may give
rise to losses that far exceed the amount invested in those instruments.
For example, because the Ultra Funds and the UltraShort Funds offered hereby include a two times (2x) or a two times inverse (-2x)
multiplier, a single-day movement in the benchmark for one of these Funds approaching 50% at any point in the day could result in the total loss
or almost total loss of an investment in such Fund if that movement is contrary to the investment objective of the Fund. This would be the case
with downward single-day or intraday movements in the underlying benchmark of an Ultra Fund or upward single day or intraday movements in
the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times and even if the
benchmark subsequently moves in an opposite direction, eliminating all or a portion of the prior adverse movement. It is not possible to predict
when sudden large changes in the daily movement of a benchmark may occur.
Due to the compounding of daily returns, a Geared Fund's returns over periods longer than a single day will likely differ in amount and
possibly even direction from the Fund's stated multiple times the return of its benchmark for such period.
Each of the Geared Funds is "geared" which means that each has an investment
objective to seek daily investment results, before fees and
expenses, that correspond either to two times (2x), the inverse (-1x) or two times the inverse (-2x) of the
performance of a benchmark for a
single day, not for any other period. A single day is measured from the time a Fund calculates its respective net asset value
("NAV") to the time
of the Fund's next NAV calculation. The NAV calculation times for the Funds typically range from 7:00 a.m. to 4:15 p.m. (Eastern
Time);
please see the section entitled "Summary–Creation and Redemption Transactions" above for additional details on the NAV calculation times for
the Funds. The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period
and usually will differ from two times (2x), the inverse (-1x) or two times the inverse (-2x) of the return of the Geared Fund's benchmark for the
same period. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over
time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period's
returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund's stated
multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility
-13
and holding period increase. The impact of compounding
will impact each shareholder differently depending on the period of time an
investment in a Geared Fund is held and the volatility of the benchmark during the holding
period of an investment in the Geared Fund.
A Geared Fund will lose money if its
benchmark's performance is flat over time, and a Geared Fund can lose money regardless of the
performance of an underlying benchmark, as a result of daily
rebalancing, the benchmark's volatility, compounding and other factors. Longer
holding periods, higher benchmark volatility, inverse exposure and greater leverage
each affect the impact of compounding on a Geared Fund's
returns. Daily compounding of a Geared Fund's investment returns can dramatically and adversely affect
performance, especially during periods
of high volatility. Volatility has a negative impact on Geared Fund performance and the volatility of a Geared Fund's
benchmark may be at least
as important to a Geared Fund's return for a period as the return of the Fund's benchmark.
Each of the Ultra Fund and UltraShort Fund uses leverage and should produce returns for a single
day that are more volatile than that of
its benchmark. For example, the return for a single day of an Ultra Fund with a 2x multiple should be approximately two times as
volatile for a
single day as the return of a fund with an objective of matching the performance of the same benchmark. The return for a single day of an
UltraShort Fund with a -2x multiple should be approximately two times as volatile for a single day as the inverse of the return of a fund with an
objective of matching the performance of the same benchmark.
The Geared Funds are not appropriate for all investors and present different risks than other funds. The Geared Funds (other than the
Short Euro Fund) use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should
only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily
inverse leveraged investment results for a single day. Shareholders who invest in the Geared Funds should actively manage and monitor their
investments, as frequently as daily.
The hypothetical examples below illustrate how daily geared fund returns can behave for periods longer than a single day. Each involves
a hypothetical fund XYZ that seeks returns that are two times (2x) the daily performance of benchmark XYZ, before fees and expenses. On each
day, fund XYZ performs in line with its objective (two times (2x) the benchmark's daily performance before fees and expenses). Notice that, in
the first example (showing an overall benchmark loss for the period), over the entire seven-day period, the fund's total return is more than two
times (2x) the loss of the period return of the benchmark. For the seven-day period, benchmark XYZ lost 3.26% while fund XYZ lost 7.01%
(versus -6.52% (or 2 x -3.26%)).
Benchmark XYZ
Fund
XYZ
Level
Daily
Performance
Daily
Performance
Net
Asset
Value
Start
100.00
$
100.00
Day 1
97.00
-3.00%
-6.00%
$
94.00
Day 2
99.91
3.00%
6.00%
$
99.64
Day 3
96.91
-3.00%
-6.00%
$
93.66
Day 4
99.82
3.00%
6.00%
$
99.28
Day 5
96.83
-3.00%
-6.00%
$
93.32
Day 6
99.73
3.00%
6.00%
$
98.92
Day 7
96.74
-3.00%
-6.00%
$
92.99
Total Return
-3.26%
-7.01%
Similarly, in another example (showing an overall benchmark gain for the period), over the entire seven-day period, the fund's total return
is considerably less than two times (2x) that of the period return of the benchmark. For the seven-day period, benchmark XYZ gained 2.72%
while fund XYZ gained 4.86% (versus 5.44% (or 2 ×
2.72%)).
Benchmark XYZ
Fund
XYZ
Level
Daily
Performance
Daily
Performance
Net
Asset
Value
Start
100.00
$
100.00
Day 1
103.00
3.00%
6.00%
$
106.00
-14
Benchmark XYZ
Fund
XYZ
Level
Daily
Performance
Daily
Performance
Net
Asset
Value
Day 2
99.91
-3.00%
-6.00%
$
99.64
Day 3
102.91
3.00%
6.00%
$
105.62
Day 4
99.82
-3.00%
-6.00%
$
99.28
Day 5
102.81
3.00%
6.00%
$
105.24
Day 6
99.73
-3.00%
-6.00%
$
98.92
Day 7
102.72
3.00%
6.00%
$
104.86
Total Return
2.72%
4.86%
These effects are caused by compounding, which exists in all investments, but has a more significant impact in geared funds. In general,
during periods of higher benchmark volatility, compounding will cause an Ultra Fund's returns for periods longer than a single day to be less
than two times (2x) the return of its benchmark (or less than the inverse (-1x) or two times the inverse (-2x) of the return of its benchmark for a
Short Fund or an UltraShort Fund, respectively). This effect becomes more pronounced as volatility increases. Conversely, in periods of lower
benchmark volatility (particularly when combined with higher benchmark returns), an Ultra Fund's returns over longer periods can be greater
than two times (2x) the return of its benchmark (or greater than two times the inverse (-2x) of the return of its benchmark for an UltraShort
Fund). Actual results for a particular period are also dependent on the magnitude of the benchmark return in addition to the benchmark volatility.
Similar effects exist for a Short Fund and an UltraShort Fund, and the significance of these effects may be even greater with such inverse,
inverse leveraged or leveraged funds.
The graphs that follow illustrate this point. Each of the graphs shows a simulated hypothetical one-year performance of a benchmark
compared with the performance of a geared fund that perfectly achieves its geared daily investment objective. The graphs demonstrate that, for
periods greater than a single day, a geared fund is likely to underperform or overperform (but not match) the benchmark performance (or the
inverse of the benchmark performance) times the multiple stated as the daily fund objective. Investors should understand the consequences of
holding daily rebalanced funds for periods longer than a single day and should actively manage and monitor their investments, as frequently as
daily. A one-year period is used solely for illustrative purposes. Deviations from the benchmark return (or the inverse of the benchmark return)
times the fund multiple can occur over periods as short as two days (each day as measured from NAV to NAV) and may also occur in periods of
a single day, or even intra-day. To isolate the impact of daily leveraged, inverse or inverse leveraged exposure, these graphs assume: a) no fund
expenses or transaction costs; b) borrowing/lending rates of zero percent (to obtain required leveraged, inverse or inverse leveraged exposure)
and cash reinvestment rates of zero percent; and c) the fund consistently maintaining perfect exposure (-1x, -2x or 2x) as of the fund's NAV
time each day. If these assumptions were different, the fund's performance would be different than that shown. If fund expenses, transaction
costs and financing expenses greater than zero percent were included, the fund's performance would also be different than shown. Each of the
graphs also assumes a volatility rate of 45% which is an approximate average of the five-year historical volatility rate of the most volatile
benchmark referenced herein (the daily performance of Bloomberg Natural Gas Subindex) as of November 30, 2021. A benchmark's volatility
rate is a statistical measure of the magnitude of fluctuations in its returns.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING
MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN
OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS
FOR
ILLUSTRATIVE PURPOSES ONLY.
-15
One-Year Simulation; Benchmark Flat (0%)
(Annualized Benchmark Volatility
45%)
The graph above shows a scenario where the benchmark, which exhibits day-to-day volatility, is
flat or trendless over the year (
i.e
.,
provides a return of 0% over the course of the year), but the Short Fund (-1x) is down.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING
MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN
OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS
FOR
ILLUSTRATIVE PURPOSES ONLY.
One-Year Simulation; Benchmark Down 36%
(Annualized Benchmark Volatility 45%)
-16
The graph above shows a scenario where
the benchmark, which exhibits day-to-day volatility, is down over the year, but the Short Fund
(-1x) is up less than the inverse of the benchmark.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING
MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN
OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS
FOR
ILLUSTRATIVE PURPOSES ONLY.
One-Year Simulation; Benchmark Up 36%
(Annualized Benchmark Volatility 45%)
The graph above shows a scenario where the benchmark, which exhibits day-to-day volatility, is up
over the year, but the Short Fund
(-1x) is down more than the inverse of the benchmark.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING
MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN
OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS
FOR
ILLUSTRATIVE PURPOSES ONLY.
-17
One-Year Simulation; Benchmark Flat (0%)
(Annualized Benchmark Volatility
45%)
The graph above shows a scenario where the benchmark, which exhibits day-to-day volatility, is
flat or trendless over the year (
i.e
.,
provides a return of 0% over the course of the year), but the Ultra Fund (2x) and the UltraShort Fund (-2x) are both down.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING
MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN
OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS
FOR
ILLUSTRATIVE PURPOSES ONLY.
One-Year Simulation; Benchmark Down 36%
(Annualized Benchmark Volatility 45%)
-18
The graph above shows a scenario where
the benchmark, which exhibits day-to-day volatility, is down over the year, but the Ultra Fund
(2x) is down less than two times the benchmark and the UltraShort Fund (-2x)
is up less than two times the inverse of the benchmark.
HYPOTHETICAL PERFORMANCE
RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING
MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN
OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS
FOR ILLUSTRATIVE PURPOSES ONLY.
One-Year Simulation; Benchmark Up 36%
(Annualized Benchmark Volatility
45%)
The graph above shows a scenario where the benchmark, which exhibits day-to-day volatility, is up
over the year, but the Ultra Fund (2x)
is up less than two times the benchmark and the UltraShort Fund (-2x) is down less than two times the inverse of the
benchmark.
The historical five-year average volatility of the benchmarks utilized by
the Funds ranges from 6.62% to 44.71% as of November 30,
2021, as set forth in the table below.
Benchmark
Historical
Five-Year Average
November 30, 2021
S&P 500 VIX Mid-Term Futures Index
35.50%
Bloomberg Natural Gas Subindex
SM
44.71%
Bloomberg Silver Subindex
SM
28.91%
Bloomberg Gold Subindex
SM
14.44%
The U.S. dollar price of the Australian dollar
8.93%
The U.S. dollar price of the euro
6.62%
The U.S. dollar price of the Japanese yen
7.16%
Historical average volatility does not predict future volatility, which may be significantly higher or lower than historical averages.
Fund performance for periods greater than a single day can be estimated given any set of
assumptions for the following factors: a)
benchmark volatility; b) benchmark performance; c) period of time; d) financing rates associated with leveraged exposure; and e)
other Fund
expenses. The tables below illustrate the impact of two factors that affect a geared fund's performance: benchmark volatility and benchmark
-19
return. Benchmark volatility is a statistical measure of
the magnitude of fluctuations in the returns of a benchmark and is calculated as the
standard deviation of the natural logarithms of one plus the benchmark return
(calculated daily), multiplied by the square root of the number of
trading days per year (assumed to be 252). The tables show estimated fund returns for a number of
combinations of benchmark volatility and
benchmark return over a one-year period. To isolate the impact of daily leveraged, inverse or inverse leveraged exposure, these
tables assume: a)
no fund expenses or transaction costs; b) borrowing/lending rates of zero percent (to obtain required leveraged, inverse or inverse leveraged
exposure) and cash reinvestment rates of zero percent; and c) the fund consistently maintaining perfect exposure (2x, -1x, -2x) as of the fund's
NAV time each day. If these assumptions were different, the fund's performance would be different than that shown. If fund expenses,
transaction costs and financing expenses were included, the fund's performance would be different than that shown.
The first table below shows an example in which a geared fund has an investment objective to
correspond (before fees and expenses) to
two times (2x) the daily performance of a benchmark. The geared fund could incorrectly be expected to achieve a 20% return on a
yearly basis if
the benchmark return was 10%, absent the effects of compounding. However, as the table shows, with a benchmark volatility of 40%, such a
fund would return 3.1%. In the charts below, shaded areas represent those scenarios where a geared fund with the investment objective described
will outperform (
i.e
., return more than) the benchmark performance times the stated multiple in the fund's investment objective; conversely
areas not shaded represent those scenarios where the fund will underperform (
i.e
., return less than) the benchmark performance times the
multiple stated as the daily fund
objective.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO
REPRESENTATION IS BEING
MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN
OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS
FOR
ILLUSTRATIVE PURPOSES ONLY.
Estimated Fund Return Over One Year
When the Fund's Objective is to Seek Daily Investment Results, Before Fees and Expenses, that
Correspond to Two Times (2x) the
Performance of a Benchmark for a Single Day.
One Year
Benchmark
Performance
Two Times (2x)
One Year
Benchmark
Performance
Benchmark Volatility
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
55%
60%
65%
70%
-60%
-120%
-84.0%
-84.0%
-84.2%
-84.4%
-84.6%
-85.0%
-85.4%
-85.8%
-86.4%
-86.9%
-87.5%
-88.2%
-88.8%
-89.5%
-90.2%
-55%
-110%
-79.8%
-79.8%
-80.0%
-80.2%
-80.5%
-81.0%
-81.5%
-82.1%
-82.7%
-83.5%
-84.2%
-85.0%
-85.9%
-86.7%
-87.6%
-50%
-100%
-75.0%
-75.1%
-75.2%
-75.6%
-76.0%
-76.5%
-77.2%
-77.9%
-78.7%
-79.6%
-80.5%
-81.5%
-82.6%
-83.6%
-84.7%
-45%
-90%
-69.8%
-69.8%
-70.1%
-70.4%
-70.9%
-71.6%
-72.4%
-73.2%
-74.2%
-75.3%
-76.4%
-77.6%
-78.9%
-80.2%
-81.5%
-40%
-80%
-64.0%
-64.1%
-64.4%
-64.8%
-65.4%
-66.2%
-67.1%
-68.2%
-69.3%
-70.6%
-72.0%
-73.4%
-74.9%
-76.4%
-77.9%
-35%
-70%
-57.8%
-57.9%
-58.2%
-58.7%
-59.4%
-60.3%
-61.4%
-62.6%
-64.0%
-65.5%
-67.1%
-68.8%
-70.5%
-72.3%
-74.1%
-30%
-60%
-51.0%
-51.1%
-51.5%
-52.1%
-52.9%
-54.0%
-55.2%
-56.6%
-58.2%
-60.0%
-61.8%
-63.8%
-65.8%
-67.9%
-70.0%
-25%
-50%
-43.8%
-43.9%
-44.3%
-45.0%
-46.0%
-47.2%
-48.6%
-50.2%
-52.1%
-54.1%
-56.2%
-58.4%
-60.8%
-63.1%
-65.5%
-20%
-40%
-36.0%
-36.2%
-36.6%
-37.4%
-38.5%
-39.9%
-41.5%
-43.4%
-45.5%
-47.7%
-50.2%
-52.7%
-55.3%
-58.1%
-60.8%
-15%
-30%
-27.8%
-27.9%
-28.5%
-29.4%
-30.6%
-32.1%
-34.0%
-36.1%
-38.4%
-41.0%
-43.7%
-46.6%
-49.6%
-52.6%
-55.7%
-10%
-20%
-19.0%
-19.2%
-19.8%
-20.8%
-22.2%
-23.9%
-26.0%
-28.3%
-31.0%
-33.8%
-36.9%
-40.1%
-43.5%
-46.9%
-50.4%
-5%
-10%
-9.8%
-10.0%
-10.6%
-11.8%
-13.3%
-15.2%
-17.5%
-20.2%
-23.1%
-26.3%
-29.7%
-33.3%
-37.0%
-40.8%
-44.7%
0%
0%
0.0%
-0.2%
-1.0%
-2.2%
-3.9%
-6.1%
-8.6%
-11.5%
-14.8%
-18.3%
-22.1%
-26.1%
-30.2%
-34.5%
-38.7%
5%
10%
10.3%
10.0%
9.2%
7.8%
5.9%
3.6%
0.8%
-2.5%
-6.1%
-10.0%
-14.1%
-18.5%
-23.1%
-27.7%
-32.5%
10%
20%
21.0%
20.7%
19.8%
18.3%
16.3%
13.7%
10.6%
7.0%
3.1%
-1.2%
-5.8%
-10.6%
-15.6%
-20.7%
-25.9%
15%
30%
32.3%
31.9%
30.9%
29.3%
27.1%
24.2%
20.9%
17.0%
12.7%
8.0%
3.0%
-2.3%
-7.7%
-13.3%
-19.0%
20%
40%
44.0%
43.6%
42.6%
40.8%
38.4%
35.3%
31.6%
27.4%
22.7%
17.6%
12.1%
6.4%
0.5%
-5.6%
-11.8%
25%
50%
56.3%
55.9%
54.7%
52.8%
50.1%
46.8%
42.8%
38.2%
33.1%
27.6%
21.7%
15.5%
9.0%
2.4%
-4.3%
30%
60%
69.0%
68.6%
67.3%
65.2%
62.4%
58.8%
54.5%
49.5%
44.0%
38.0%
31.6%
24.9%
17.9%
10.8%
3.5%
35%
70%
82.3%
81.8%
80.4%
78.2%
75.1%
71.2%
66.6%
61.2%
55.3%
48.8%
41.9%
34.7%
27.2%
19.4%
11.7%
40%
80%
96.0%
95.5%
94.0%
91.6%
88.3%
84.1%
79.1%
73.4%
67.0%
60.1%
52.6%
44.8%
36.7%
28.5%
20.1%
45%
90%
110.3%
109.7%
108.2%
105.6%
102.0%
97.5%
92.2%
86.0%
79.2%
71.7%
63.7%
55.4%
46.7%
37.8%
28.8%
50%
100%
125.0%
124.4%
122.8%
120.0%
116.2%
111.4%
105.6%
99.1%
91.7%
83.8%
75.2%
66.3%
57.0%
47.5%
37.8%
55%
110%
140.3%
139.7%
137.9%
134.9%
130.8%
125.7%
119.6%
112.6%
104.7%
96.2%
87.1%
77.5%
67.6%
57.5%
47.2%
60%
120%
156.0%
155.4%
153.5%
150.3%
146.0%
140.5%
134.0%
126.5%
118.1%
109.1%
99.4%
89.2%
78.6%
67.8%
56.8%
-20
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING
MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN
OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS
FOR
ILLUSTRATIVE PURPOSES ONLY.
Estimated Fund Return Over One Year
When the Fund's Objective is to Seek Daily Investment Results, Before Fees and Expenses, that
Correspond to the Inverse (-1x) of
the Performance of a Benchmark for a Single Day.
One Year
Benchmark
Performance
Inverse (-1x) of
One Year
Benchmark
Performance
Benchmark Volatility
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
55%
60%
65%
70%
-60%
60%
150.0%
149.4%
147.5%
144.4%
140.2%
134.9%
128.5%
121.2%
113.0%
104.2%
94.7%
84.7%
74.4%
63.9%
53.2%
-55%
55%
122.2%
121.7%
120.0%
117.3%
113.5%
108.8%
103.1%
96.6%
89.4%
81.5%
73.1%
64.2%
55.0%
45.6%
36.1%
-50%
50%
100.0%
99.5%
98.0%
95.6%
92.2%
87.9%
82.8%
76.9%
70.4%
63.3%
55.8%
47.8%
39.5%
31.1%
22.5%
-45%
45%
81.8%
81.4%
80.0%
77.8%
74.7%
70.8%
66.2%
60.9%
54.9%
48.5%
41.6%
34.4%
26.9%
19.2%
11.4%
-40%
40%
66.7%
66.3%
65.0%
63.0%
60.1%
56.6%
52.3%
47.5%
42.0%
36.1%
29.8%
23.2%
16.3%
9.2%
2.1%
-35%
35%
53.8%
53.5%
52.3%
50.4%
47.8%
44.5%
40.6%
36.1%
31.1%
25.6%
19.8%
13.7%
7.3%
0.8%
-5.7%
-30%
30%
42.9%
42.5%
41.4%
39.7%
37.3%
34.2%
30.6%
26.4%
21.7%
16.7%
11.3%
5.6%
-0.3%
-6.4%
-12.5%
-25%
25%
33.3%
33.0%
32.0%
30.4%
28.1%
25.3%
21.9%
18.0%
13.6%
8.9%
3.8%
-1.5%
-7.0%
-12.6%
-18.3%
-20%
20%
25.0%
24.7%
23.8%
22.2%
20.1%
17.4%
14.2%
10.6%
6.5%
2.1%
-2.6%
-7.6%
-12.8%
-18.1%
-23.4%
-15%
15%
17.6%
17.4%
16.5%
15.0%
13.0%
10.5%
7.5%
4.1%
0.3%
-3.9%
-8.4%
-13.1%
-17.9%
-22.9%
-27.9%
-10%
10%
11.1%
10.8%
10.0%
8.6%
6.8%
4.4%
1.5%
-1.7%
-5.3%
-9.3%
-13.5%
-17.9%
-22.5%
-27.2%
-31.9%
-5%
5%
5.3%
5.0%
4.2%
2.9%
1.1%
-1.1%
-3.8%
-6.9%
-10.3%
-14.0%
-18.0%
-22.2%
-26.6%
-31.0%
-35.5%
0%
0%
0.0%
-0.2%
-1.0%
-2.2%
-3.9%
-6.1%
-8.6%
-11.5%
-14.8%
-18.3%
-22.1%
-26.1%
-30.2%
-34.5%
-38.7%
5%
-5%
-4.8%
-5.0%
-5.7%
-6.9%
-8.5%
-10.5%
-13.0%
-15.7%
-18.8%
-22.2%
-25.8%
-29.6%
-33.6%
-37.6%
-41.7%
10%
-10%
-9.1%
-9.3%
-10.0%
-11.1%
-12.7%
-14.6%
-16.9%
-19.6%
-22.5%
-25.8%
-29.2%
-32.8%
-36.6%
-40.4%
-44.3%
15%
-15%
-13.0%
-13.3%
-13.9%
-15.0%
-16.5%
-18.3%
-20.5%
-23.1%
-25.9%
-29.0%
-32.3%
-35.7%
-39.3%
-43.0%
-46.7%
20%
-20%
-16.7%
-16.9%
-17.5%
-18.5%
-19.9%
-21.7%
-23.8%
-26.3%
-29.0%
-31.9%
-35.1%
-38.4%
-41.9%
-45.4%
-48.9%
25%
-25%
-20.0%
-20.2%
-20.8%
-21.8%
-23.1%
-24.8%
-26.9%
-29.2%
-31.8%
-34.7%
-37.7%
-40.9%
-44.2%
-47.6%
-51.0%
30%
-30%
-23.1%
-23.3%
-23.8%
-24.8%
-26.1%
-27.7%
-29.7%
-31.9%
-34.5%
-37.2%
-40.1%
-43.2%
-46.3%
-49.6%
-52.9%
35%
-35%
-25.9%
-26.1%
-26.7%
-27.6%
-28.8%
-30.4%
-32.3%
-34.5%
-36.9%
-39.5%
-42.3%
-45.3%
-48.3%
-51.5%
-54.6%
40%
-40%
-28.6%
-28.7%
-29.3%
-30.2%
-31.4%
-32.9%
-34.7%
-36.8%
-39.1%
-41.7%
-44.4%
-47.2%
-50.2%
-53.2%
-56.2%
45%
-45%
-31.0%
-31.2%
-31.7%
-32.6%
-33.7%
-35.2%
-37.0%
-39.0%
-41.2%
-43.7%
-46.3%
-49.0%
-51.9%
-54.8%
-57.7%
50%
-50%
-33.3%
-33.5%
-34.0%
-34.8%
-35.9%
-37.4%
-39.1%
-41.0%
-43.2%
-45.6%
-48.1%
-50.7%
-53.5%
-56.3%
-59.2%
55%
-55%
-35.5%
-35.6%
-36.1%
-36.9%
-38.0%
-39.4%
-41.0%
-42.9%
-45.0%
-47.3%
-49.8%
-52.3%
-55.0%
-57.7%
-60.5%
60%
-60%
-37.5%
-37.7%
-38.1%
-38.9%
-40.0%
-41.3%
-42.9%
-44.7%
-46.7%
-49.0%
-51.3%
-53.8%
-56.4%
-59.0%
-61.7%
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS. NO REPRESENTATION IS BEING
MADE THAT ANY BENCHMARK OR FUND WILL OR IS LIKELY TO ACHIEVE GAINS OR LOSSES SIMILAR TO THOSE SHOWN
OR WILL EXPERIENCE VOLATILITY SIMILAR TO THAT SHOWN. THE INFORMATION PROVIDED IN THE CHART BELOW IS
FOR
ILLUSTRATIVE PURPOSES ONLY.
-21
Estimated Fund Return Over One Year When the Fund's Objective is to Seek Daily Investment Results, Before Fees and Expenses, that
Correspond to Two Times the Inverse (-2x) of the Performance of a Benchmark for a Single Day.
One Year
Benchmark
Performance
Two Times
Inverse (-2x) of
One Year
Benchmark
Performance
Benchmark Volatility
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
55%
60%
65%
70%
-60%
120%
525.0%
520.3%
506.5%
484.2%
454.3%
418.1%
377.1%
332.8%
286.7%
240.4%
195.2%
152.2%
112.2%
76.0%
43.7%
-55%
110%
393.8%
390.1%
379.2%
361.6%
338.0%
309.4%
277.0%
242.0%
205.6%
169.0%
133.3%
99.3%
67.7%
39.0%
13.5%
-50%
100%
300.0%
297.0%
288.2%
273.9%
254.8%
231.6%
205.4%
177.0%
147.5%
117.9%
88.9%
61.4%
35.8%
12.6%
-8.0%
-45%
90%
230.6%
228.1%
220.8%
209.0%
193.2%
174.1%
152.4%
128.9%
104.6%
80.1%
56.2%
33.4%
12.3%
-6.9%
-24.0%
-40%
80%
177.8%
175.7%
169.6%
159.6%
146.4%
130.3%
112.0%
92.4%
71.9%
51.3%
31.2%
12.1%
-5.7%
-21.8%
-36.1%
-35%
70%
136.7%
134.9%
129.7%
121.2%
109.9%
96.2%
80.7%
63.9%
46.5%
28.9%
11.8%
-4.5%
-19.6%
-33.4%
-45.6%
-30%
60%
104.1%
102.6%
98.1%
90.8%
81.0%
69.2%
55.8%
41.3%
26.3%
11.2%
-3.6%
-17.6%
-30.7%
-42.5%
-53.1%
-25%
50%
77.8%
76.4%
72.5%
66.2%
57.7%
47.4%
35.7%
23.1%
10.0%
-3.2%
-16.0%
-28.3%
-39.6%
-49.9%
-59.1%
-20%
40%
56.3%
55.1%
51.6%
46.1%
38.6%
29.5%
19.3%
8.2%
-3.3%
-14.9%
-26.2%
-36.9%
-46.9%
-56.0%
-64.1%
-15%
30%
38.4%
37.4%
34.3%
29.4%
22.8%
14.7%
5.7%
-4.2%
-14.4%
-24.6%
-34.6%
-44.1%
-53.0%
-61.0%
-68.2%
-10%
20%
23.5%
22.5%
19.8%
15.4%
9.5%
2.3%
-5.8%
-14.5%
-23.6%
-32.8%
-41.7%
-50.2%
-58.1%
-65.2%
-71.6%
-5%
10%
10.8%
10.0%
7.5%
3.6%
-1.7%
-8.1%
-15.4%
-23.3%
-31.4%
-39.6%
-47.7%
-55.3%
-62.4%
-68.8%
-74.5%
0%
0%
0.0%
-0.7%
-3.0%
-6.5%
-11.3%
-17.1%
-23.7%
-30.8%
-38.1%
-45.5%
-52.8%
-59.6%
-66.0%
-71.8%
-77.0%
5%
-10%
-9.3%
-10.0%
-12.0%
-15.2%
-19.6%
-24.8%
-30.8%
-37.2%
-43.9%
-50.6%
-57.2%
-63.4%
-69.2%
-74.5%
-79.1%
10%
-20%
-17.4%
-18.0%
-19.8%
-22.7%
-26.7%
-31.5%
-36.9%
-42.8%
-48.9%
-55.0%
-61.0%
-66.7%
-71.9%
-76.7%
-81.0%
15%
-30%
-24.4%
-25.0%
-26.6%
-29.3%
-32.9%
-37.3%
-42.3%
-47.6%
-53.2%
-58.8%
-64.3%
-69.5%
-74.3%
-78.7%
-82.6%
20%
-40%
-30.6%
-31.1%
-32.6%
-35.1%
-38.4%
-42.4%
-47.0%
-51.9%
-57.0%
-62.2%
-67.2%
-72.0%
-76.4%
-80.4%
-84.0%
25%
-50%
-36.0%
-36.5%
-37.9%
-40.2%
-43.2%
-46.9%
-51.1%
-55.7%
-60.4%
-65.1%
-69.8%
-74.2%
-78.3%
-82.0%
-85.3%
30%
-60%
-40.8%
-41.3%
-42.6%
-44.7%
-47.5%
-50.9%
-54.8%
-59.0%
-63.4%
-67.8%
-72.0%
-76.1%
-79.9%
-83.3%
-86.4%
35%
-70%
-45.1%
-45.5%
-46.8%
-48.7%
-51.3%
-54.5%
-58.1%
-62.0%
-66.0%
-70.1%
-74.1%
-77.9%
-81.4%
-84.6%
-87.4%
40%
-80%
-49.0%
-49.4%
-50.5%
-52.3%
-54.7%
-57.7%
-61.1%
-64.7%
-68.4%
-72.2%
-75.9%
-79.4%
-82.7%
-85.6%
-88.3%
45%
-90%
-52.4%
-52.8%
-53.8%
-55.5%
-57.8%
-60.6%
-63.7%
-67.1%
-70.6%
-74.1%
-77.5%
-80.8%
-83.8%
-86.6%
-89.1%
50%
-100%
-55.6%
-55.9%
-56.9%
-58.5%
-60.6%
-63.2%
-66.1%
-69.2%
-72.5%
-75.8%
-79.0%
-82.1%
-84.9%
-87.5%
-89.8%
55%
-110%
-58.4%
-58.7%
-59.6%
-61.1%
-63.1%
-65.5%
-68.2%
-71.2%
-74.2%
-77.3%
-80.3%
-83.2%
-85.9%
-88.3%
-90.4%
60%
-120%
-60.9%
-61.2%
-62.1%
-63.5%
-65.4%
-67.6%
-70.2%
-73.0%
-75.8%
-78.7%
-81.5%
-84.2%
-86.7%
-89.0%
-91.0%
The foregoing tables are intended to isolate the effect of benchmark volatility and benchmark
performance on the return of leveraged,
inverse or inverse leveraged funds. The Funds' actual returns may be greater or less than the returns shown
above.
Correlation and Performance Risks Specific to the Geared
Funds.
While the Geared Funds seek to meet their investment objectives, there is no
guarantee they will do so. Factors that may affect a Geared
Fund's ability to meet its investment objective include: (1) the Sponsor's ability to purchase and
sell Financial Instruments in a manner that
correlates to a Fund's objective, including the Sponsor's ability to enter into new positions and contracts to
replace exposure that has been
reduced or terminated by a counterparty or otherwise; (2) an imperfect correlation between the performance of the Financial Instruments held
by
a Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction
costs, financing costs and margin requirements associated with the use of Financial Instruments and commission costs; (5) holding or trading
Financial Instruments in a market that has become illiquid or disrupted; (6) a Fund's Share prices being rounded to the nearest cent and/or
valuation methodologies; (7) changes to a benchmark that are not disseminated in advance; (8) the need to conform a Fund's portfolio holdings
to comply with investment restrictions or policies, position limits and accountability levels, and regulatory or tax law requirements; (9) early or
unanticipated closings of the markets on which the holdings of a Fund trade, limiting or preventing the Fund from executing intended portfolio
transactions; (10) accounting standards; (11) differences caused by a Fund obtaining exposure to only a representative sample of the components
of a benchmark, overweighting or underweighting certain components of a benchmark or obtaining exposure to assets that are not included in a
benchmark; (12) large movements of assets into and/or out of a Fund, particularly late in the day; (13) significant and/or rapid increases in the
size of the Fund as a result of an increase in creation activity that cause the Fund to approach or reach Share registration limits, position or
accountability limits or other portfolio limits; and (14) events such as natural disasters (including disease, epidemics and pandemics) that can be
highly disruptive to economies, markets and companies including, but not limited to, the Sponsor and third party service providers.
-22
In order to achieve a high degree of
correlation with their applicable underlying benchmarks, the Geared Funds seek to rebalance their
portfolios daily to keep exposure consistent with their respective
investment objectives. A Geared Fund's ability to achieve or maintain such
exposure may be limited by a number of factors. For example, being materially under- or
overexposed to the benchmarks may prevent a Geared
Fund from achieving a high degree of correlation with their applicable underlying benchmarks. Market disruptions or
closures, large movements
of assets into or out of the Geared Funds, regulatory restrictions, market volatility, illiquidity, margin requirements, accountability levels,
position limits, and daily price fluctuation limits set forth by the exchanges and other factors will adversely affect such Geared Funds' ability to
adjust exposure to requisite levels. The target amount of a Fund's portfolio exposure may be impacted by changes to the value of its benchmark
each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant
adjustments to a Fund's portfolio. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (
i.e
., 2x, -1x, -2x, as applicable)
at the end of each day, and the likelihood of being materially under- or overexposed is higher on days when the benchmark levels are volatile at
or near the close of the trading day.
The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day at the discretion of the Sponsor,
depending upon market conditions and other circumstances. Unlike other funds that do not rebalance their portfolios as frequently, each Geared
Fund may be subject to increased trading costs associated with daily portfolio rebalancings. The effects of these trading costs have been
estimated and included in the Breakeven Table. See "Charges–Breakeven Table" below.
Changes to a Benchmark and Daily Rebalancing of the Geared Funds May Impact Trading in the Underlying Futures Contracts.
Changes to a benchmark and daily rebalancing may cause the Geared Funds to adjust their portfolio
positions. This trading activity will
contribute to the trading volume of the underlying futures contracts and may adversely affect the market price of such underlying
futures contracts.
Intraday Price/Performance of Geared Fund Shares Will Likely Differ from the Fund's Stated Daily Multiple Times the Performance of its
Benchmark for Such Day.
The intraday performance of Shares of a Geared Fund traded in the secondary market generally will be different from the performance of
the Fund when measured from one NAV calculation-time to the next. When Shares are bought intraday, the performance of such Shares relative
to its benchmark until the Geared Fund's next NAV calculation likely will be greater than or less than the Fund's stated daily multiple times the
performance of its benchmark. These differences can be significant.
The amount of the discount or premium in the trading price of the Shares relative to their NAV may be influenced by non-concurrent
trading hours between the Exchange (the exchange on which the Shares trade) and the exchanges on which futures contracts trade. While the
Shares are expected to trade on the Exchange until 4:00 p.m. (Eastern time), liquidity in the markets for the futures contracts in which the Funds
seek to invest is expected to be reduced whenever the principal markets for those contracts are closed. As a result, trading spreads, and the
resulting premium or discount on Shares, may widen during these gaps in market trading hours and the value of the Fund's holdings may vary,
perhaps significantly. Whether Shares will trade above, below or at a price equal to the value of the Fund's holdings cannot be predicted.
If an investor purchases Shares when a Fund's secondary market price is higher than the
Fund's NAV, or sells Shares when a Fund's
secondary market price is lower than the Fund's NAV, such investment may not be as profitable as the investment
would have been if the
secondary market price was equal to the Fund's NAV.
Natural Disasters and Public Health Disruptions, such as the COVID-19 Virus, May Have a Significant Negative Impact on the
Performance of Each Fund.
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena
generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, the novel coronavirus
COVID-19), have been and may continue to be highly disruptive to economies and markets. These conditions have recently led, and may
continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could
exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, civil unrest, periods of
high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to
important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and
-23
their investments. For example, the U.S. federal
government, along with state and local governments, have adopted various laws and regulations
in response to the COVID-19 pandemic, the effects and results of which are
uncertain. A climate of uncertainty and panic, including the
contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and
reduce the availability of potential
investment opportunities and accuracy of economic projections. Further, such events can be highly disruptive to economies and markets,
significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds' Sponsor and third party service
providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor
sentiment, and other factors affecting the value of the Funds' investments. These factors can cause extreme market volatility, illiquidity,
exchange trading suspensions and market closures. A widespread crisis, such as the COVID-19 pandemic, may also affect the global economy
in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be
predicted. Impacts from these events could have significant impact on a Fund's performance, and the value of an investment in the Fund may
decline significantly.
The COVID-19 pandemic has already had, and may continue to have, a significant negative and unpredictable impact on the U.S. and
global economy. For example, equity and other markets have experienced extreme declines and volatility. During much of 2020 and the first
quarter of 2021, the unemployment rate in the U.S. has been extremely high by historical standards. Further, the global slowdown in the
economy contributed to a significant oversupply in the crude oil market, resulting in historic shocks to, and extreme volatility in, the price of oil
and related derivatives contracts. The global slowdown in the economy and other factors could further shocks to the crude oil market, as well as
the markets for other commodities, such as natural gas, and related derivative contracts. It is not possible to predict when unemployment and
market conditions will return to more normal levels.
Market downturns, disruptions or illiquidity as a result of, or related to, the COVID-19 pandemic can have a significant negative impact
on the value of Fund portfolio investments, the operations of each Fund, the markets in which the Funds invest and the trading of Fund Shares in
the secondary market. For example, market factors may adversely affect the price and liquidity of the Funds' investments and potentially
increase margin and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or
impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to
transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out
positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transact on a more limited basis (or not at
all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure consistent with its investment
objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in
the secondary market.
This outbreak of COVID-19 (including any variants), or any future epidemic or pandemic similar to
COVID-19, SARS, H1N1, or MERS,
could have a significant adverse impact on the Funds and their investments, could adversely affect the Funds' ability to fulfill its
investment
objectives, and could result in significant losses to the Funds. The extent of the impact of any outbreak on the performance of the Funds and
their investments depend on many factors, including the duration and scope of such outbreak, the development and distribution of treatments and
vaccines for viruses such as COVID-19, the extent of any such outbreak's disruption to important global, regional and local supply chains and
economic markets, and the impact of such outbreak on overall supply and demand, investor liquidity, consumer confidence and levels of
economic activity, all of which are highly uncertain and cannot be predicted.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks.
The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial
markets and economies, with many
governments taking extreme actions in an attempt to slow and contain the spread of COVID-19. These actions have had, and likely will
continue
to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across
the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets
entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. Contemporaneous with the onset of the
COVID-19 pandemic in the U.S., crude oil markets experienced shocks to the supply of and demand for crude oil. This led to an oversupply of
crude oil, which impacted the price of crude oil and futures contracts on crude oil and caused historic volatility in the market for crude oil and
crude oil futures contracts. In April 2020, the market for crude oil futures contracts experienced a period of "extraordinary contango" that
resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of
extraordinary contango in the future. The effects of rolling futures contracts under extraordinary contango market conditions generally are more
exaggerated than rolling futures contracts under contango market conditions and can result in significant losses. These and other global
-24
economic shocks as a result of the COVID-19 pandemic may
cause the underlying assumptions and expectations concerning the investments,
operations and performance of the Funds and secondary market trading of Fund Shares to become
inaccurate or outdated quickly, resulting in
significant and unexpected losses.
Each Fund seeks to achieve its investment objective even during periods when the performance of the Fund's benchmark is flat
or
when the benchmark is moving in a manner that may cause the value of the Fund to decline.
The Funds are not actively managed by traditional methods (
e.g
., by effecting changes in the composition of a portfolio on the basis of
judgments relating to economic,
financial and market considerations with a view toward obtaining positive results under all market conditions).
Each Fund seeks to remain fully invested at all times in
Financial Instruments and money market instruments that, in combination, provide
exposure to its benchmark consistent with its investment objective. This is the case even
during periods in which the benchmark is flat or
moving in a manner which causes the value of a Fund to decline. A Fund can lose money regardless of the performance of an
underlying
benchmark, due to the effects of daily rebalancing, volatility, compounding and other risk factors.
Risks Specific to the VIX Futures Fund
In addition to the risks described elsewhere in this "Risk Factors" section, the following risks could apply to the VIX Futures Fund.
VIX futures contracts can be highly volatile and the Funds may experience sudden and large losses
when buying, selling or holding such
instruments; you can lose all or a portion of your investment within a single day.
Investments linked to equity market volatility, including VIX futures contracts, can be highly
volatile and may experience sudden, large
and unexpected losses. For example, in 2018 the S&P 500 VIX Mid-Term Futures Index (the "VIX Mid-Term Futures
Index" or "Index"),
which is comprised of VIX futures contracts, had its largest one-day move ever of approximately 96%. In the future, the Index could
have even
larger single-day or intraday moves, up or down, that could cause investors to lose all or a substantial portion of their investment in a short
period of time. VIX futures contracts are unlike traditional futures contracts and are not based on a tradable reference asset. The VIX is not
directly investable, and the settlement price of a VIX futures contract is based on the calculation that determines the level of the VIX. As a
result, the behavior of a VIX futures contract may be different from a traditional futures contract whose settlement price is based on a specific
tradable asset and may differ from an investor's expectations. The market for VIX futures contracts may fluctuate widely based on a variety of
factors including changes in overall market movements, political and economic events and policies, wars, acts of terrorism, natural disasters
(including disease, epidemics and pandemics), changes in interest rates or inflation rates. High volatility may have an adverse impact on the
performance of the Funds. The UltraFund's leverage factor (1.5x) increases the potential for loss on an investment in this Fund. An investor in
any of the Funds could potentially lose the full principal of his or her investment within a single day.
Generally, a VIX of over 20 indicates a high degree of volatility. During February and March 2020, market volatility elevated to historic
highs as measured by the VIX, which may be attributed to the COVID-19 pandemic. Although the VIX started the year at a level of 12.47 on
January 2, 2020, it spiked to 82.69 on March 16, 2020. However, there is no certainty that such levels will persist even if the scope and duration
of the disruption caused by the COVID-19 pandemic is prolonged or if other economic or political developments contribute to volatility and
investor uncertainty. Such performance is not typical and may not continue for a sustained period of time.
The VIX Futures Fund is benchmarked to the VIX Mid-Term Futures Index. It is
not benchmarked to the VIX or actual realized volatility of
the S&P 500. As a result, the Index and the VIX Futures Fund should be
expected to perform very differently from the VIX over all periods
of time.
The performance of the VIX Mid-Term Futures Index is based on the value of the VIX mid-term
futures contracts that comprise the
Index. While there is a relationship between the performance of the Index and future levels of the VIX, the performance of the Index is
not
directly linked to the performance of the VIX, to the realized volatility of the S&P 500
®
or to the options that underlie the calculation of the
VIX. As a result, the Index and the VIX Futures Fund should be expected to perform very differently from the VIX over all periods of time. In
many cases, the Index (and thus the VIX Futures Fund) will underperform the VIX. Further, the performance of the Index and the VIX Futures
Fund should not be expected to represent the realized volatility of the S&P 500
®
.
The VIX seeks to measure the market's current expectation of 30-day volatility of the S&P 500
®
Index, as reflected by the prices of S&P
500
®
options. The market's current expectation of the possible rate and magnitude of movements in an index is commonly referred to as the
-25
"implied volatility" of the index. Because
S&P 500
®
options derive value from the possibility
that the S&P 500
®
may experience movement
before such options expire, the prices of S&P 500
®
options are used to calculate the implied volatility of the S&P
500
®
.
Unlike many indexes, the VIX is not an investable index. It is not practical to invest in the VIX as it is comprised of a constantly changing
portfolio of options on the S&P 500
®
. Rather, the VIX is designed to serve as a market volatility forecast. The VIX Futures Fund is not
benchmarked to the performance of the VIX or the realized volatility of the S&P 500
®
and, in fact, can be expected to perform very differently
from the VIX and the realized volatility of the S&P 500
®
over all periods of time.
The prices of futures contacts based on a non-investable index such as the VIX may behave differently from the prices of futures contracts
whose settlement price is based on a tradable asset.
As noted, the VIX Futures Fund is benchmarked against an underlying index of VIX mid-term futures contracts. The value of VIX futures
contracts is based on the expected value of the VIX at a future point in time, specifically the expiration date of the VIX futures contracts.
Therefore, VIX futures contracts represent the forward implied volatility of the VIX, and therefore the forward implied volatility of the S&P
500
®
, over the 30-day period following the expiration of such contract. As a result, a change in the VIX today will not necessarily result in a
corresponding movement in the price of VIX futures contracts since the price of VIX futures contracts is based on expectations of the
performance of the VIX at a future point in time. For example, a VIX futures contract purchased in March that expires in May, in effect, is a
forward contract on what the level of the VIX, as a measure of 30-day implied volatility of the S&P 500
®
, will be on the May expiration date.
The forward volatility reading of the VIX may not correlate directly to the current volatility reading of the VIX because the implied volatility of
the S&P 500
®
at a future expiration date may be different from the current implied volatility of the S&P 500
®
. As a result, the Index and the
VIX Futures Fund should be expected to perform very differently from the VIX over all periods of time.
It has been reported that in 2018 various U.S. regulators commenced inquiries into whether the Chicago Board Options Exchange,
Incorporated ("Cboe") VIX Index has been manipulated by one or more financial firms and algorithmic traders, and that a number of private
lawsuits have been filed against the Cboe alleging the manipulation of the Cboe VIX Index. The regulators have not yet made public any
determinations. On January 27, 2020, a federal judge dismissed a private lawsuit with prejudice, but on May 19, 2020, the plaintiffs filed notice
of appeal to the U.S. Court of Appeals for the Seventh Circuit. See In re Chicago Board Options Exchange Volatility Index Manipulation
Antitrust Litigation. Northern District of Illinois. No. 18-04171. The Trust and the Sponsor cannot predict the outcome of these reported
inquiries and private lawsuits. Any finding of manipulation of the Cboe VIX Futures Index could materially adversely affect the VIX Futures
Fund's investments and its ability to continue to implement its trading strategy and achieve its investment objectives.
The level of the VIX has historically reverted to a long-term mean (i.e.,
average) level and any increase or decrease in the level of the VIX
will likely continue to be constrained.
In the past, the level of the VIX has typically reverted over the longer term to a historical
mean, and its absolute level has been
constrained within a band. As such, the potential upside of long or short exposure to VIX futures contracts may be limited as the
performance of
VIX reverts to its long-term average. In addition, any gains may be subject to significant and unexpected reversals as the VIX reverts to its
long-term mean.
When economic uncertainty and other market risks increase, or are expected to increase, and there
is an associated increase in expected
volatility, the price of VIX futures contracts will likely also increase. Similarly, when economic uncertainty recedes, or is
expected to recede,
and there is an associated decrease in expected volatility, the price of VIX futures contracts will likely also decrease. Historically, each of these
patterns have tended to reverse. These reversals may be significant and unexpected and have a negative impact on the performance of the VIX
Futures Fund. During February and March 2020, market volatility elevated to historic highs as measured by the VIX. In 2020, the VIX started
the year at a level of 12.47 on January 2, 2020, and it spiked to 82.69 on March 16, 2020. However, there is no certainty that such levels may
persist even if the scope and duration of the disruption caused by the COVID-19 pandemic is prolonged or if other economic or political
developments contribute to volatility and investor uncertainty. Such performance is not typical and may not continue for a sustained period
of time.
-26
The value of the Shares of the VIX Futures Fund relates directly to the value of, and realized gain or loss from, the Financial Instruments
and other assets held by the Fund. Fluctuations in the price of these Financial Instruments or assets could materially adversely affect an
investment in Shares of the VIX Futures Fund.
A number of factors may affect the price and/or liquidity of VIX futures contracts and other Financial Instruments, if any, owned by the
VIX Futures Fund, including, but not limited to:
•
Prevailing market prices and forward volatility levels of the
U.S. stock markets, the S&P 500, the equity securities included in
the S&P 500 and prevailing market prices of options on the S&P 500, the VIX, options on the
VIX, the relevant VIX futures
contracts, or any other financial instruments related to the S&P 500 and the VIX or VIX futures contracts;
•
Interest rates and investors' expectations concerning
interest rates;
•
Inflation rates and investors' expectations concerning
inflation rates;
•
Economic, financial, political, regulatory, geographical,
judicial and other events that affect the level of the Mid-Term VIX
Futures Index or the market price or forward volatility of the U.S. stock markets, the equity
securities included in the S&P 500,
the S&P 500, the VIX or the relevant futures or option contracts on the VIX;
•
Supply and demand as well as hedging activities in the listed and
OTC equity derivatives markets;
•
The level of margin requirements;
•
The position and accountability limits imposed by futures
exchanges and any position or risk limits imposed by Futures Commission
Merchants ("FCMs") or swap counterparties;
•
Disruptions in trading of the S&P 500, futures contracts on
the S&P 500 or options on the S&P 500;
•
The level of contango or backwardation in the VIX futures
contract market;
•
Global or regional political, economic, or financial events and
situations and investor expectations concerning such events;
•
Weather, natural disasters (including disease, epidemics and pandemics), and other environmental conditions; and
•
Investment and trading activities of mutual funds, hedge funds and other market participants, including the Fund.
Each of these factors could have a negative impact on the price and/or liquidity of VIX futures
contracts and other Financial Instruments,
the Index and the VIX Futures Fund. These factors interrelate in complex ways, and the effect of one factor on the market value
of the VIX
Futures Fund may offset or enhance the effect of another factor.
Margin requirements for VIX futures contracts and position limits imposed by exchanges and/or FCMs may limit the VIX Futures Fund's
ability to achieve sufficient exposure and prevent the Fund from achieving its investment objective.
The term "margin" refers to the minimum amount a Fund must deposit and maintain with
its FCM in order to establish an open position
in futures contracts. The minimum amount of margin required in connection with a particular futures contract is set by the
exchange on which
such contract is traded and is subject to change at any time during the term of the contract. Futures contracts are customarily bought and sold on
margins that represent a percentage of the aggregate purchase or sales price of the contract.
An FCM may compute margin requirements multiple times per day and at least once per day. When a Fund has an open futures contract
position, it is subject to daily variation margin calls by an FCM that could be substantial in the event of adverse price movements. Because
futures contracts require only a small initial investment in the form of a deposit or initial margin, they involve a high degree of leverage. A Fund
with open positions is subject to maintenance or variation margin on its open positions. When the market value of a particular open futures
contract position changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the
FCM. If the margin call is not met within a reasonable time, the FCM may close out a Fund's position. If a Fund has insufficient cash to meet
-27
daily variation margin requirements, it may need to sell
Financial Instruments at a time when such sales are disadvantageous. Futures markets
are highly volatile and the use of or exposure to futures contracts may increase
volatility of a Fund's NAV.
VIX futures contracts in particular have been
subject to periods of sudden and extreme volatility. As a result, margin requirements for
VIX futures contracts are higher than the margin requirements for most other
types of futures contracts. In addition, the FCMs utilized by the
Fund may impose margin requirements in addition to those imposed by the clearinghouse. Margin
requirements are subject to change, and may
be raised in the future by either or both of the clearinghouse and the FCMs. High margin requirements could prevent the Fund
from obtaining
sufficient exposure to VIX futures contracts and may adversely affect the Fund's ability to achieve its investment objective. An FCM's failure
to
return required margin to the Fund on a timely basis may cause the Fund to delay redemption settlement dates and/or restrict, postpone or limit
the right of redemption.
Futures contracts are subject to liquidity risk. Certain of the FCMs utilized by the Fund have imposed their own "position limits" on the
Fund. Position limits restrict the amount of exposure to futures contracts the Fund can obtain through such FCMs. As a result, the Fund may
need to transact through a number of FCMs to achieve its investment objective. If enough FCMs are not willing to transact with the Fund, or if
the position limits imposed by such FCMs do not provide sufficient exposure, the Fund may not be able to achieve its investment objective
The VIX Futures Fund generally is intended to be used as a trading tool for short-term investment horizons and investors holding shares of
the Fund over longer-term periods may be subject to increased risk of loss.
The VIX Futures Fund generally is intended to be used only for short-term investment horizons. An
investor in the Fund can lose all or a
substantial portion of his or her investment within a single day. The longer an investor's holding period in the Fund, the
greater the potential
for loss.
VIX futures contracts that the VIX Futures Fund invests in can be highly volatile and the Fund may experience large losses when buying,
selling or holding such instruments; you can lose all of your investment within a single day.
Investments linked to equity market volatility, including VIX futures contracts, can be highly
volatile and may experience sudden, large
and unexpected losses. VIX futures contracts are unlike traditional futures contracts and are not based on a tradable reference
asset. The VIX is
not directly investable, and the settlement price of a VIX futures contract is based on the calculation that determines the level of the VIX. As a
result, the behavior of a VIX futures contract may be different from traditional futures contracts whose settlement price is based on a specific
tradable asset and may differ from an investor's expectations. High volatility may have an adverse impact on the Fund. An investor could
potentially lose the full principal value of his or her investment within a single day.
VIX Mid-Term Futures Index changes and market transactions, including the daily rebalancing of the futures contracts by the VIX Futures
Fund may have a significant impact on the performance of the Index and the Fund and the trading, liquidity and price of Fund Shares.
Index changes and transactions by market participants in the futures contracts underlying the
Index, including the daily rebalancing of
such futures contracts by the VIX Futures Fund may have a significant impact on the trading, liquidity and price of such futures
contacts and, in
turn, impact on the performance of the Index and the Fund. The trading activity associated with such transactions will contribute to the existing
open interest and trading volume of the underlying futures contracts and could have a significant adverse impact on the trading and price of such
contracts. This, in turn, could have a negative impact on the performance of the Index and the Fund. The Fund has engaged, and may continue to
engage, in futures transactions that may constitute holding a substantial portion (e.g., 50% or more) of the open interest and/or trading volume of
the futures contracts underlying the Index. To the extent the Fund transactions in a relatively higher percentage of the open interest and/or
trading volume of such futures contracts, the Fund's activity may be more likely to have an impact which could be significant on the trading,
liquidity, and price of such contracts. This in turn could have a significant negative impact on the performance of the Index and the Fund as well
as the market for Fund Shares making it more difficult for investors to buy or sell Fund Shares at the desired price or at all.
-28
Potential negative
impact from rolling futures positions; there have been extended periods in the past where the strategies utilized by the VIX
Futures
Fund have caused significant and sustained losses.
The VIX Futures Fund invests in
or has exposure to VIX futures contracts and is subject to risks related to rolling these positions. The
contractual obligations of a buyer or seller holding a futures
contract to expiration may be satisfied by settling in cash as designated in the
contract specifications. Alternatively, futures contracts may be closed out prior to
expiration by making an offsetting sale or purchase of an
identical futures contract with a later expiration date. This process is referred to as rolling. The Fund does
not intend to hold futures contracts
through expiration, but instead intends to roll its positions as they approach expiration. Accordingly, the Fund is subject to risks
relating
to rolling.
When the market for these futures contracts is such that the prices are higher in the more distant delivery months than in the nearer
delivery months, the sale during the course of the rolling process of the more nearby futures contract would take place at a price that is lower
than the price of the more distant futures contract. This pattern of higher prices for longer expiration futures contracts is often referred to as
contango. Alternatively, when the market for these contracts is such that the prices are higher in the nearer months than in the more distant
months, the sale during the course of the rolling process of the more nearby futures contract would take place at a price that is higher than the
price of the more distant futures contract. This pattern of higher prices for shorter expiration futures contracts is referred to as backwardation.
The presence of contango in the relevant futures contracts at the time of rolling would be expected to adversely affect the Fund. In contrast, the
presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to positively affect the Funds.
There have been extended periods in which contango or backwardation has existed in the VIX
futures contract markets, and such periods
can be expected to occur in the future. These extended periods have caused in the past, and may cause in the future, significant
and sustained
losses. Since the non-investable VIX Index is based on the price of a constantly changing portfolio of option contracts, rather than futures
contracts subject to contango and backwardation, the VIX Index may experience less severe downturns or may even provide positive
performance during periods where the Fund is experiencing poor performance. Additionally, because of the frequency with which the Funds
may roll futures contracts, the impact of such contango or backwardation may be greater than the impact would be if a Fund experienced less
rolling. In April 2020, the market for crude oil futures contracts experienced a period of "extraordinary contango" that resulted in a negative
price in the May 2020 WTI crude oil futures contract. It is possible that the futures contracts held by the Funds also may experience periods of
extraordinary contango in the future.
Concentration Risk
The VIX Futures Fund will typically concentrate its investments in first- and second-month VIX futures contracts. Investors should be
aware that other volatility investments may be more diversified both in terms of the number and variety of instruments included and of the
volatility exposure offered. Concentration exclusively in first- and second-month futures contracts may result in a greater degree of volatility and
adverse performance of the VIX Futures Fund under specific market conditions and over time. Concentration in fewer futures contracts as
opposed to exposure to a broader set of futures contracts may increase the risk of the VIX Futures Fund's trading activity affecting such futures
contracts and this may adversely affect the performance of the VIX Futures Fund. For example, such concentration and the large size of the
positions the VIX Futures Fund may take (including positions resulting from significant and/or rapid increases in the size of the Fund as a result
of an increase in creation activity or for any other reason) may cause the daily rolling or rebalancing of the VIX Futures Fund's portfolio to
adversely impact the market price of its concentrated portfolio of futures contracts and in turn the level of the VIX Mid-Term Futures Index and
the performance of the VIX Futures Fund.
Risks Specific to the Natural Gas Funds and the Precious Metals Funds
In addition to the risks described elsewhere in this "Risk Factors" section, the following risks could apply to the Natural Gas Funds and
the Precious Metals Funds.
A number of factors may have a negative impact on the price of commodities, such as gold, silver and natural gas, and the price of Financial
Instruments based on such commodities.
With regard to the Natural Gas Funds and the Precious Metals Funds, a number of factors may affect the price of these commodities and,
in turn, the Financial Instruments and other assets, if any, owned by such a Fund, including, but not limited to:
-29
•
Significant increases or decreases in the available supply of a physical commodity due to natural, technological or other factors.
Natural factors would include depletion of known cost-effective sources for a commodity or the impact of severe weather or
other natural events on the ability to produce or distribute the commodity. Technological factors, such as increases in availability
created by new or improved extraction, refining and processing equipment and methods or decreases caused by failure or
unavailability of major refining and processing equipment (for example, shutting down or constructing natural gas processing
plants), also materially influence the supply of the commodity. General economic conditions in the world or in a major region,
such as population growth rates, periods of civil unrest, government austerity programs, or currency exchange rate fluctuations
may affect prices of underlying commodities.
•
The exploration and production of commodities are uncertain
processes with many risks. The cost of extraction, completing and
operating wells / mines is often uncertain, and a number of factors can delay or prevent operations or
production of commodities,
including: (1) unexpected extraction or drilling conditions; (2) pressure or irregularities in formations; (3) equipment failures
or repairs; (4) fires or other accidents; (5) adverse weather conditions; (6) pipeline ruptures, spills or other supply disruptions;
and (7) shortages or delays in the availability of extraction delivery equipment.
•
Significant increases or decreases in the demand for a physical
commodity due to natural, technological or other factors. Natural
factors would include such events as unusual climatological or health conditions (such as disease or
pandemics) impacting
the demand for commodities. Technological or other factors may include such developments as substitutes or new uses for particular
commodities or changes in the demand for particular commodities. General economic conditions in the world or in a
major region, such as population growth rates, periods of civil unrest, government austerity programs, or currency exchange
rate fluctuations may affect prices of underlying commodities. For example, gold and silver are used in a wide range of industrial
applications and demand for gold and silver is driven by, among other things, demand for jewelry. An economic downturn
could have a negative impact on gold and silver demand and, consequently, their prices.
•
A significant change in the attitude of speculators and investors towards a commodity or in the commodity hedging activities of
commodity producers. Should the speculative community take a negative or positive view towards any given commodity, or if
there is an increase or decrease in the level of hedge activity of commodity producing companies, countries and/or organizations,
such action could cause a change in world prices of any given commodity.
•
Large purchases or sales of physical commodities by the
official sector. Governments and large institutions have large commodities
holdings or may establish major commodities positions. For example, a significant portion of the
aggregate world precious
metals holdings is owned by governments, central banks and related institutions. Similarly, nations with centralized or
nationalized energy production organizations may control large physical quantities of certain commodities. The purchase or
sale by one of these institutions in large amounts could potentially cause a change in prices for that commodity.
•
Political activity such as the adoption of and changes to legislation, imposition of regulations, or entry into trade treaties, as well
as political disruptions caused by societal breakdown, insurrection, terrorism, pandemics, sabotage and/or war may greatly
influence commodities prices.
•
With regard to the Natural Gas Funds, the demand for natural
gas correlates closely with general economic growth rates. The
occurrence of recessions or other periods of low or negative economic growth will typically have a direct
adverse impact on
natural gas demand and natural gas prices. The supply and demand for natural gas may also be impacted by changes in interest
rates, inflation, and other local or regional weather and market conditions, as well as by the development of alternative energy
sources. The demand for natural gas has traditionally been cyclical, with higher demand during winter months and lower
demand during summer months. Natural gas prices are subject to volatile, sudden, unpredictable and/or temporary price movements
over short periods of time.
•
With regard to the Natural Gas Funds, competition from clean
power companies, fluctuations in the supply and demand of
alternative energy fuels, energy conservation, changes in consumer preferences regarding the use of renewable
energy sources
to replace fossil fuels, and tax and other government regulations can significantly affect the price of natural gas.
•
The recent proliferation of commodity-linked, exchange-traded products and their unknown effect on the commodity markets.
-30
•
The prices, supply and demand for gold and silver may also be impacted by changes in interest rates, inflation, and other local
or regional market conditions, as well as by investor confidence. There can be no assurance that either gold or silver will maintain
its long-term value in terms of future purchasing power. As of the date of this prospectus, gold and silver prices are at or
near historically high levels. Gold and silver prices are volatile and subject to sudden, and unpredictable price movements,
including reversals. Gold and silver markets also have historically experienced extended periods of flat or declining prices.
There can be no assurance that either gold or silver prices will maintain their price levels as of the date of this prospectus.
Each of these factors could have a negative impact on the value of the Funds. These factors
interrelate in complex ways, and the effect of
one factor on the market value of a Fund may offset or enhance the effect of another factor.
The Natural Gas Funds are linked to an index of natural gas futures contracts,
and are not directly linked to the "spot" price of natural gas.
Natural Gas futures contracts may perform very differently
from the spot price of natural gas.
The Natural Gas Funds are not directly linked to
the "spot" price of natural gas. The price of a futures contract reflects the expected value
of the commodity upon delivery in the future, whereas the spot
price of a commodity reflects the immediate delivery values of the commodity.
While prices of swaps, futures contracts and other derivatives contracts are related to the
prices of an underlying cash market (
i.e
., the "spot"
market), they may not be well correlated and have typically performed very differently. Natural gas futures contracts typically perform very
differently from, and commonly underperform, the spot price of natural gas due to current (and future expectations of) factors such as storage
costs, geopolitical risks, interest charges incurred to finance the purchase of the commodity, and expectations concerning supply and demand for
the commodity. Derivatives contract prices may not be correlated to spot market prices and may be substantially lower or higher than the spot
market prices for a number of reasons, including as a result of differences in derivatives contract terms or as supply, demand or other economic
or regulatory factors become more pronounced in either the cash or derivatives markets. In April 2020, the market for crude oil futures contracts
experienced a period of "extraordinary contango" that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures
contracts held by the Natural Gas Funds may experience a period of extraordinary contango in the future.
The Precious Metals Funds do not hold gold or silver bullion. Rather, the Precious Metals Funds use Financial Instruments to gain
exposure to gold or silver bullion. Using Financial Instruments to obtain exposure to gold or silver bullion may cause tracking error and
subject the Precious Metals Funds to the effects of contango and backwardation as described herein.
Using Financial Instruments such as swaps, options, forwards and futures in an effort to
replicate the inverse performance of gold or
silver bullion may cause tracking error, which is the divergence between the price behavior of a position and that of a
benchmark. While prices
of Financial Instruments are related to the prices of an underlying cash market (
i.e
., the "spot" market), they may not be perfectly correlated and
typically have performed differently. In addition, the use of forward or futures contracts exposes a Fund to risks associated with "rolling" as
described herein (forward contracts are subject to the same risks as rolling futures contracts), including the possibility that contango or
backwardation can occur. Gold and silver historically exhibit contango markets during most periods. The existence of historically prevalent
contango markets would be expected to adversely affect the Precious Metals Funds. Alternatively, the existence of backwardated markets would
be expected to be beneficial to the Precious Metals Funds. In April 2020, the market for crude oil futures contracts experienced a period of
"extraordinary contango" that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the
Precious Metals Funds may experience a period of extraordinary contango in the future.
Risks Specific to the Currency Funds.
In addition to the risks described elsewhere in this "Risk Factors" section, the following risks could apply to the Currency Funds.
A number of factors may have a negative impact on the value of non-U.S.
currencies or the U.S. dollar and the value of Financial
Instruments based on such currencies.
A number of factors may affect the value of non-U.S. currencies or the U.S. dollar and, in turn,
Financial Instruments based on such
non-U.S. currencies or the U.S. dollar. These factors include:
•
Natural or environmental disasters and widespread disease, including public health disruptions, pandemics and epidemics (for
example, the novel coronavirus COVID-19);
-31
•
Debt level and trade deficit of the relevant foreign
countries;
•
Inflation rates of the U.S. and the relevant foreign countries
and investors' expectations concerning inflation rates;
•
Interest rates of the U.S. and the relevant foreign countries and investors' expectations concerning interest rates;
•
Investment and trading activities of mutual funds, hedge funds
and other market participants;
•
Global or regional political, economic or financial events and
situations;
•
Sovereign action to set or restrict currency conversion;
•
Monetary policies and other related activities of central banks
within the U.S. and other relevant non-U.S. markets;
•
Overall growth and performance of the economies of relevant
countries; and
•
Non-U.S. financial markets may be closed on a day when U.S.
domestic markets are open for trading. As a result, liquidity
and/or pricing may be affected by the absence of trading in a specific currency.
In periods of financial turmoil, capital can move quickly out of countries or geographic regions
that are perceived to be more vulnerable
to the other effects of the crisis than other countries or geographic regions, with sudden and severely adverse consequences to
the currencies of
those countries or geographic regions. Each of these factors could have a negative impact on the value of a Currency Fund. These factors
interrelate in complex ways, and the effect of one factor on the market value of a Currency Fund may offset or enhance the effect of another
factor. All of these factors are, in turn, sensitive to the monetary, fiscal and trade policies observed by the relevant countries and those of other
countries important to international trade and finance. In addition, information relating to non-U.S. countries or currencies may not be as
well-known or as rapidly or thoroughly reported as information regarding the U.S. or the U.S. dollar.
Currency exchange rates may be susceptible to distortion and manipulation.
The concentration of currency trading among a small number of market participants, combined with
the relative lack of transparency and
regulatory oversight over the manner in which currency exchange rates are determined compared to the markets for other Financial
Instruments
such as exchange-traded stocks, and other factors create the potential for a small number of market participants to have a distorting effect on
exchange rates, including as a result of activities designed to manipulate currency exchange rates.
The value of the Euro could fluctuate drastically.
The European financial markets and the value of the euro have experienced significant volatility, in part related to unemployment, budget
deficits and economic downturns. In addition, several member countries of the Economic and Monetary Union (the "EMU") of the European
Union (the "EU") have experienced credit rating downgrades, rising government debt levels and, for certain EU member countries (including
Greece, Spain, Portugal, Ireland and Italy), weaknesses in sovereign debt. Following a referendum in June 2016, the United Kingdom (the
"UK") formally exited the EU on January 31, 2020 (known as "Brexit"). During a transition period where the UK remained subject to EU rules
but had no role in the EU law-making process, the UK and EU representatives negotiated the precise terms of their future relationship, reaching
an agreement on December 24, 2020. On December 31, 2020, the transition period concluded and the terms of the new agreement went into
effect on January 1, 2021. The complete impact of the new agreement, as well as the full scope and nature of the consequences of the exit, are
not at this time known and are unlikely to be known for a significant period of time, but may impact the future direction of the value of non-U.S.
currencies or the U.S. dollar and, in turn, affect the value of the Currency Funds. In addition, these uncertainties could increase volatility in the
market prices of non-U.S. currencies or the U.S. dollar and, in turn, affect the value of the Currency Funds. The effects of Brexit will depend on
agreements the UK negotiates to retain access to EU markets either during a transitional period or more permanently. Brexit could lead to legal
and tax uncertainty and potentially divergent national laws and regulations as the UK determines which EU laws to replace and replicate.
In addition, it is possible that the euro could be abandoned in the future by countries that have
already adopted its use. If this were to
occur, the value of the euro could fluctuate drastically. Increased volatility related to the euro could exacerbate the effects of
daily compounding
-32
on the Ultra Euro Fund's and the Short Euro Fund's performance over periods longer than a single day. If the euro is
abandoned by all or a
significant number of countries that have adopted its use, the Ultra Euro Fund and the Short Euro Fund may be forced to switch benchmarks
or terminate.
The use of forward contracts may limit the Ultra Euro Fund's ability to achieve sufficient exposure, and may prevent the Fund
from
achieving its investment objective.
In order to attempt to gain exposure to the euro, the Ultra Euro Fund may enter into forward contracts to purchase or sell the cash value of
the euro at a set price, with delivery and settlement at a specified future date. Unlike futures contracts, forward contracts are typically not cleared
by a clearinghouse. There are no limitations on the percentage of its assets the Ultra Euro Fund may invest in forward contracts with a particular
counterparty. Because a counterparty may stop trading with the Ultra Euro Fund, the Fund may need to transact through a number of
counterparties in order to achieve its investment objective. If enough counterparties are not willing to transact with the Ultra Euro Fund, it may
not be possible for the Fund to enter into another forward contract or to invest in other Financial Instruments necessary to achieve the desired
exposure consistent with the Fund's investment objective. This, in turn, may prevent the Ultra Euro Fund from achieving its investment
objective. If the Ultra Euro Fund has insufficient cash to meet its collateral requirements, the Fund may need to sell Financial Instruments at a
time when such sales are disadvantageous. The Ultra Euro Fund's use of forward contracts involves counterparty credit risk – i.e., the risk that a
counterparty is or is perceived to be unwilling or unable to make timely payments or otherwise meet its contractual obligations. A counterparty's
failure to return collateral to the Ultra Euro Fund on a timely basis may cause the Fund to delay redemption settlement dates and/or restrict,
postpone or limit the right of redemption. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial
difficulties or other reasons, the Ultra Euro Fund could suffer significant losses on these contracts and the value of an investor's investment in
the Fund may decline.
The value of the Yen could fluctuate drastically.
The Japanese financial markets and the value of the yen may experience volatility and are exposed to other risks. Such risks include, but
are not limited to (i) political, economic, or social instability in Japan; (ii) risks associated with Japan's large government deficit; (iii) risks
associated with an increasingly aging and declining population that is likely to strain Japan's social welfare and pension systems; and (iv)
relatively high unemployment. The Japanese economy has in the past been negatively impacted by government intervention and protectionism,
an unstable financial services sector and a heavy reliance on international trade. Additionally, natural disasters have in the past had an adverse
impact on the Japanese economy. As an island nation Japan has limited natural resources and land area, and the Japanese economy is heavily
dependent on international trade and reliant on imports for its commodity needs. Consequently, Japan's economy and export growth are
impacted by economic development of its trading partners particularly the U.S. and the developing nations in Southeast Asia. Fluctuations or
shortages in the commodity markets may negatively impact the Japanese economy. Slowdowns in the U.S. and/or China and other Southeast
Asian countries, including economic, political or social instability in such countries, could have a negative impact on Japan.
The Japanese economy may be adversely impacted by currency fluctuations. The Japanese government
has intervened in its currency
market in the past, to maintain or reduce the value of the yen. Any such future intervention could cause the yen's value to fluctuate
and could
cause losses to investors. Increased volatility related to the yen could exacerbate the effects of daily compounding on the Ultra Yen Fund's and
the UltraShort Yen Fund's performance over periods longer than a single day.
The value of the Australian dollar could fluctuate drastically.
The Australian financial markets and the value of the Australian dollar may experience volatility and are exposed to other risks. Such
risks include, but are not limited to (i) political, economic, or social instability in Australia; and (ii) risks associated with Australia's sovereign
debt levels and trade deficits. The Australian economy has in the past been negatively impacted by a heavy reliance on international trade.
Additionally, natural disasters such as hurricanes and droughts have in the past had an adverse impact on the Australian economy. As an island
nation Australia has limited natural resources and land area, and the Australian economy is heavily dependent on exports from its energy,
agricultural and mining sectors, and reliant on imports. Consequently, Australia's economy and export growth are impacted by economic
development of its trading partners, particularly the U.S., China, Japan, South Korea, other Asian and certain European countries. Fluctuations
or shortages in the commodity markets may negatively impact the Australian economy. Economic slowdowns in the U.S. and/or China and other
-33
Asian countries, including economic, political or social
instability in such countries, could have a negative impact on Australia. Reduction in
spending on Australian products and services, or changes in any of those economies,
may cause an adverse impact on the Australian economy.
The Australian economy may be
adversely impacted by currency fluctuations. Increased volatility related to the Australian dollar could
exacerbate the effects of daily compounding on the UltraShort
Australian Dollar Fund Fund's over periods longer than a single day.
Risks
Related to All Funds
Potential negative impact from rolling futures positions; there have been extended periods in the past where the investment strategies utilized
by the Funds have caused significant and sustained losses.
Each Fund intends to, or may, have exposure to futures contracts and each Fund is subject to risks related to "rolling" such futures
contracts, which is the process by which a Fund closes out a futures position prior to its expiration month and purchases an identical futures
contract with a later expiration date. The Funds do not intend to hold futures contracts through expiration, but instead intend to "roll" their
respective positions as they approach expiration. The contractual obligations of a buyer or seller holding a futures contract to expiration may be
satisfied by settling in cash as designated in the contract specifications. As explained further below, the price of futures contracts further from
expiration may be higher (a condition known as "contango") or lower ( a condition known as "backwardation"), which can impact the Funds'
returns.
When the market for these futures contracts is such that the prices are higher in the more
distant delivery months than in the nearer
delivery months, the sale during the course of the rolling process of the more nearby futures contract would take place at a
price that is lower
than the price of the more distant futures contract. This pattern of higher prices for longer expiration futures contracts is often referred to as
"contango." Alternatively, when the market for these futures contracts is such that the prices are higher in the nearer months than in the more
distant months, the sale during the course of the rolling process of the more nearby futures contract would take place at a price that is higher than
the price of the more distant futures contract. This pattern of higher prices for shorter expiration futures contracts is referred to as "backwardation."
The presence of contango in certain futures contracts at the time of rolling would be expected to adversely affect the Funds with long
positions, and positively affect the Funds with short positions. Similarly, the presence of backwardation in certain futures contracts at the time of
rolling such contracts would be expected to adversely affect the Funds with short positions and positively affect the Funds with long positions.
There have been extended periods in which contango or backwardation have existed in the futures
contract markets for various types of
futures contracts, and such periods can be expected to occur in the future. These extended periods have caused in the past, and may
cause in the
future, significant losses, and these periods can have as much or more impact over time than movements in the level of a Fund's benchmark.
Additionally, because of the frequency with which the Funds may roll futures contracts, the impact of such contango or backwardation on Fund
performance may be greater than it would have been if the Funds rolled futures contracts less frequently.
In April 2020, the market for crude oil futures contracts experienced a period of "extraordinary contango" that resulted in a negative price
in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango in
the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in
such Fund could lose their entire investment. If such event were to occur, and the price of the applicable futures contracts subsequently reversed,
investors in the Short or an UltraShort Fund could suffer significant losses or lose their entire investment. The effects of rolling futures contracts
under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions
and may cause significant losses.
Each Fund seeks to achieve its investment objective even during periods when the performance of the Fund's benchmark is flat or when the
benchmark is moving in a manner that may cause the value of the Fund to decline.
The Funds are not actively managed by traditional methods (e.g., by effecting changes in the
composition of a portfolio on the basis of
judgments relating to economic, financial and market considerations with a view toward obtaining positive results under all
market conditions).
Each Fund seeks to remain fully invested at all times in Financial Instruments and money market instruments that, in combination, provide
exposure to its benchmark consistent with its investment objective. This is the case even during periods in which the benchmark is flat or
moving in a manner which causes the value of a Fund to decline. A Fund can lose money regardless of the performance of an underlying
benchmark, due to the effects of daily rebalancing, volatility, compounding and other risk factors.
-34
The number of
underlying components included in a Fund's benchmark may impact the volatility of such benchmark, which could adversely
affect an
investment in the Shares.
The number of underlying components in a Fund's
benchmark may impact the volatility of such benchmark, which could adversely affect
an investment in the Shares. For example, certain of the Funds' benchmarks are
concentrated in terms of the number and type of commodities
and currencies represented, and some of the benchmarks consist solely of a single commodity or currency
exchange rate. Investors should be
aware that other benchmarks are more diversified in terms of both the number and variety of investments included. Concentration in fewer
components may result in a greater degree of volatility in a benchmark and the Fund which corresponds to that benchmark under specific market
conditions and over time.
Possible illiquid markets may cause or exacerbate losses.
Financial Instruments and/or markets may be illiquid. In such cases and during such times it may be difficult or impossible to buy or sell a
position at the desired price. For example, it may be difficult to execute a trade at a specific price when there is a relatively small volume of buy
and sell orders in a market. Market disruptions or volatility can also make it difficult for a Fund to buy or sell a position or find a swap or
forward contract counterparty willing to transact at a reasonable price and sufficient size. Illiquid markets and/or Financial Instruments may
cause losses, which could be significant, for the Funds. The large size of the positions which the Funds may acquire increases the risk of
illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of
disruption or illiquidity will potentially be exacerbated due to the fact that each Fund typically invests in Financial Instruments related to a single
benchmark, which is highly concentrated. Limits imposed by counterparties, exchanges or other regulatory organizations, such as accountability
levels, position limits and daily price fluctuation limits, may contribute to a lack of liquidity with respect to some Financial Instruments and have
a negative impact on Fund performance. During periods of market illiquidity, including periods of market disruption and volatility, it may be
difficult or impossible for a Fund to buy or sell futures contracts or other Financial Instruments or for investors to buy or sell Fund Shares at
desired prices or at all.
Fees are charged regardless of a Fund's returns and may result in depletion of assets.
The Funds are subject to the fees and expenses described herein which are payable irrespective of
a Fund's returns, as well as the effects
of commissions, trading spreads, and embedded financing, borrowing costs and fees associated with swaps, forwards, futures
contracts, and
costs relating to the purchase of U.S. Treasury securities or similar high credit quality, short-term fixed-income or similar securities. Additional
charges may include other fees as applicable. These fees and expenses have a negative impact on Fund returns.
For the Funds linked to a benchmark, changes implemented by the benchmark
provider that affect the composition and valuation of the
benchmark could negatively impact the performance of the Funds.
The Funds, other than the Currency Funds, are linked to benchmarks maintained by third-party
providers that are unaffiliated with the
Funds or the Sponsor. There can be no guarantee or assurance that the methodology used by the third-party provider to create the
benchmark
will result in a Fund achieving high, or even positive, returns. The policies implemented by each benchmark provider concerning the calculation
or the composition of a benchmark could affect the value of a benchmark and, therefore, the value of such Fund's Shares. A benchmark provider
may change the composition of the benchmark, or make other methodological changes that could change the value of a benchmark.
Additionally, a benchmark provider may alter, discontinue or suspend calculation or dissemination of a benchmark. Any of these actions could
adversely affect the value of Shares of a Fund using that benchmark. There is no guarantee the methodology underlying the benchmark will be
free from error. Benchmark providers have no obligation to consider Fund shareholder interests in calculating or revising a benchmark. Each of
these factors could have a negative impact on the performance of the Funds.
In addition, for the VIX Futures Fund, the Cboe can make methodological changes to the calculation of the VIX that could affect the
value of VIX futures contracts and, consequently, the value of the VIX Futures Fund's Shares. There can be no assurance that Cboe will not
change the VIX calculation methodology in a way which may affect the value of the VIX Futures Fund's Shares. The Cboe may also alter,
discontinue or suspend calculation or dissemination of the VIX and/or exercise settlement value. It is also possible that third parties may attempt
to manipulate the value of the VIX Mid-Term Futures Index or the VIX. S&P Dow Jones Indices may also make changes to the equity securities
-35
underlying the S&P 500 or the futures contracts
included in the Index, or make other methodological changes that could change the level of the
S&P 500. Any of these actions could adversely affect the value of such
Fund's Shares.
Calculation of a benchmark may not be possible or feasible
under certain events or circumstances that are beyond the reasonable control
of the Sponsor, which in turn may adversely impact both the benchmark and/or the Shares, as
applicable. Additionally, benchmark calculations
are subject to error and may be disrupted by rollover disruptions, rebalancing disruptions and/or market emergencies,
which may have a negative
impact on the performance of the Funds.
The particular benchmark used by a Fund may underperform other asset classes and may underperform other indices or benchmarks based
upon the same underlying Reference Asset.
The Funds, other than the Currency Funds, are linked to benchmarks maintained by third-party providers unaffiliated with the Funds or
the Sponsor. There can be no guarantee or assurance that the methodology used by the third party provider to create the benchmark will result in
a Fund achieving high, or even positive, returns. Further, there can be no guarantee that the methodology underlying the benchmark or the daily
calculation of the benchmark will be free from error. It is also possible that the value of the benchmark or its underlying Reference Asset may be
subject to intentional manipulation by third-party market participants. The particular benchmark used by each Fund may underperform other
asset classes and may underperform other indices or benchmarks based upon the same underlying Reference Asset. Each of these factors could
have a negative impact on the performance of a Fund.
Financial markets, including the Financial Instruments used by a Fund, and Fund Shares may be subject to unusual trading activity,
volatility, and potential fraud and/or manipulation by third parties.
Financial markets, including the Financial Instruments in which the Funds invest, and Fund Shares, can be highly volatile and the Funds
may experience sudden and large movements in price. Unusual trading activity that is unrelated to economic fundamentals, including activity
that is considered market fraud and/or manipulation or excessive speculation, or significant and/or rapid increases in the size of a Fund as a
result of an increase in creation activity, can potentially lead to unusual movements in the prices of the Financial Instruments in which the Funds
invest as well as the price of Fund Shares, and increase the risk of investing in such Financial Instruments and in Fund shares. Market fraud
and/or manipulation and other fraudulent trading practices (such as the intentional dissemination of false or misleading information (e.g., false
rumors)) can, among other things, lead to disruption of the orderly functioning of markets, lead to significant market volatility and cause the
value of a Fund and/or the Financial Instruments held by a Fund to fluctuate quickly and without warning. Such fluctuations could be significant
and could be temporary or last for longer periods of time. High volatility may have an adverse impact on the performance of the Funds. The
widespread demand for a commodity, currency, or security may cause price increases in the commodity, currency, or security, which could
result in an increased demand for Shares. The Funds may experience difficulty in registering additional Shares in a timely manner in response to
a high demand for Shares.
The UltraShort Natural Gas Fund experienced significantly higher than normal creation activity in mid-September of 2021. The Ultra
Natural Gas Fund experienced significantly higher than normal creation activity in mid-November of 2021. Each Fund potentially could
experience similar creation activity in the future. A Fund experiencing significant and rapid growth could potentially experience difficulty
achieving appropriate exposure in response to significant increases in Fund assets, which could cause a Fund to limit or suspend purchases of
Creation Units. Any limitation or suspension of Creation Units, among other things, could cause a Fund's Shares to trade at a premium, widen
trading spreads, or otherwise disrupt secondary market trading in a Fund's Shares. Increases in the price of Financial Instruments and a Fund's
Shares as a result of the conditions described above are subject to significant and unexpected reversals. An investor in any of the Funds could
potentially lose the full principal value of his or her investment within a single day.
A Fund may change its investment objective, benchmark and investment strategies, and/or may terminate, at any time without
shareholder approval.
The Sponsor has the authority to change a Fund's investment objective, benchmark or
investment strategy at any time, or to terminate the
Trust or a Fund, in each case, without shareholder approval or advance notice, subject to applicable regulatory
requirements. Although such
changes may be subject to applicable regulatory approvals, the Sponsor may determine to operate a Fund in accordance with its new investment
objective, benchmark or investment strategy while the applicable approvals, if any, are pending. Such changes may expose shareholders to
-36
losses on their investments in a Fund. When a
Fund's assets are sold as part of the Fund's termination, the resulting proceeds distributed to
shareholders may be less than those that could have been
realized in a sale outside of a termination context.
There may be
circumstances that could prevent or make it impractical for a Fund to operate in a manner consistent with its investment
objective and
investment strategies.
There may be circumstances outside the control of the Sponsor
and/or a Fund that could prevent or make it impractical to rebalance such
Fund's portfolio investments, to process purchase or redemption orders, or to otherwise
operate the Fund in a manner consistent with its
investment objective and investment strategies. Examples of such circumstances include: market disruptions; significant or
extreme market
volatility, particularly late in the trading day; difficulty achieving appropriate exposure in response to significant increases in Fund assets;
natural disasters (including disease, epidemics and pandemics); public service disruptions or utility problems such as those caused by fires,
floods, extreme weather conditions, and power outages resulting in telephone, telecopy, and computer failures; market conditions or activities
causing trading halts; systems failures involving computer or other information systems affecting the aforementioned parties, as well as the
Depository Trust Company ("DTC"), the National Securities Clearing Corporation ("NSCC"), or any other participant in the trading or
operations of a Fund; and similar extraordinary events.
While the Sponsor has implemented and tested a business continuity plan and a disaster recovery plan designed to address circumstances
such as those above, these and other circumstances may prevent a Fund from being operated in a manner consistent with its investment objective
and/or investment strategies and could cause significant losses to the Funds.
The Funds use investment techniques that may be considered aggressive.
Some investment techniques of the Funds, such as their use of Financial Instruments, may be considered aggressive. Risks associated with
Financial Instruments include potentially dramatic price changes (losses) in the value of the instruments and imperfect correlations between the
price of the contract and the underlying Reference Asset. The use of Financial Instruments may increase the volatility of a Fund and may involve
a small investment of cash relative to the magnitude of the risk assumed.
Historical correlation trends between Fund benchmarks and other asset classes may not continue or may reverse, limiting or eliminating any
potential diversification or other benefit from owning a Fund.
To the extent that an investor purchases a Fund seeking diversification benefits based on the historic correlation (whether positive or
negative) between the returns of the Fund or its underlying benchmark and other asset classes, such historic correlation may not continue or may
reverse itself. In this circumstance, the diversification or other benefits sought may be limited or non-existent. The diversification or other
benefits sought by an investor in a Fund may also become limited or cease to exist if the Sponsor determines to change the Fund's benchmark or
otherwise modify the Fund's investment objective or investment strategy.
The lack of active trading markets for the Shares may result in losses upon the sale of such Shares.
Although the Shares are publicly listed and traded on the Exchange, there can be no guarantee
that an active trading market for the Shares
will develop or be maintained. If investors need to sell their Shares at a time when an active market for such Shares does not
exist, the price
investors receive for their Shares, assuming that investors are able to sell them at all, likely will be lower than the price that investors would
receive if an active market did exist.
Investors may be adversely affected by redemption or creation orders that are subject to postponement, suspension or rejection under
certain circumstances.
In respect of any Fund, the Sponsor may, in its sole discretion, limit or suspend the right of creation or redemption or may postpone the
redemption or purchase settlement date. For example, the Sponsor may limit or suspend purchases or postpone settlement for (1) any period
during which the Exchange or any other exchange, marketplace or trading center, deemed to affect the normal operations (e.g., valuation) of
such Fund, is closed, or when trading is restricted or suspended on such exchanges in any of the Funds' Financial Instruments or underlying
Reference Assets, (2) any period during which an emergency exists as a result of which the fulfillment of a purchase order or the redemption
-37
distribution is not reasonably practicable, or (3) such
other period as the Sponsor determines, in its sole discretion, to be appropriate for the
protection of the Fund, the shareholders of the Fund or otherwise in the interest
of such Fund (for example, in response to, or anticipation of, a
period of significant and/or rapid increases in the size of a Fund as a result of an increase in creation
activity). In addition, a Fund will reject a
redemption order if the order is not in proper form as described in the Authorized Participant Agreement or if the fulfillment
of the order might
be unlawful. Any such limitation, postponement, suspension or rejection could adversely affect a redeeming Authorized Participant. For
example, the resulting delay may adversely affect the value of the Authorized Participant's redemption proceeds if the NAV of a Fund declines
during the period of delay. The Funds disclaim any liability for any loss or damage that may result from any such limitation, postponement,
suspension or rejection. Investors should be aware that during any period where creations or redemptions have been limited, postponed,
suspended or rejected, the public trading price per Share of a Fund may be materially different from the NAV per Share of the Fund (i.e., the
secondary market price may trade at a material premium or discount to NAV), the bid-ask spreads on a Fund's Shares may widen, and/or the
number of Shares on which quotes may be available could decrease. These events could increase the trading costs to investors, cause a Fund to
not perform consistent with its investment objective, and otherwise result in significant losses for investors.
Purchases of a Fund's Creation Units may be limited or
suspended which may prevent a Fund from achieving appropriate exposure.
In situations where a Fund may have difficulty achieving, or be unable to achieve, appropriate
exposure in response to significant
increases, or anticipated significant increases, in Fund assets, a Fund may place upper limits or other restrictions on the number of
Creation
Units Authorized Participants may purchase or may suspend purchases of Creation Units altogether. The Funds disclaim any liability for any
loss or damage that may result from any such suspension or limits. The Sponsor expects that such limits or suspensions will not impact the
ability of Authorized Participants to redeem Creation Units during such period.
As a result of such limits or suspension, secondary market trading of a Fund's Shares may be halted or disrupted. Investors should be
aware that during periods in which the purchase of Creation Units is suspended or limited, the public trading price per Share of a Fund may be
materially different from the NAV per Share of the Fund (i.e., the secondary market price may trade at a material premium or discount to NAV),
the bid-ask spreads on a Fund's Shares may widen, and/or the number of Shares on which quotes may be available could decrease. These events
could increase the trading costs to investors, could cause a Fund's trading price to not perform consistent with its investment objective and
otherwise lead to significant losses for the Fund and investors. These conditions could reverse suddenly and without warning when the
suspension or limitation on Authorized Participants' ability to purchase Creation Units is lifted or modified, causing losses for Fund investors.
The NAV per Share may not correspond to the market price per
Share.
The NAV per Share of a Fund changes as fluctuations occur in the market value
of the Fund's portfolio. Investors should be aware that
the public trading price per Share of a Fund may be substantially different from the NAV per Share of the
Fund (
i.e
., the secondary market price
may trade at a substantial premium or discount to NAV). The price at which an investor may be able to sell Shares at any time, especially in
times of market volatility, may be significantly less than the NAV per Share of the Fund at the time of sale. Consequently, an Authorized
Participant may be able to create or redeem a Creation Unit of a Fund at a discount or a premium to the public trading price per Share of
that Fund.
Authorized Participants or their customers may have an opportunity to realize a profit if they
can purchase a Creation Unit at a discount to
the public trading price of the Shares of a Fund or can redeem a Creation Unit at a premium over the public trading price of
the Shares of a
Fund. The Sponsor expects that the exploitation of such arbitrage opportunities by Authorized Participants and their clients and customers will
tend to cause the public trading price to track the NAV per Share of the Funds closely over time.
Investors who purchase Fund Shares in the secondary market and pay a premium purchase price over a Fund's indicative optimized
performance value ("IOPV") could incur significant losses in the event such investor sells such Fund Shares at a time when such premium is no
longer present in the marketplace.
The value of a Share may be influenced by non-concurrent trading hours between the Exchange and the market in which Financial
Instruments (or related Reference Assets) held by a Fund are traded. The Shares of each Fund trade on the Exchange from 9:30 a.m. to 4:00 p.m.
(Eastern Time). The Financial Instruments (and/or the related Reference Assets) held by a particular Fund, however, have earlier fixing or
settlement times or, in the case of the VIX Futures Fund, a later fixing time. Consequently, liquidity in the Financial Instruments (and/or the
Reference Assets) may be reduced after such fixing or settlement time. As a result, during the time when the Exchange is open for trading but
-38
after the applicable fixing or settlement time of an
underlying component, trading spreads and the resulting premium or discount on the Shares
of a Fund may widen, and, therefore, may increase the difference between the
price of the Shares of a Fund and the NAV of such Shares. Also,
during the time when the Exchange is open for trading but the Fund's NAV has already been determined
(or, in the case of the VIX Futures
Fund, closed for trading but before the determination of its NAV), there could be market developments or other events that cause or
exacerbate
the difference between the price of the Shares of such Funds in the secondary market and the NAV of such Shares or otherwise have a negative
impact on the value of an investment in the Shares.
The VIX futures contracts in which the VIX Futures Fund invests may be traded throughout the day, including between 4:30 p.m. and
5:00 p.m. As a result, during the time when the Exchange is closed for trading but before the determination of NAV, there could be market
developments or other events that cause or exacerbate the difference between the price of the Shares of the VIX Futures Fund in the secondary
market and the NAV of such Shares or otherwise have a negative impact on the value of an investment in the Shares.
Investors may be adversely affected by an overstatement or understatement of a
Fund's NAV due to the valuation method employed or errors
in the NAV calculation.
Under normal circumstances, the NAV of a Fund reflects the value of the Financial Instruments
held by the Fund, as of the time the NAV
is calculated. The NAV of the Funds includes, in part, any unrealized profits or losses on open Financial Instrument positions. In
certain
circumstances (
e.g
., if the Sponsor believes market quotations do not accurately reflect fair value of an investment, or a trading halt closes an
exchange or market early), the Sponsor may, in its sole discretion, choose to determine a fair value price as the basis for determining the market
value of such position for such day. The fair value of an investment determined by the Sponsor may be different from other value determinations
of the same investment. Such fair value prices generally would be determined based on available inputs about the current value of the underlying
Reference Assets and would be based on principles that the Sponsor deems fair and equitable. A swap counterparty may have the right to close
out a Fund's position due to the occurrence of certain events (for example, if the counterparty is unable to hedge its obligations to the Fund, or if
the Fund defaults on certain terms of the swap agreement, or if there is a material decline in the Fund's benchmark on a particular day) and
request immediate payment of amounts owed by the Fund under the agreement. If the level of a Fund's benchmark has a dramatic intraday
move, the terms of the swap agreement may permit the counterparty to immediately close out a transaction with the Fund at a price set by the
counterparty, which may not represent fair market value. A swap counterparty may also have the right to close out a Fund's position for no
reason, in some cases with same day notice. The valuation method used to calculate NAV or errors in calculation of a Fund's NAV may cause
the Fund's NAV to be overstated or understated and may affect the performance of the Fund and the value of an investment in the Shares.
Trading on exchanges outside the United States is generally not subject to
U.S. regulation and may result in different or diminished
investor protections.
To the extent that a Fund places trades on exchanges outside the United States, trading on such
exchanges is generally not regulated by
any U.S. governmental agency and may involve certain risks not applicable to trading on U.S. exchanges, including different or
diminished
investor protections. In trading contracts denominated in currencies other than U.S. dollars, the Shares are subject to the risk of adverse
exchange rate movements between the dollar and the functional currencies of such contracts. Investors could incur substantial losses from
trading on foreign exchanges which such investors would not have otherwise been subject had the Funds' trading been limited to U.S. markets.
Competing claims of intellectual property rights may adversely affect the
Funds and an investment in the Shares.
The Sponsor believes that it has obtained all
required licenses or the appropriate consent of all necessary parties with respect to the
intellectual property rights necessary to operate the Funds. However, other third
parties could allege ownership as to such rights and may bring
legal action asserting their claims. The expenses in litigating, negotiating, cross-licensing or otherwise
settling such claims may adversely affect
the Funds. Additionally, as a result of such action, a Fund could potentially change its investment objective, benchmark or
investment strategies.
Each of these factors could have a negative impact on the performance of the Funds.
-39
The liquidity of the
Shares may also be affected by the withdrawal from participation of Authorized Participants, which could adversely
affect the market
price of the Shares.
In the event that one or more Authorized Participants which
have substantial interests in the Shares withdraw from participation, the
liquidity of the Shares will likely decrease, which could adversely affect the market price of
the Shares and result in investors incurring a loss on
their investment.
Shareholders that are not Authorized Participants may only purchase or sell their Shares in secondary trading markets, and the conditions
associated with trading in secondary markets may adversely affect investors' investment in the Shares.
Only Authorized Participants may create or redeem Creation Units. All other investors that desire
to purchase or sell Shares must do so
through the Exchange or in other markets, if any, in which the Shares may be traded. Shares may trade at a premium or discount to NAV
per Share.
The Exchange may halt trading in the Shares of a Fund which would adversely impact investors' ability to sell Shares.
Trading in Shares of a Fund may be halted by the Exchange due to market conditions or, in light
of the applicable Exchange rules and
procedures. In addition, trading is subject to trading halts caused by market volatility pursuant to "circuit breaker"
rules that require trading to be
halted for a specified period based on a specified decline or rise in a market index (
e.g
., the Dow Jones Industrial Average) or in the price of a
Fund's Shares. There can be no assurance that the requirements necessary to maintain the listing of the Shares of a Fund will continue to be met
or will remain unchanged.
Shareholders do not have the protections associated with ownership of shares in an investment company registered under the 1940 Act.
The Funds are not subject to registration or regulation under the 1940 Act. Consequently,
shareholders do not have the regulatory
protections provided to investors in investment companies registered under the 1940 Act. These protections include, but are not
limited to,
provisions in the 1940 Act that limit transactions with affiliates, prohibit the suspension of redemptions (except under limited circumstances),
require a board of directors that must include disinterested directors, limit leverage, impose a fiduciary duty on the fund's manager with respect
to the receipt of compensation for services, require shareholder approval for certain fundamental changes, limit sales loads, and require proper
valuation of fund assets.
The value of the Shares will be adversely affected if the Funds are required to indemnify Wilmington Trust Company (the "Trustee") and/or
the Sponsor.
Under the Trust Agreement, the Trustee and the Sponsor each has the right to be indemnified for any liability or expense incurred without
gross negligence or willful misconduct. That means the Sponsor may require the assets of a Fund to be sold in order to cover losses or liability
suffered by it or by the Trustee. Any such sale would decrease the value of an investment in an impacted Fund.
Although the Shares are limited liability investments, certain circumstances,
such as the bankruptcy of a Fund could increase a
shareholder's liability.
The Shares are limited liability investments; investors may not lose more than the amount that
they invest plus any gains or income
recognized on their investment. However, shareholders could be required, as a matter of bankruptcy law, to return to the estate of a
Fund any
distribution they received at a time when such Fund was in fact insolvent or in violation of the Trust Agreement.
A court could potentially conclude that the assets and liabilities of one Fund
are not segregated from those of another series of the Trust and
may thereby potentially expose assets in a Fund to the liabilities of
another series of the Trust.
Each series of the Trust is a separate series of a
Delaware statutory trust and not itself a separate legal entity. Section 3804(a) of the
Delaware Statutory Trust Act, as amended (the "DSTA"), provides that if
certain provisions are in the formation and governing documents of a
statutory trust organized in series, and if separate and distinct records are maintained for any
series and the assets associated with that series are
held in separate and distinct records (directly or indirectly, including through a nominee or otherwise) and
accounted for in such separate and
-40
distinct
records separately from the other assets of the statutory trust, or any series thereof, then the debts, liabilities, obligations and expenses
incurred, contracted for or
otherwise existing with respect to a particular series are enforceable against the assets of such series only, and not
against the assets of the statutory trust generally
or any other series thereof, and none of the debts, liabilities, obligations and expenses incurred,
contracted for or otherwise existing with respect to the statutory
trust generally or any other series thereof shall be enforceable against the assets
of such series. The Sponsor is not aware of any court case that has interpreted Section
3804(a) of the DSTA or provided any guidance as to what
is required for compliance. The Sponsor maintains separate and distinct records for each series and accounts for
them separately, but it is
possible a court could conclude that the methods used did not satisfy Section 3804(a) of the DSTA and thus potentially expose assets of a Fund
to the liabilities of another series of the Trust.
Due to the increased use of technologies, intentional and unintentional cyber-attacks pose operational and information security risks.
With the increased use of technologies such as the Internet and the dependence on computer
systems to perform necessary business
functions, the Funds and their service providers are susceptible to operational and information security risks. In general, cyber
incidents can
result from deliberate attacks or unintentional events. Cyber-attacks include, but are not limited to gaining unauthorized access to digital systems
for purposes of misappropriating assets or sensitive information, corrupting data, or causing operational disruption. Cyber-attacks may also be
carried out in a manner that does not require gaining unauthorized access, such as causing denial-of-service attacks on websites. Cyber security
failures or breaches of a Fund's third party service provider (including, but not limited to, index providers, the administrator and transfer agent)
or the issuers of securities in which the Funds invest, have the ability to cause disruptions and impact business operations, potentially resulting in
financial losses, the inability of Fund shareholders to transact business, violations of applicable privacy and other laws, regulatory fines,
penalties, reputational damage, reimbursement or other compensation costs, and/or additional compliance costs. In addition, substantial costs
may be incurred in order to prevent any cyber incidents in the future. The Funds and their shareholders could be negatively impacted as a result.
While the Funds have established business continuity plans and systems to prevent such cyber-attacks, there are inherent limitations in such
plans and risk management systems including the possibility that certain risks have not been identified. Furthermore, the Funds cannot control
the cyber security plans and systems of each Fund's service providers, market makers, Authorized Participants or issuers of securities in which
each Fund invests.
Investors cannot be assured of the Sponsor's continued services, the discontinuance of which may be detrimental to the Funds.
Investors cannot be assured that the Sponsor will be able to continue to service the Funds for
any length of time. If the Sponsor
discontinues its activities on behalf of the Funds, the Funds may be adversely affected, as there may be no entity servicing the Funds
for a period
of time. If the Sponsor's registrations with the CFTC or memberships in the National Futures Association (the "NFA") were revoked or
suspended, the Sponsor would no longer be able to provide services and/or to render advice to the Funds. If the Sponsor were unable to provide
services and/or advice to the Funds, the Funds would be unable to pursue their investment objectives unless and until the Sponsor's ability to
provide services and advice to the Funds was reinstated or a replacement for the Sponsor as commodity pool operator could be found. Such an
event could result in termination of the Funds.
It may not be possible to gain exposure to the benchmarks using exchange-traded Financial Instruments in the future.
The Funds intend to utilize exchange-traded Financial Instruments. It may not be possible to gain
exposure to the benchmarks with these
Financial Instruments in the future. If these Financial Instruments cease to be traded on regulated exchanges, they may be replaced
with
Financial Instruments traded on trading facilities that are subject to lesser degrees of regulation or, in some cases, no substantive regulation. As a
result, trading in such Financial Instruments, and the manner in which prices and volumes are reported by the relevant trading facilities, may not
be subject to the provisions of, and the protections afforded by, the Commodity Exchange Act, as amended (the "CEA"), or other applicable
statutes and related regulations that govern trading on regulated U.S. futures exchanges, or similar statutes and regulations that govern trading on
regulated U.K. futures exchanges. In addition, many electronic trading facilities have only recently initiated trading and do not have significant
trading histories. As a result, the trading of contracts on such facilities, and the inclusion of such contracts in a benchmark, may be subject to
certain risks not presented by U.S. or U.K. exchange-traded futures contracts, including risks related to the liquidity and price histories of the
relevant contracts.
-41
Regulatory changes or actions, including the implementation of new legislation, may alter the operations and profitability of the Funds.
The U.S. derivatives markets and market participants have been subject to comprehensive
regulation, not only by the CFTC but also by
self-regulatory organizations, including the NFA and the exchanges on which the derivatives contracts are traded and/or
cleared. The regulation
of commodity interest transactions and markets, including under the Dodd-Frank Act, is a rapidly changing area of law and is subject to ongoing
modification by governmental and judicial action. In particular, the Dodd-Frank Act has expanded the regulation of markets, market participants
and financial instruments. The regulatory regime under the Dodd-Frank Act has imposed additional compliance and legal burdens on
participants in the markets for futures and other commodity interests. For example, under the Dodd-Frank Act new capital and risk requirements
have been imposed on market intermediaries. Those requirements may cause the cost of trading to increase for market participants, like the
Funds, that must interact with those intermediaries to carry out their trading activities. These increased costs can detract from the Funds'
performance.
As
with any regulated activity, changes in regulations may have unexpected results. For example, changes in the amount or quality of the
collateral that traders in
derivatives contracts are required to provide to secure their open positions, or in the limits on number or size of positions
that a trader may have open at a given time,
may adversely affect the ability of the Funds to enter into certain transactions that could otherwise
present lucrative opportunities. Considerable regulatory attention
has been focused on non-traditional investment pools which are publicly
distributed in the United States. There is a possibility of future regulatory changes altering,
perhaps to a material extent, the nature of an
investment in the Funds or the ability of the Funds to continue to implement their investment strategies.
In November 2019, the SEC issued proposed regulations limiting the purchase and sale of funds
like the Geared Funds. Instead of
adopting these regulations, in October 2020, the SEC directed its staff to conduct a review of the existing regulatory framework related
to the
purchase and sale of funds like the Geared Funds. Although it is impossible to predict the outcome of such review, its impact could be adverse to
the Geared Funds.
In addition, the SEC, CFTC and the exchanges are authorized to take extraordinary actions in the
event of a market emergency, including,
for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of
daily price limits
and the suspension of trading. The regulation of swaps, forwards and futures transactions in the United States is a rapidly changing area of law
and is subject to modification by government and judicial action. The effect of any future regulatory change on the Funds is impossible to
predict, but could be substantial and adverse.
In particular, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the "Dodd-Frank Act") has made and will continue to
make sweeping changes to the way in which the U.S. financial system is supervised and regulated. Title VII of the Dodd Frank Act sets forth a
legislative framework for OTC derivatives, including certain Financial Instruments, such as swaps, in which certain of the Funds may invest.
Title VII of the Dodd-Frank Act makes broad changes to the OTC derivatives market, grants significant new authority to the SEC and the CFTC
to regulate OTC derivatives and market participants, and, pursuant to regulations that have been and will continue to be adopted by the
regulators, requires the clearing and exchange trading of many types of OTC derivatives transactions.
Pursuant to regulations adopted by the CFTC, swap dealers are required to be registered and are subject to various regulatory
requirements, including, but not limited to, margin, recordkeeping, reporting and various business conduct requirements, as well as minimum
financial capital requirements.
Pursuant to the Dodd-Frank Act, regulations adopted by the CFTC and the federal banking regulators that are now in effect require swap
dealers to post and collect margin (comprised of specified liquid instruments and subject to a required haircut) in connection with a Fund's
trading of swaps that are not traded on an exchange or cleared by a clearinghouse. These requirements may increase the amount of collateral the
Funds are required to provide and the costs associated with providing such collateral.
Swap agreements submitted for clearing are subject to minimum margin requirements set by the relevant clearinghouse, as well as margin
requirements mandated by the CFTC, SEC and/or federal banking regulators. Swap dealers also typically demand the unilateral ability to
increase a Fund's collateral requirements for swap agreements that are cleared by a clearinghouse beyond any regulatory and clearinghouse
minimums. Such requirements may make it more difficult and costly for investment funds, such as the Funds, to enter into customized
transactions. They may also render certain investment strategies in which a Fund might otherwise engage impossible or so costly that they will
no longer be economical to implement. If a Fund decides to execute swap agreements through an exchange or swap execution facility, the Fund
-42
would be subject to the rules of the exchange or swap
execution facility, which would bring additional risks and liabilities, and potential
requirements under applicable regulations and under rules of the relevant exchange or
swap execution facility.
With respect to cleared OTC derivatives, a Fund will not
face a clearinghouse directly but rather will do so through a swap dealer that is
registered with the CFTC or SEC and that acts as a clearing member. A Fund may face the
indirect risk of the failure of another clearing member
customer to meet its obligations to its clearing member. This risk could arise due to a default by the clearing
member on its obligations to the
clearinghouse triggered by a customer's failure to meet its obligations to the clearing member.
Swap dealers also are required to post margin to the clearinghouses through which they clear
their swaps with customers instead of using
such margin in their operations, as was widely permitted before Dodd-Frank. This has increased and will continue to increase
swap dealers'
costs, and these increased costs are generally passed through to other market participants such as the Funds in the form of higher upfront and
mark-to-market margin, less favorable trade pricing, and the imposition of new or increased fees, including clearing account maintenance fees.
While certain regulations have been promulgated and are already in effect, the full impact of the
Dodd-Frank Act on any of the Funds
remains uncertain. The legislation and the related regulations that have been and may be promulgated in the future may negatively impact
a
Fund's ability to meet its investment objective either through limits on its investments or requirements imposed on it or any of its counterparties.
In particular, new requirements, including capital requirements and mandatory clearing of OTC derivatives transactions, which may increase
derivative counterparties' costs and are expected to generally be passed through to other market participants in the form of higher upfront and
mark-to-market margin, less favorable trade pricing, and the imposition of new or increased fees, including clearinghouse account maintenance
fees, may increase the cost of a Fund's investments and the cost of doing business, which could adversely affect investors.
Regulatory bodies outside the U.S. have also passed or proposed, or may propose in the future,
legislation similar to that proposed by
Dodd-Frank or other legislation containing other restrictions that could adversely impact the liquidity of and increase costs of
participating in the
commodities markets. For example, the European Union Markets in Financial Instruments Directive (Directive 2014/65/EU) and Markets in
Financial Instruments Regulation (Regulation (EU) No 600/2014) (together "MiFID II"), which has applied since January 3, 2018, governs the
provision of investment services and activities in relation to, as well as the organized trading of, financial instruments such as shares, bonds,
units in collective investment schemes and derivatives. In particular, MiFID II requires European Union (the "EU") Member States to apply
position limits to the size of a net position which a person can hold at any time in commodity derivatives traded on EU trading venues and in
"economically equivalent" OTC contracts. By way of further example, the European Market Infrastructure Regulation (Regulation (EU) No
648/2012, as amended) ("EMIR") introduced certain requirements in respect of OTC derivatives including: (i) the mandatory clearing of OTC
derivative contracts declared subject to the clearing obligation; (ii) risk mitigation techniques in respect of OTC derivative contracts that are not
cleared by a clearinghouse, including the mandatory margining of such contracts; and (iii) reporting and recordkeeping requirements in respect
of all derivatives contracts. In the event that the requirements under EMIR and MiFID II apply, these are expected to increase the cost of
transacting derivatives.
In addition, regulations adopted by U.S. federal banking regulators will require certain bank-regulated swap dealer counterparties and
certain of their affiliates and subsidiaries, including swap dealers, to include in certain financial contracts, including many derivatives contracts,
such as swap agreements, terms that delay or restrict the rights of counterparties, such as a Fund, to terminate such contracts, foreclose upon
collateral, exercise other default rights or restrict transfers of credit support in the event that the counterparty and/or its affiliates are subject to
certain types of resolution or insolvency proceedings. Similar regulations and laws have been adopted in the UK and the EU that apply to the
Funds' counterparties located in those jurisdictions. It is possible that these new requirements could adversely affect the Funds' ability to
terminate existing derivatives agreements or to realize amounts to be received under such agreements.
CFTC rules do not apply to all of the physically settled forward contracts entered into by the Funds. Investors, therefore, may not receive
the protection of CFTC regulation or the statutory scheme of the CEA in connection with each Fund's physically settled forward contracts. The
lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading
abuses or financial failure by participants.
-43
Regulatory and exchange daily price limits, position limits and accountability levels may have
a negative impact on the operation and
performance of each Fund.
Many U.S. futures exchanges limit the amount of fluctuation permitted in futures contract prices
during a single trading day by
regulations referred to as "daily price fluctuation limits" or "daily limits." Once the daily limit has been reached
in a particular contract, no
trades may be made that day at a price beyond that limit or trading may be suspended for specified periods during the trading day. Derivatives
contract prices could move to a limit for several consecutive trading days with little or no trading thereby preventing prompt liquidation of or
entry into derivatives positions and potentially subjecting the Fund to substantial losses or periods in which the Fund does not create additional
Creation Units.
In
addition, the CFTC, U.S. futures exchanges and certain non-U.S. exchanges have established limits referred to as "speculative position
limits" or
"accountability levels" on the maximum net long or short futures positions that any person may hold or control in futures contracts
traded on U.S. and certain
non-U.S. exchanges. The CFTC's rules require that all accounts owned or managed by an entity that is responsible for
such accounts' trading decisions, their
principals and their affiliates be aggregated for position limits. The CFTC amended these aggregation
rules in December 2016.
In connection with these limits, the Dodd-Frank Act amended the Commodity Exchange Act, and as a
result, the CFTC has adopted
regulations establishing speculative position limits applicable to regulated futures and OTC derivatives and impose aggregate speculative
position limits across regulated U.S. futures, OTC positions and certain futures contracts traded on non-U.S. exchanges. The CFTC has sought to
amend its position limits rules for several years and on October 15, 2020 the CFTC adopted rules on position limits with respect to the 25
physical delivery commodity futures contracts and options on futures, as well as to swaps that are economically equivalent to such contracts and
futures and options thereon that are directly or indirectly linked to the price of such contracts or to the same commodity underlying such
contracts (
e.g
., cash-settled look-a-like futures).
Exchanges may establish accountability levels applicable to futures contracts instead of position limits. An accountability level is not a
strict limit, but when a person holds or controls a position in excess of a position accountability level, the relevant exchange may convert the
accountability level to a limit based on information that it collects from the person as to the person's investment intentions and strategy as part of
the position accountability process and market conditions. In addition, the relevant exchange may order a person who holds or controls a
position in excess of a position accountability level not to further increase its position, to comply with any prospective limit that exceeds the size
of the position owned or controlled, or to reduce any open position that exceeds the position accountability level if the exchange determines that
such action is necessary to maintain an orderly market. Position accountability levels could adversely affect each of the Fund's ability to
establish and maintain positions in commodity futures contracts to which such levels apply, if the Funds were to trade in such contracts. Such an
outcome could adversely affect each of the Fund's ability to pursue its investment objective.
Currently, the Sponsor and the Funds are subject to position limits and accountability levels established by the CFTC and exchanges.
Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new
positions that would otherwise be taken for the Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or
any future limits established by the CFTC and the relevant exchanges. These restrictions, if implemented, could limit the ability of each Fund to
invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise
have a significant negative impact on Fund operations and secondary market trading.
In addition, the Sponsor may be required to liquidate certain open positions in order to ensure compliance with the speculative position
limits at unfavorable prices, which may result in substantial losses for the relevant Funds. There also can be no assurance that the Sponsor will
liquidate positions held on behalf of all the Sponsor's accounts, including any proprietary accounts, in a proportionate manner. In the event the
Sponsor chooses to liquidate a disproportionate number of positions held on behalf of any of the Funds at unfavorable prices, such Funds may
incur substantial losses and the value of the Shares may be adversely affected.
A person is generally required by CFTC or exchange rules, as applicable, to aggregate all positions in accounts as to which the person has
10% or greater ownership or control. However, CFTC and exchange rules provide certain exemptions from this requirement. For example, a
person is not required to aggregate positions in multiple accounts that it owns or controls if that person is able to satisfy the requirements of an
exemption from aggregation of those accounts, including, where available, the independent account controller exemption. Any failure to comply
with the independent account controller exemption or another exemption from the aggregation requirement could obligate the Sponsor to
-44
aggregate positions in multiple accounts under its
control, which could include the Funds and other commodity pools or accounts under the
Sponsor's control. In such a scenario, the Funds may not be able to obtain
exposure to one or more Financial Instruments necessary to pursue
their investment objectives, or they may be required to liquidate existing futures contract positions in
order to comply with a limit. Such an
outcome could adversely affect each of the Fund's ability to pursue its investment objective or achieve favorable
performance.
The Funds are currently subject to position limits and accountability
levels and may be subject to new or more restrictive position limits
or accountability levels in the future. A Fund that experiences significant and/or rapid increases in
size may reach position limits or
accountability levels and/or become subject to daily limits. Funds reaching or approaching such limits would be unable or limited in
their ability
to establish new futures positions or add to existing positions until they were back below such limits and their ability to engage in future
transactions on a going-forward basis could be severely limited. This could prevent each Fund from achieving its investment objective and
otherwise have a significant negative impact on the performance of each Fund. To the extent a Fund reaches or approaches position limits or
accountability levels, such a Fund may limit or suspend the purchase of Creation Units since the Fund may be unable to invest the cash received
from such Creation Units in sufficient futures transactions to meet its investment objective. As discussed elsewhere herein, the limitation or
suspension of Creation Unit purchases could cause a Fund's Shares to trade at significant premiums or discounts and otherwise disrupt
secondary market trading of Fund Shares.
If a Fund approached or reached a position limit, accountability level or daily limit, the Sponsor would likely seek to cause the Fund to
invest in swap transactions that provide exposure to the benchmark or components of the benchmark. There can be no guarantees that this
strategy would be successful or that a Fund would achieve sufficient exposure through swap transactions to achieve its investment objective. In
addition, the Trust or the Sponsor may apply to the CFTC or to the relevant exchanges for relief from certain position limits, accountability
levels and daily limits. There can be no guarantee that the CFTC or relevant exchange would grant such a request. If the Trust or Sponsor is
unable to obtain such relief, a Fund's ability to invest in additional futures contracts, achieve its investment objective, and issue new Creation
Units would be limited as described herein.
The UltraShort Natural Gas Fund experienced significantly higher than normal creation activity in mid-September of 2021. The Ultra
Natural Gas Fund experienced significantly higher than normal creation activity in mid-November of 2021. Each Fund potentially could
experience similar creation activity in the future. The VIX Futures Fund, the Shares of which are offered by this prospectus, along with
ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, the
shares of which are offered under a different prospectus (collectively, the "Four VIX Funds"), are subject to an aggregate VIX futures contract
accountability level. During the period from January 1, 2021 to October 31, 2021, the net VIX contract positions held by the Four VIX Funds in
the aggregate ranged from 19% to 52% of the VIX futures contract accountability level applicable to them (the "Accountability Level
Percentage"). The Accountability Level Percentage should be expected to change on a daily basis and will be affected by, among other things,
changes in the size of each of the Four VIX Funds, market conditions, investor demand for each of the Four VIX Funds, and the number and
mix of long and short VIX futures contract positions held by the Four VIX Funds. There can be no guarantee or assurance that the Accountability
Level Percentage will continue to be within such range in the future, and the Accountability Level Percentage may be higher or lower in
the future.
The Funds and the Sponsor are subject to extensive legal and regulatory requirements.
The Funds are subject to a comprehensive scheme of regulation under the federal commodity futures
trading and securities laws, as well
as futures exchange rules and the rules and listing standards for their Shares. Each Fund and the Sponsor could each be subject to
sanctions for a
failure to comply with those requirements, which could adversely affect the Fund's financial performance and its ability to pursue its investment
objectives. Each Fund is subject to significant disclosure, internal control, governance, and financial reporting requirements because its Shares
are publicly traded.
For example, the Funds are responsible for establishing and maintaining internal controls over
financial reporting. Under this requirement,
the Funds must adopt, implement and maintain an internal control system designed to provide reasonable assurance to its
management regarding
the preparation and fair presentation of published financial statements. The Funds are also required to adopt, implement, and maintain disclosure
controls and procedures that are designed to ensure information required to be disclosed by the Funds in reports that they file or submit to the
SEC is recorded, processed, summarized and reported within the time periods specified by the SEC. There is a risk that the Funds' internal
controls over financial reporting and disclosure controls and procedures could fail to operate as designed or otherwise fail to satisfy SEC
-45
requirements. Such a failure could result in the
reporting or disclosure of incorrect information or a failure to report information on a timely
basis. Such a failure could be to the disadvantage of shareholders and
could expose the Funds to penalties or otherwise adversely affect each of
the Fund's status under the federal securities laws and SEC regulations. Any internal
control system, no matter how well designed, has inherent
limitations. Therefore, even those systems determined to be effective may provide only reasonable assurance with
respect to financial statement
preparation and presentation and other disclosure matters.
In addition, the SEC, CFTC, and exchanges are empowered to intervene in their respective markets in response to extreme market
conditions. Those interventions could adversely affect the Funds' ability to pursue their investment objectives and could lead to losses for the
Funds and their shareholders.
The discontinuance of the U.S. dollar London interbank offered rate (LIBOR) could cause or contribute to market volatility and could
affect the market value and/or liquidity of the Funds' investments.
Shareholders should be aware that (i) relevant regulatory announcements about the phase out of
LIBOR, (ii) the possibility of changes
being made to the basis on which LIBOR is calculated and published (or its ceasing to be published), (iii) uncertainty as to whether
or how any
alternative reference rate may replace LIBOR, (iv) the ability of the Funds' third-party service providers and/or counterparties to support and
process the Funds' investments based on an alternative reference rate, and (v) any other actions taken by the ICE Benchmark Administration, the
Financial Conduct Authority (the "FCA") or any other entity with respect to LIBOR or its replacement (if any), could cause or contribute to
market volatility and could negatively affect the market value, availability and/or liquidity of the Funds' investments. The unavailability or
replacement of LIBOR may affect the valuation of certain Fund investments. Any pricing adjustments to a Fund's investments resulting from a
substitute reference rate may also adversely affect the Fund's performance and/or NAV. However, it is not possible at this time to predict or
ascertain what precise impact these will have on the Funds.
The use of futures contracts may expose the Funds to liquidity and other risks, which could result in significant loss to the Funds.
Risks of futures contracts include: (i) an imperfect correlation between the value of the futures
contract and the underlying commodity or
commodity index; (ii) possible lack of a liquid secondary market; (iii) the inability to close a futures contract when desired;
(iv) losses caused by
unanticipated market movements, which may be significant; (v) an obligation for a Fund to make daily cash payments to maintain its required
margin, particularly at times when the Fund may have insufficient cash or must sell investments to meet those margin requirements; (vi) the
possibility that a failure to close a position may result in a Fund receiving an illiquid commodity; (vii) unfavorable execution prices from rapid
selling; and (viii) inability to achieve desired exposure because of position limits or accountability levels. The use of futures contracts exposes a
Fund to risks associated with "rolling" as described herein, including the possibility that contango or backwardation can occur. In addition,
futures contracts may be subject to contractual or other restrictions on resale and may lack readily available markets for resale.
Margin requirements and position limits applicable to futures contracts may
limit a Fund's ability to achieve sufficient exposure and prevent
a Fund from achieving its investment objective.
Each Fund may enter into written agreements with one or more FCMs governing the terms of the
Fund's futures transactions cleared by
such FCM. Because futures contracts typically require only a relatively small initial investment, they may involve a high
degree of leverage. A
Fund must provide margin when it invests in a futures contract. Such margin requirements are subject to change suddenly and without warning
at any time during the term of the contract and could be substantial in the event of adverse price movements or volatility. High margin
requirements could prevent a Fund from obtaining sufficient exposure to futures contracts and may prevent or have a significant adverse impact
on a Fund's ability to achieve its investment objective. If a margin call is not met within a reasonable time, an FCM may close out a Fund's
position which may prevent the Fund from achieving its investment objective. If a Fund has insufficient cash to meet daily margin requirements,
it may need to sell Financial Instruments at a time when such sales are disadvantageous. An FCM's failure to return required margin to a Fund
on a timely basis may cause the Fund to delay redemption settlement dates and/or restrict, postpone or limit the right of redemption and could
also have a negative impact on a Fund's ability to achieve its investment objective.
Exchanges impose futures contract position limits and accountability levels on the Funds and the Funds may be subject to new or more
restrictive position limits or accountability levels in the future. If a Fund reaches a position limit or accountability level or becomes subject to a
daily limit, its ability to issue new Creation Units or reinvest in additional commodity futures contracts may be limited to the extent these
restrictions limit its ability to establish new futures positions, add to existing positions, or otherwise transact in futures.
-46
Certain of the FCMs utilized by the
Funds may impose their own "position limits", or risk limits, on the Funds. Any such risk limits
restrict the amount of exposure to futures contracts that a
Fund can obtain through such FCMs. These risk limits may, for example, be imposed
as a result of significant and/or rapid increases in the size of the Fund as a result of
an increase in creation activity. As a result, a Fund may need
to transact through a number of FCMs in order to achieve its investment objective. If enough FCMs are not
willing to transact with a Fund, or if
the risk limits imposed by such FCMs do not provide sufficient exposure, the Fund may not be able to achieve its investment
objective. In
addition, in such instances, a Fund may limit or suspend the purchase of Creation Units since the Fund may be unable to invest the cash received
from such Creation Unit in sufficient futures transactions to meet its investment objective. As discussed elsewhere herein, the limitation or
suspension of Creation Units could cause a Fund's Shares to trade at significant premiums or discounts and otherwise disrupt secondary market
trading of Fund Shares.
Futures markets are highly volatile, and may become more volatile during periods of general market and/or economic volatility, and the
use of or exposure to futures contracts may increase volatility of a Fund's NAV.
VIX futures contracts in particular have been subject to periods of sudden and extreme volatility. As a result, margin requirements for
VIX futures contracts are higher than those for most other types of futures contracts. In addition, the FCMs utilized by the Funds may impose
margin requirements in addition to those imposed by the clearinghouse. Margin requirements are subject to change, and may be raised in the
future by either or both of the clearinghouse and the FCMs. High margin requirements could prevent a Fund from obtaining sufficient exposure
to VIX futures contracts and may adversely affect a Fund's ability to achieve its investment objective. An FCM's failure to return required
margin to a Fund on a timely basis may cause such Fund to delay redemption settlement dates and/or restrict, postpone or limit the right
of redemption.
The insolvency of an FCM or clearinghouse or the failure of an FCM or clearinghouse to properly segregate Fund assets held as margin on
futures transactions may result in losses to the Funds.
The CEA requires FCMs to segregate client assets received as margin on futures transactions from their own proprietary assets. However,
in the event of the FCM's bankruptcy or if an FCM fails to properly segregate Fund assets deposited as margin, a Fund may not be able to
recover any assets held by the FCM, or may recover only a limited portion of such assets.
Furthermore, customer funds held at a clearinghouse in connection with any futures contracts are permitted to be held in a commingled
omnibus account that does not identify the name of the clearing member's individual customers. A clearinghouse may use assets held in such
accounts to satisfy payment obligations of a defaulting customer of the FCM to the clearinghouse. As a result, in the event of a default of one or
more of the FCM's other clients together with the bankruptcy or insolvency of the FCM, a Fund may not be able to recover the assets deposited
by the FCM on behalf of the Fund with the clearinghouse.
In the event of a bankruptcy or insolvency of any exchange or a clearinghouse, a Fund could experience a loss of the funds deposited
through its FCM as margin with the clearinghouse, a loss of any profits on its open positions on the exchange, and the loss of unrealized profits
on its closed positions on the exchange.
A Fund's performance could be adversely affected if an FCM reduces its internal risk limits for the Fund.
CFTC rules require clearing member FCMs to establish risk-based limits on position and order
size. As a result, the Trust's FCMs may be
required or may choose to reduce their internal limits on the size of the positions they will execute or clear for the
Funds, and the Funds' ability
to transact in futures contracts could be reduced or eliminated. Under these circumstances, the Trust may seek to use additional FCMs,
which
may increase the costs for the Funds, make the Funds' trading less efficient or more prone to error, or adversely affect the value of the Shares. If
enough FCMs are not willing to transact with a Fund, it may not be possible for the Fund to transact in futures contracts or to invest in other
Financial Instruments necessary to achieve the desired exposure consistent with the Fund's investment objective.
The use of swap agreements may expose the Funds to liquidity risk,
counterparty credit risk and other risks, which could result in significant
loss to the Funds.
Each Fund may enter into swaps referencing its benchmark or particular futures contracts
comprising its benchmark. Swaps are contracts
between two parties who agree to exchange the returns on, among other things, a particular predetermined security, commodity,
interest rate or
-47
index for a fixed or floating rate of return with reference to a predetermined notional amount of money. The Funds trade swaps
that are not
cleared by a clearinghouse. There are no limitations on the percentage of its assets a Fund may invest in swaps with a particular counterparty. A
swap counterparty or affiliate thereof may be an Authorized Participant or shareholder of one or more Funds. Swap agreements do not have
uniform terms. A swap counterparty may have the right to close out a Fund's position due to the occurrence of certain events (for example, if a
counterparty is unable to hedge its obligations to a Fund, or if the Fund defaults on certain terms of the swap agreement, or if there is a material
decline in the Fund's benchmark on a particular day) and request immediate payment of amounts owed by the Fund under the agreement. If the
level of a Fund's benchmark has a dramatic intraday move, the terms of the swap agreement may permit the counterparty to immediately close
out a transaction with the Fund at a price set by the counterparty, which may not represent fair market value. A swap counterparty may also have
the right to close out a Fund's position for no reason, in some cases with same day notice. The valuation method used to calculate NAV or errors
in calculation of a Fund's NAV may cause the Fund's NAV to be overstated or understated and may affect the performance of the Fund and the
value of an investment in the Shares.
Because a swap counterparty may stop trading with a Fund, in some cases with same day notice, a Fund may need to transact through a
number of swap counterparties in order to achieve its investment objective. If enough swap counterparties are not willing to transact with a
Fund, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired
exposure consistent with the Fund's objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the
level of the Fund's benchmark reverses all or part of an intraday move by the end of the day. In addition, in such instances, a Fund may limit or
suspend the purchase of Creation Units since the Fund may be unable to invest the cash received from such Creation Units through swap
transactions and other Financial Instruments in a manner designed to meet its investment objective. As discussed elsewhere herein, the limitation
or suspension of Creation Unit purchases could cause a Fund's Shares to trade at significant premiums or discounts and otherwise disrupt
secondary market trading of the Fund's Shares.
The Funds have sought to mitigate these risks by typically entering into transactions only with major, global financial institutions,
generally requiring that swap counterparties agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain
minimum thresholds. Notwithstanding the use of collateral arrangements, to the extent any collateral provided to such Fund is insufficient or
there are delays in accessing the collateral, the Fund will be exposed to possibly significant costs and delays in recovering such amounts. The
swap counterparty's failure to return collateral to such Fund on a timely basis may cause the Fund to delay redemption settlement dates and/or
restrict, postpone or limit the right of redemption. If the swap counterparty becomes bankrupt or otherwise fails to perform its obligations due to
financial difficulties or other reasons, such Fund could suffer significant losses on these contracts and the value of an investor's investment in
the Fund may decline.
Each Natural Gas and Precious Metals Fund may, but is not required to, seek to use swap
agreements that limit losses (
i.e
., have "floors")
or are otherwise designed to prevent the Fund's net asset value from going to or below zero. Use of such swap agreements will not prevent a
Natural Gas or Precious Metals Fund from losing value, and their use may not prevent the Fund's NAV from going to or below zero. Rather, it
is intended to allow a Natural Gas or Precious Metals Fund to preserve a small portion of its value in the event of significant movements in its
benchmark or Financial Instruments based on its benchmark. There can be no guarantee that use of such swap agreements will be successful.
Each Natural Gas and Precious Metals Fund will incur additional costs as a result of using such swap agreements. Use of swap agreements
designed to limit losses may also place "caps" or "ceilings" on performance and could significantly limit Fund gains, could cause a Fund to
perform in a manner not consistent with its investment objective, and could otherwise have a significant impact on Fund performance.
Margin requirements for swaps may limit a Fund's ability to achieve
sufficient exposure and prevent a Fund from achieving its
investment objective.
Margin requirements imposed by a swap counterparty are subject to change and could be
substantial, especially in the event of adverse
price movements. High margin requirements could prevent a Fund from obtaining sufficient exposure to swap agreements and
may adversely
affect a Fund's ability to achieve its investment objective. If a Fund has insufficient cash to meet its margin requirements, the Fund may need to
sell Financial Instruments at a time when such sales are disadvantageous. A Fund's use of swaps involves counterparty credit risk – i.e., the risk
that a counterparty is or is perceived to be unwilling or unable to make timely payments or otherwise meet its contractual obligations. Regulators
impose margin requirements applicable to swaps that are not cleared by a clearinghouse relating to the amount of initial margin, the timing of
margin transfers, and the calculation of margin requirements. Although a Fund is not directly subject to these requirements, when a Fund's
counterparty is subject to these requirements, the swaps between the Fund and that counterparty are subject to these margin requirements, and
-48
collateral is required to be exchanged between the Fund
and the counterparty to account for any changes in the value of such swaps. It is
possible that in the future these rules could apply to the Funds, may result in
significant operational burdens and costs to a Fund, and may impair
the Fund's ability to achieve its investment objective.
The use of derivatives, such as swap agreements and forward contracts, exposes
the Funds to counterparty credit risks.
Each Fund may use derivatives such as swap
agreements and forward contracts (collectively referred to herein as "derivatives") in the
manner described herein as a means to achieve their respective
investment objectives. Use of derivatives exposes the Funds to the credit risk of
the counterparty to a derivative transaction.
Derivative transactions may be "cleared" or "uncleared." In the case of
derivatives that are not cleared by a clearinghouse, the Funds will
be subject to the credit risk of the counterparty to the transaction – typically a single bank or
financial institution. If a counterparty becomes
bankrupt or otherwise fails to perform its obligations due to financial difficulties or other reasons, a Fund could suffer
significant losses on these
contracts and the value of an investor's investment in a Fund may decline.
In the case of derivatives that are cleared by a clearinghouse, the Funds will have credit risk
to the clearinghouse in a similar manner as
the Funds would for futures contracts. The counterparty risk for these derivatives transactions is generally lower than for
derivatives transactions
that are not cleared by a clearinghouse. Once a transaction is cleared, the clearinghouse is substituted and is the Fund's counterparty for
the
derivative transaction. The clearinghouse guarantees the performance of the other side of the derivative transaction. Nevertheless, some risk
remains, as there is no assurance that the clearinghouse, or its members, will satisfy their obligations to a Fund.
The use of options strategies may expose the Funds to significant loss and
liquidity, counterparty and other risks.
Options transactions may be considered
speculative in nature and may be highly leveraged. Certain options transactions may subject the
writer (seller) to unlimited risk of loss in the event of an increase in
the price of the contract to be purchased or delivered. The value of a Fund's
options transactions, if any, will be affected by, among other things, changes in the
value of a Fund's underlying benchmark relative to the strike
price, changes in interest rates, changes in the actual and implied volatility of the Fund's
underlying benchmark, and the remaining time to until
the options expire, or any combination thereof. The value of the options should not be expected to increase or
decrease at the same rate as the
level of the Fund's underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other
securities. A
Fund's ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market
for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial
downside from specific option positions and certain option positions may expire worthless. Over-the-counter options generally are not
assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The
over-the-counter market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a
Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may
buy and sell options on futures contracts, which may present even greater volatility and risk of loss.
Use of options strategies may be costly and may not be successful.
Each Fund may buy and sell options in order to achieve exposure to the markets. An option is a contract that gives the buyer the right, but
not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period
of time, regardless of the market price of that instrument. As the buyer of a call or put option, a Fund may lose the entire premium paid for the
option if the value of the security underlying the option does not rise above the call strike price, or fall below the put strike price, which means
the option will expire worthless. As a seller (writer) of a call or put option, a Fund will tend to lose money if the value of the underlying security
rises above the call strike price or falls below the put strike price. A Fund's losses are potentially large in written put or call transactions. In
addition to futures contracts, the principal futures exchanges offer a number of listed options on futures contracts. Options on futures contracts
offer market participants another type of Financial Instrument to use in managing exposure to the relevant commodity market. A Fund may
purchase options on futures contracts on these exchanges in pursuing its investment objective. Further, in addition to Financial Instruments such
as futures contracts and options on futures contracts, there also exists an active nonexchange-traded market in derivatives tied to various
commodities.
-49
In addition, each Fund may, but is not required to, seek to use options strategies that limit losses (
i.e
., have "floors") or are otherwise
designed to prevent the Fund's net asset value from going to or below zero. Use of such options strategies will not prevent a Fund from losing
value, and their use may not prevent the Fund's NAV from going to or below zero. Rather, it is intended to allow a Fund to preserve a small
portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no
guarantee that use of such options strategies will be successful. Each Fund will incur additional costs as a result of using such options strategies.
Use of options strategies designed to limit losses may also place "caps" or "ceilings" on performance and could significantly limit Fund gains,
could cause a Fund to perform in a manner not consistent with its investment objective, and could otherwise have a significant impact on
Fund performance.
A
Fund will incur additional transaction, compliance and other costs as a result of using options strategies. The use of options may be
considered aggressive, may not
prevent a Fund from losing value, and may not prevent a Fund's NAV from decreasing to or below zero. There
can be no guarantee that a Fund will be able to implement
options strategies, continue to use options strategies, or that options strategies will be
successful. Use of an options strategy could cause a Fund to perform in a manner
not consistent with its investment objective and could
otherwise have a negative impact on Fund performance.
Shareholders' tax liability may exceed cash distributions on the
Shares.
Shareholders of each Fund may be subject to U.S. federal income taxation
and, in some cases, state, local, or foreign income taxation on
their share of the Fund's taxable income, whether or not they receive cash distributions from the
Fund. Each Fund does not currently expect to
make distributions with respect to capital gains or ordinary income. Accordingly, shareholders of a Fund will not receive cash
distributions equal
to their share of the Fund's taxable income or the tax liability that results from such income. A Fund's income, gains, losses and
deductions are
allocated to shareholders on a monthly basis. If you own Shares in a Fund at the beginning of a month and sell them during the month, you are
generally still considered a shareholder through the end of that month.
The U.S. Internal Revenue Service (the "IRS") could adjust or reallocate items of income, gain, deduction, loss and credit with respect
to the
Shares if the IRS does not accept the assumptions or conventions utilized by the Fund.
U.S. federal income tax rules applicable to partnerships, which each Fund is anticipated to be
treated as under the Internal Revenue Code
of 1986, as amended (the "Code"), are complex and their application is not always clear. Moreover, the rules
generally were not written for, and
in some respects are difficult to apply to, publicly traded interests in partnerships. The Funds apply certain assumptions and
conventions
intended to comply with the intent of the rules and to report income, gain, deduction, loss and credit to shareholders in a manner that reflects the
shareholders' economic gains and losses, but these assumptions and conventions may not comply with all aspects of the applicable Regulations
(as defined below). It is possible therefore that the IRS will successfully assert that these assumptions or conventions do not satisfy the technical
requirements of the Code or the Treasury regulations promulgated thereunder (the "Regulations") and will require that items of income, gain,
deduction, loss and credit be adjusted or reallocated in a manner that could be adverse to investors.
Shareholders will receive partner information tax returns on Schedule K-1, which could increase the complexity of tax returns.
The partner information tax returns on Schedule K-1, which the Funds will distribute to
shareholders, will contain information regarding
the income items and expense items of the Funds. If you have not received Schedules K-1 from other investments, you may
find that preparing
your tax return may require additional time, or it may be necessary for you to retain an accountant or other tax preparer, at an additional expense
to you, to assist you in the preparation of your return.
Shareholders of each Fund may recognize significant amounts of ordinary income and short-term capital gain.
Due to the investment strategy of the Funds, the Funds may realize and pass through to
shareholders significant amounts of ordinary
income and short-term capital gains as opposed to long-term capital gains, the latter of which are generally taxed at a
preferential rate. A Fund's
income, gains, losses and deductions are allocated to shareholders on a monthly basis. If you own Shares in a Fund at the beginning of a
month
and sell them during the month, the Fund will generally still consider you a shareholder through the end of that month.
-50
A Fund may be liable for U.S. federal
income tax on any "imputed underpayment" of tax resulting from an adjustment as a result of an
IRS audit. The amount of the imputed underpayment generally
includes increases in allocations of items of income or gains to any shareholder
and decreases in allocations of items of deduction, loss, or credit to any shareholder
without any offset for any corresponding reductions in
allocations of items of income or gain to any shareholder or increases in allocations of items of deduction, loss,
or credit to any shareholder. If a
Fund is required to pay any U.S. federal income taxes on any imputed underpayment, the resulting tax liability would reduce the net
assets of the
Fund and would likely have an adverse impact on the value of the Shares. Under certain circumstances, a Fund may be eligible to make an
election to cause the shareholders to take into account the amount of any imputed underpayment, including any interest and penalties. However,
there can be no assurance that such election will be made or effective. If the election is made, the Fund would be required to provide
shareholders who owned beneficial interests in the Shares in the year to which the adjusted allocations relate with a statement setting forth their
proportionate shares of the adjustment ("Adjustment Statements"). Those shareholders would be required to take the adjustment into account in
the taxable year in which the Adjustment Statements are issued.
A Fund could be treated as a corporation for federal income tax purposes, which may substantially reduce the value of its Shares.
Each Fund has received an opinion of counsel that, under current U.S. federal income tax laws,
such will be treated as a partnership that is
not taxable as a corporation for U.S. federal income tax purposes, provided that, inter alia, (i) at least 90 percent of such
Fund's annual gross
income will be derived from qualifying income which includes dividends, interest, capital gains from the sale or other disposition of stocks and
debt instruments and, in the case of a partnership a principal activity of which is the buying and selling of commodities or certain positions with
respect to commodities, income and gains derived from certain swap agreements or regulated futures or forward contracts with respect to
commodities, (ii) such Fund is organized and operated in accordance with its governing agreements and applicable law and (iii) such Fund does
not elect to be taxed as a corporation for federal income tax purposes. Although the Sponsor anticipates that each Fund has satisfied and will
continue to satisfy the "qualifying income" requirement for all of its taxable years, such result cannot be assured. The Funds have not requested
and will not request any ruling from the IRS with respect to their classification that each Fund is treated as a partnership not taxable as a
corporation for federal income tax purposes. If the IRS were to successfully assert that a Fund is taxable as a corporation for federal income tax
purposes in any taxable year, rather than passing through its income, gains, losses and deductions proportionately to shareholders, such Fund
would be subject to tax on its net income for the year at the 21% corporate tax rate. In addition, although each Fund does not currently intend to
make distributions with respect to Shares, any distributions would be taxable to shareholders as dividend income. Taxation of a Fund as a
corporation could materially reduce the after-tax return on an investment in Shares and could substantially reduce the value of the Shares.
Shareholders will not be eligible for the deduction for qualified publicly
traded partnership income.
For taxable years beginning before January 1, 2026, there
is a 20% deduction for "qualified publicly traded partnership income" within
the meaning of Section 199A(e)(4) of the Code. In general, "qualified
publicly traded partnership income" for this purpose is an item of income,
gain, deduction or loss that is effectively connected with a United States trade or
business and includable in determining taxable income for the
year, but does not include certain investment income. It is currently not expected that a Fund's income
will be eligible for such deduction
because as discussed below, although the matter is not free from doubt, each Fund believes that the activities directly conducted by
the Fund will
not result in the Fund being engaged in a trade or business within the United States. Potential investors should consult their tax advisors
regarding the availability of such deduction for their allocable share of a Fund's items of income, gain, deduction and loss.
PROSPECTIVE INVESTORS ARE STRONGLY URGED TO CONSULT THEIR OWN TAX ADVISORS AND
COUNSEL
WITH RESPECT TO THE POSSIBLE TAX CONSEQUENCES TO THEM OF AN INVESTMENT IN THE SHARES OF A FUND;
SUCH TAX CONSEQUENCES MAY DIFFER IN RESPECT OF DIFFERENT INVESTORS.
-51
CAUTIONARY NOTE REGARDING FORWARD-LOOKING STATEMENTS
This Prospectus and the documents incorporated by reference in this Prospectus contain
"forward-looking statements" within the meaning
of Section 27A of the Securities Act of 1933, as amended (the "1933 Act") and Section 21E of the
Securities Exchange Act of 1934, as amended
(the "1934 Act"), that are subject to risks and uncertainties. Investors can identify these forward-looking
statements by the use of expressions
such as "may," "will," "expect," "anticipate," "believe,"
"intend," "plan," "project," "should," "estimate," "seek" or any negative or other
variations on
such expression. These forward-looking statements are based on information currently available to the Sponsor and are subject to a
number of risks, uncertainties and other
factors, both known, such as those described in "Risk Factors" and elsewhere in this Prospectus and the
documents incorporated by reference in this Prospectus,
and unknown, that could cause the actual results, performance, prospects or
opportunities of the Funds to differ materially from those expressed in, or implied by, these
forward-looking statements.
Except as expressly required by federal securities laws,
the Trust assumes no obligation to update publicly any forward-looking
statements, whether as a result of new information, future events or otherwise. Investors should not
place undue reliance on any forward-looking
statements.
-52
DESCRIPTION OF EACH FUND'S BENCHMARK
DESCRIPTION OF THE MID-TERM VIX FUTURES FUND'S INDEX
The S&P 500 VIX Mid-Term Futures Index
The VIX Futures Fund seeks to offer exposure to forward equity market volatility by
obtaining exposure to the S&P 500 VIX Mid-Term
VIX Futures Index (the "Mid-Term VIX Futures Index"). The S&P 500 VIX Mid-Term Futures Index is an
investable index based on publicly
traded VIX futures contracts. The S&P 500
(R)
VIX Mid-Term Futures Index measures the return of a daily rolling long
position in the fourth,
fifth, sixth and seventh month
VIX
(R)
futures contracts.
The S&P 500 VIX Mid-Term Futures Index employs rules for selecting the VIX futures contracts
comprising the Mid-Term VIX Futures
Index and a formula to calculate a level for that Index from the prices of these VIX futures contracts (these rules and the formula may
be
changed from time to time, and without notice, by S&P). Currently, the VIX futures contracts comprising the Index represent the prices of four
mid-term VIX futures contracts, replicating a position that rolls the fourth month VIX futures to the seventh month VIX futures on a daily basis
in equal fractional amounts, while maintaining a constant weight in the fifth and sixth month VIX futures. This results in a constant weighted
average term to expiration of five months.
The level of the Index will be published by Bloomberg Finance L.P. in real time and at the close of trading on each Index business day
under the Bloomberg ticker: SPVXMPID.
The performance of the S&P 500
(R)
VIX Mid-Term Futures Index is influenced by the performance of the
S&P 500 (and options thereon)
and the performance of the VIX index. A description of VIX futures contracts, the VIX and the S&P 500 follows.
VIX Futures Contracts
The S&P 500
(R)
VIX Mid-Term VIX Futures Index is comprised of VIX futures contracts. VIX futures contracts were first launched for
trading by the Cboe in 2004. VIX futures contracts allow investors to invest based on their view of the forward implied market volatility of the
S&P 500. Investors that believe the forward implied market volatility of the S&P 500 will increase may buy VIX futures contracts. Conversely,
investors that believe that the forward implied market volatility of the S&P 500 will decline may sell VIX futures contracts.
While the VIX represents a measure of the current expected volatility of the S&P 500 over the
next 30 days, the prices of VIX futures
contracts are based on the current expectation of the expected 30-day volatility of the S&P 500 on the expiration date of the
futures contract.
Since the VIX and VIX futures contracts are two distinctly different measures, the VIX and VIX futures contracts generally behave
quite differently.
An important consequence of the spot/forward relationship between the VIX and VIX futures contracts (and therefore between
the VIX and the VIX Futures Fund) that investors should understand is that the price of a VIX futures contract can be lower, equal to
or higher than the VIX, depending on whether the market expects volatility to be lower, equal to or higher in the 30-day forward period
covered by the VIX futures contract than in the 30-day spot period covered by the VIX. Therefore the performance of VIX futures
contracts should be expected to be very different than the performance of the VIX as there is no direct relationship between the two
measures. As a result, since the performance of the VIX Futures Fund is linked to the performance of the VIX futures contracts
included in the Index, the VIX Futures Fund should be expected to perform very differently from the VIX.
The VIX
The VIX is an index designed to measure the implied volatility of the S&P 500 over 30 days in
the future. The VIX is calculated based on
the prices of certain put and call options on the S&P 500. The VIX is reflective of the premium paid by investors for
certain options linked to the
level of the S&P 500.
-53
•
During periods of rising investor uncertainty, including periods of market instability, the implied level of volatility of the S&P
500 typically increases and, consequently, the prices of options linked to the S&P 500 typically increase (assuming all other relevant
factors remain constant or have negligible changes). This, in turn, causes the level of the VIX to increase.
•
During periods of declining investor uncertainty, the implied level of volatility of the S&P 500 typically decreases and, consequently,
the prices of options linked to the S&P 500 typically decrease (assuming all other relevant factors remain constant or
have negligible changes). This, in turn, causes the level of the VIX to decrease.
Volatility, and the level of the VIX, can increase (or decrease) without warning. The performance of the VIX has historically had a
negative correlation to the performance of the S&P 500. The VIX was developed by the Cboe and is calculated, maintained and published by the
Cboe. The Cboe may change the methodology used to determine the VIX and has no obligation to continue to publish, and may discontinue the
publication of, the VIX. The VIX is reported by Bloomberg Finance L.P. under the ticker symbol "VIX."
The S&P 500
The S&P 500 is an index that measures large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted
index of 500 U.S. operating companies and real estate investment trusts selected by the S&P U.S. Index Committee through a non-mechanical
process that factors in criteria such as domicile, investible weight factor, liquidity, market capitalization and financial viability. Changes to index
composition are made on an as-needed basis. There is no scheduled reconstitution. Rather, changes in response to corporate actions and market
developments can be made at any time. S&P publishes the S&P 500. The daily calculation of the current value of the S&P 500 is based on the
relative value of the aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate average
initial market value of the common stocks of 500 similar companies at the time of the inception of the S&P 500. The 500 companies are not the
500 largest publicly traded companies and not all 500 companies are listed on the Exchange. Constituent selection is at the discretion of the
Index Committee and is based on eligibility criteria. The index has a fixed constituent company count of 500. Sector balance, as measured by a
comparison of each GICS sector's weight in an index with its weight in the S&P Total Market Index, in the relevant market capitalization range,
is also considered in the selection of companies for the indices. S&P may from time to time, in its sole discretion, add companies to, or delete
companies from, the S&P 500 to achieve the objectives stated above. Relevant criteria employed by S&P include the viability of the particular
company, the extent to which that company represents the industry group to which it is assigned, the extent to which the company's common
stock is widely held and the market value and trading activity of the common stock of that company.
Information about the Index Licensor
PROSHARES VIX MID-TERM FUTURES ETF (THE VIX FUTURES FUND) IS NOT SPONSORED, ENDORSED, SOLD OR
PROMOTED BY S&P AND ITS AFFILIATES OR CBOE. S&P AND CBOE MAKE NO REPRESENTATION, CONDITION OR
WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF THE VIX FUTURES FUND OR ANY MEMBER OF THE PUBLIC
REGARDING
THE ADVISABILITY OF INVESTING IN SECURITIES GENERALLY OR IN THE VIX FUTURES FUND PARTICULARLY
OR THE ABILITY OF THE S&P 500 VIX MID-TERM FUTURES INDEX (THE MID-TERM
VIX FUTURES INDEX) TO TRACK
MARKET PERFORMANCE AND/OR OF GROUPS OF ASSETS OR ASSET CLASSES AND/ OR TO ACHIEVE ITS STATED
OBJECTIVE AND/OR TO FORM THE BASIS OF A SUCCESSFUL INVESTMENT STRATEGY, AS APPLICABLE. S&P'S AND CBOE'S
ONLY RELATIONSHIP TO PROSHARES TRUST II ON BEHALF OF ITS APPLICABLE SERIES AND PROSHARE CAPITAL
MANAGEMENT
LLC IS THE LICENSING OF CERTAIN TRADEMARKS AND TRADE NAMES AND OF THE MID-TERM VIX
FUTURES INDEX WHICH IS DETERMINED, COMPOSED AND CALCULATED BY S&P WITHOUT REGARD TO
PROSHARES
TRUST II ON BEHALF OF ITS APPLICABLE SERIES AND PROSHARE CAPITAL MANAGEMENT LLC OR THE VIX FUTURES
FUND. S&P HAS NO OBLIGATION TO TAKE THE NEEDS OF PROSHARES TRUST II ON BEHALF OF ITS APPLICABLE SERIES
AND PROSHARE CAPITAL MANAGEMENT LLC OR THE OWNERS OF THE VIX FUTURES FUND INTO CONSIDERATION IN
DETERMINING, COMPOSING OR CALCULATING THE MID-TERM VIX FUTURES INDEX. S&P AND CBOE ARE NOT ADVISORS
TO THE VIX FUTURES FUND AND ARE NOT RESPONSIBLE FOR AND HAVE NOT PARTICIPATED IN THE DETERMINATION OF
THE
PRICES AND AMOUNT OF THE VIX FUTURES FUND OR THE TIMING OF THE ISSUANCE OR SALE OF THE VIX FUTURES
FUND OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY WHICH THE
VIX FUTURES FUND SHARES ARE
TO BE CONVERTED INTO CASH. S&P AND CBOE HAVE NO OBLIGATION OR LIABILITY IN CONNECTION WITH THE
ADMINISTRATION, MARKETING, OR TRADING OF THE VIX FUTURES FUND.
-54
NEITHER S&P DOW JONES INDICES NOR THIRD PARTY LICENSOR GUARANTEES THE ADEQUACY, ACCURACY,
TIMELINESS, AND/OR THE COMPLETENESS OF THE S&P 500 VIX MID-TERM FUTURES INDEX OR ANY DATA RELATED
THERETO OR ANY COMMUNICATION INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION,
(INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. NEITHER S&P DOW JONES INDICES NOR CBOE
SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW
JONES INDICES AND CBOE MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES,
OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE AS TO RESULTS TO BE OBTAINED BY
PROSHARES
TRUST II, ON BEHALF OF ITS PROSHARES VIX MID-TERM FUTURES ETF, AND PROSHARE CAPITAL
MANAGEMENT LLC, OWNERS OF PROSHARES VIX MID-TERM FUTURES ETF, OR ANY OTHER PERSON OR
ENTITY FROM
THE USE OF THE S&P 500 VIX SHORT-TERM FUTURES OR MCAP INDEX OR WITH RESPECT TO ANY DATA RELATED
THERETO. IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES OR CBOE, BE LIABLE FOR ANY INDIRECT,
SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS,
TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH
DAMAGES,
WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES
OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND
PROSHARES TRUST II, ON
BEHALF OF ITS PROSHARES VIX MID-TERM FUTURES ETF, OR PROSHARES CAPITAL MANAGEMENT LLC, OTHER THAN
THE LICENSORS OF S&P DOW JONES INDICES.
DESCRIPTION OF THE NATURAL GAS FUNDS' BENCHMARK
Bloomberg Natural Gas
Subindex
SM
The Natural Gas Funds seek daily investment results, before fees and expenses, that correspond to two times (2x) or two times the inverse
(-2x), of the daily performance of the Bloomberg Natural Gas SubindexSM (the "Natural Gas Subindex").
The Natural Gas Subindex is intended to reflect the performance of a rolling position in natural gas futures contracts traded on the
NYMEX without regard to income earned on cash positions. An investment in natural gas futures contracts may often perform very differently
than the price of physical natural gas (
e.g
., the wellhead or end-user price of natural gas).
The Natural Gas Subindex is based on the Natural Gas component of the Bloomberg Commodity IndexSM (the "Bloomberg Commodity
Index") and tracks what is known as a rolling futures position. Unlike equities, which entitle the holder to a continuing stake in a corporation,
commodity futures contracts specify a delivery date for the underlying physical commodity or its cash equivalent. The Natural Gas Subindex is a
"rolling index," which means that the Natural Gas Subindex does not take actual physical possession of the commodity; rather, it tracks a rolling
futures position. An investor with a rolling futures position is able to avoid delivering (or taking delivery of) the underlying physical commodity
while maintaining exposure to the commodity. The roll occurs over a period of five Bloomberg Commodity Index business days in
pre-determined months according to the Bloomberg Commodity Index contract schedule, generally beginning on the sixth business day of the
month and ending on the tenth business day. Each day during the roll period, approximately 20% of the expiring futures position will be rolled
into a new contract with a longer dated expiry, increasing from 0% to 20%, 40%, 60%, 80% and finally 100%. The Natural Gas Subindex will
reflect the performance of its underlying natural gas contracts, including the impact of rolling, without regard to income earned on
cash positions.
The
methodology for determining the composition of the Natural Gas Subindex and for calculating its level may be changed at any time
by Bloomberg without notice.
The daily performance of the Natural Gas Subindex is published by Bloomberg Finance L.P. and is
available under the following
Bloomberg Ticker: BCOMNG.
Information About the Index Licensor
"BLOOMBERG
®
" AND "BLOOMBERG NATURAL GAS SUBINDEXSM" ARE SERVICE MARKS OF BLOOMBERG FINANCE
L.P. AND ITS AFFILIATES, INCLUDING BLOOMBERG INDEX SERVICES LIMITED ("BISL"), THE ADMINISTRATOR OF
-55
THE INDICES
(COLLECTIVELY, "BLOOMBERG") AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY
PROSHARES TRUST II (THE "LICENSEE").
The Natural Gas Funds are not sponsored, endorsed, sold or promoted by Bloomberg. Bloomberg does not make any representation or
warranty, express or implied, to the owners of or counterparties to the Natural Gas Funds or any member of the public regarding the advisability
of investing in securities or commodities generally or in the Natural Gas Funds particularly. The only relationship of Bloomberg to the Licensee
is the licensing of certain trademarks, trade names and service marks and of the Bloomberg Commodity Index and Natural Gas Subindex which
are determined, composed and calculated by BISL without regard to the Licensee or the Natural Gas Funds. Bloomberg has no obligation to take
the needs of the Licensee or the owners of the Natural Gas Funds into consideration in determining, composing or calculating the Bloomberg
Commodity Index or Natural Gas Subindex. Bloomberg is not responsible for or has not participated in the determination of the timing of, prices
at, or quantities of the Natural Gas Funds to be issued or in the determination or calculation of the equation by which the Natural Gas Funds are
to be converted into cash. Bloomberg shall not have any obligation or liability, including, without limitation, to the Natural Gas Funds'
customers, in connection with the administration, marketing or trading of the Natural Gas Funds.
The Prospectus relates only to the Natural Gas Funds and does not relate to the exchange-traded physical commodities underlying any of
the Bloomberg Commodity Index or the Natural Gas Subindex components. Purchasers of the Natural Gas Funds should not conclude that the
inclusion of a futures contract in the Bloomberg Commodity Index or the Natural Gas Subindex is any form of investment recommendation of
the futures contract or the underlying exchange-traded physical commodity by Bloomberg. The information in the Prospectus regarding the
Bloomberg Commodity Index and the Natural Gas Subindex components has been derived solely from publicly available documents.
Bloomberg has not made any due diligence inquiries with respect to the Bloomberg Commodity Index or Bloomberg Natural Gas Subindex
components in connection with the Natural Gas Funds. Bloomberg makes no representation that these publicly available documents or any other
publicly available information regarding the Bloomberg Commodity Index or the Natural Gas Subindex components, including without
limitation a description of factors that affect the prices of such components, are accurate or complete.
BLOOMBERG DOES NOT GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE BLOOMBERG
COMMODITY INDEX, THE NATURAL GAS SUBINDEX OR ANY DATA RELATED THERETO AND BLOOMBERG SHALL NOT
HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. BLOOMBERG DOES NOT MAKE ANY
WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE LICENSEE, OWNERS OF THE NATURAL GAS
FUNDS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG COMMODITY INDEX, THE NATURAL GAS
SUBINDEX OR ANY DATA RELATED THERETO. BLOOMBERG DOES NOT MAKE ANY EXPRESS OR IMPLIED WARRANTIES
AND
EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE
WITH RESPECT TO THE BLOOMBERG COMMODITY INDEX, THE NATURAL GAS SUBINDEX OR
ANY DATA RELATED
THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, TO THE MAXIMUM EXTENT ALLOWED BY LAW, BLOOMBERG,
ITS LICENSORS, AND ITS AND THEIR RESPECTIVE EMPLOYEES, CONTRACTORS, AGENTS, SUPPLIERS, AND VENDORS
SHALL
HAVE NO LIABILITY OR RESPONSIBILITY WHATSOEVER FOR ANY INJURY OR DAMAGES WHETHER DIRECT,
INDIRECT, CONSEQUENTIAL, INCIDENTAL, PUNITIVE OR OTHERWISE ARISING IN CONNECTION
WITH THE NATURAL GAS
FUNDS OR THE BLOOMBERG COMMODITY INDEX, THE NATURAL GAS SUBINDEX OR ANY DATA OR VALUES RELATING
THERETO WHETHER ARISING FROM THEIR NEGLIGENCE OR OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY
THEREOF.
DESCRIPTION OF THE PRECIOUS METALS FUNDS'
BENCHMARKS
Bloomberg Silver Subindex
SM
The UltraShort Silver Fund seeks daily investment results, before fees and expenses, that
correspond to two times the inverse (-2x) of the
daily performance of the Bloomberg Silver Subindex
SM
(the "Silver Subindex"), a subindex of the Bloomberg
Commodity Index. The Silver
Subindex is intended to reflect the performance of silver, as measured by the price of COMEX silver futures contracts, including the impact or
rolling, without regard to income earned on cash positions. The Silver Subindex is not directly linked to the "spot price" of silver. Futures
contracts may perform very differently from the spot price of silver.
-56
The Silver Subindex is based on the silver component of the Bloomberg Commodity Index and tracks what is known
as a rolling futures
position. Unlike equities, which entitle the holder to a continuing stake in a corporation, commodity futures contracts specify a delivery date for
the underlying physical commodity or its cash equivalent. The Silver Subindex is a "rolling index," which means that the Silver Subindex does
not take physical possession of any commodities. An investor with a rolling futures position is able to avoid delivering (or taking delivery of)
underlying physical commodities while maintaining exposure to those commodities. The roll occurs over a period of five Bloomberg
Commodity Index business days in pre-determined months according to the Bloomberg Commodity Index contract schedule, generally
beginning on the sixth business day of the month and ending on the tenth business day. Each day during the roll period, approximately 20% of
the expiring futures position will be rolled into a new contract with a longer dated expiry, increasing from 0% to 20%, 40%, 60%, 80% and
finally 100%. The Silver Subindex will reflect the performance of its underlying silver futures contracts, including the impact of rolling, without
regard to the income earned on cash positions.
The methodology for determining the composition of the Silver Subindex and for calculating its level may be changed at any time by
Bloomberg without notice.
The daily performance of the Silver Subindex is published by Bloomberg Finance L.P. and is available under the Bloomberg ticker
symbol: BCOMSI.
Information About the Index Licensor
"BLOOMBERG
®
", AND "BLOOMBERG SILVER SUBINDEX
SM
" ARE SERVICE MARKS OF BLOOMBERG
FINANCE L.P. AND
ITS AFFILIATES, INCLUDING BLOOMBERG INDEX SERVICES LIMITED ("BISL"), THE ADMINISTRATOR OF THE INDICES
(COLLECTIVELY, "BLOOMBERG") AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY THE
LICENSEE.
The UltraShort Silver Fund is not sponsored, endorsed, sold or promoted by Bloomberg. Bloomberg
does not make any representation or
warranty, express or implied, to the owners of or counterparties to the UltraShort Silver Fund or any member of the public regarding
the
advisability of investing in securities or commodities generally or in the UltraShort Silver Fund particularly. The only relationship of Bloomberg
to the Licensee is the licensing of certain trademarks, trade names and service marks and of the Silver Subindex which is determined, composed
and calculated by BISL without regard to the Licensee or the UltraShort Silver Fund. Bloomberg has no obligation to take the needs of the
Licensee or the owners of the UltraShort Silver Fund into consideration in determining, composing or calculating the Silver Subindex.
Bloomberg is not responsible for or has not participated in the determination of the timing of, prices at, or quantities of the UltraShort Silver
Fund to be issued or in the determination or calculation of the equation by which the UltraShort Silver Fund are to be converted into cash.
Bloomberg shall have no obligation or liability, including, without limitation, to the UltraShort Silver Fund's customers, in connection with the
administration, marketing or trading of the UltraShort Silver Fund.
The Prospectus relates only to the UltraShort Silver Fund and does not relate to the exchange-traded physical commodities underlying any
of the Silver Subindex components. Purchasers of the UltraShort Silver Fund should not conclude that the inclusion of a futures contract in the
Silver Subindex is any form of investment recommendation of the futures contract or the underlying exchange-traded physical commodity by
Bloomberg. The information in the Prospectus regarding the Silver Subindex components has been derived solely from publicly available
documents. Bloomberg has not made any due diligence inquiries with respect to the Bloomberg Silver Subindex components in connection with
the UltraShort Silver Fund. Bloomberg makes no representation that these publicly available documents or any other publicly available
information regarding the Silver Subindex components, including without limitation a description of factors that affect the prices of such
components, are accurate or complete.
BLOOMBERG DOES NOT GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE BLOOMBERG SILVER
SUBINDEX OR ANY DATA RELATED THERETO AND BLOOMBERG SHALL HAVE NO ANY LIABILITY FOR ANY ERRORS,
OMISSIONS OR INTERRUPTIONS THEREIN. BLOOMBERG MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS
TO BE OBTAINED BY THE LICENSEE, OWNERS OF THE ULTRASHORT SILVER FUND OR ANY OTHER PERSON OR ENTITY
FROM
THE USE OF THE BLOOMBERG SILVER SUBINDEX OR ANY DATA RELATED THERETO. BLOOMBERG DOES NOT
MAKE ANY EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF
MERCHANTABILITY
OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG SILVER SUBINDEX OR ANY DATA
-57
RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING,
TO THE MAXIMUM EXTENT ALLOWED BY LAW,
BLOOMBERG, ITS LICENSORS, AND ITS AND THEIR RESPECTIVE EMPLOYEES, CONTRACTORS, AGENTS, SUPPLIERS, AND
VENDORS SHALL HAVE NO LIABILITY OR RESPONSIBILITY WHATSOEVER FOR ANY INJURY OR DAMAGES WHETHER
DIRECT,
INDIRECT, CONSEQUENTIAL, INCIDENTAL, PUNITIVE OR OTHERWISE ARISING IN CONNECTION WITH THE
ULTRASHORT SILVER FUND OR THE BLOOMBERG SILVER SUBINDEX OR ANY DATA OR VALUES
RELATING THERETO
WHETHER ARISING FROM THEIR NEGLIGENCE OR OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF.
Bloomberg Gold Subindex
SM
The UltraShort Gold Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the
daily performance of the Bloomberg Gold Subindex
SM
(the "Gold Subindex"), a subindex of the Bloomberg Commodity Index. The Gold
Subindex is
intended to reflect the performance of gold, as measured by the price of COMEX gold futures contracts, including the impact of
rolling, without regard to income earned on
cash positions. The Gold Subindex is not directly linked to the "spot price" of gold. Futures
contracts may perform very differently from the spot price of
gold.
The Gold Subindex is based on the gold component of the Bloomberg Commodity
Index and tracks what is known as a rolling futures
position. Unlike equities, which entitle the holder to a continuing stake in a corporation, commodity futures contracts
specify a delivery date for
the underlying physical commodity or its cash equivalent. The Gold Subindex is a "rolling index," which means that the Gold
Subindex does not
take physical possession of any commodities. An investor with a rolling futures position is able to avoid delivering (or taking delivery of)
underlying physical commodities while maintaining exposure to those commodities. The roll occurs over a period of five Bloomberg
Commodity Index business days in pre-determined months according to the Bloomberg Commodity Index contract schedule, generally
beginning on the sixth business day of the month and ending on the tenth business day. Each day during the roll period, approximately 20% of
the expiring futures position will be rolled into a new contract with a longer dated expiry, increasing from 0% to 20%, 40%, 60%, 80% and
finally 100%. The Gold Subindex will reflect the performance of its underlying silver futures contracts, including the impact of rolling, without
regard to the income earned on cash positions.
The methodology for determining the composition of the Gold Subindex and for calculating its level may be changed at any time by
Bloomberg without notice.
The daily performance of the Gold Subindex is published by Bloomberg Finance L.P. and is available under the Bloomberg ticker
symbol: BCOMGC.
Information About the Index Licensor
"BLOOMBERG
®
", AND "BLOOMBERG GOLD SUBINDEX
SM
" ARE SERVICE MARKS OF BLOOMBERG
FINANCE L.P. AND
ITS AFFILIATES, INCLUDING BLOOMBERG INDEX SERVICES LIMITED ("BISL"), THE ADMINISTRATOR OF THE INDICES
(COLLECTIVELY, "BLOOMBERG") AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY THE
LICENSEE.
The UltraShort Gold Fund is not sponsored, endorsed, sold or promoted by Bloomberg. Bloomberg
does not make any representation or
warranty, express or implied, to the owners of or counterparties to the UltraShort Gold Fund or any member of the public regarding the
advisability of investing in securities or commodities generally or in the UltraShort Gold Fund particularly. The only relationship of Bloomberg
to the Licensee is the licensing of certain trademarks, trade names and service marks and of the Gold Subindex which is determined, composed
and calculated by BISL without regard to the Licensee or the UltraShort Gold Fund. Bloomberg has no obligation to take the needs of the
Licensee or the owners of the UltraShort Gold Fund into consideration in determining, composing or calculating the Gold Subindex. Bloomberg
is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the UltraShort Gold Fund to be
issued or in the determination or calculation of the equation by which the UltraShort Gold Fund are to be converted into cash. Bloomberg shall
not have any obligation or liability, including, without limitation, to the UltraShort Gold Fund's customers, in connection with the administration,
marketing or trading of the UltraShort Gold Fund.
The Prospectus relates only to the UltraShort Gold Fund and does not relate to the exchange-traded physical commodities underlying any
of the Gold Subindex components. Purchasers of the UltraShort Gold Fund should not conclude that the inclusion of a futures contract in the
-58
Gold Subindex is any form of investment recommendation
of the futures contract or the underlying exchange-traded physical commodity by
Bloomberg. The information in the Prospectus regarding the Bloomberg Gold Subindex
components has been derived solely from publicly
available documents. Bloomberg has not made any due diligence inquiries with respect to the Gold Subindex components in
connection with the
UltraShort Gold Fund. Bloomberg makes no representation that these publicly available documents or any other publicly available information
regarding the Gold Subindex components, including without limitation a description of factors that affect the prices of such components, are
accurate or complete.
BLOOMBERG DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE BLOOMBERG GOLD
SUBINDEX OR ANY DATA RELATED THERETO AND BLOOMBERG SHALL HAVE NO LIABILITY FOR ANY ERRORS,
OMISSIONS OR
INTERRUPTIONS THEREIN. BLOOMBERG MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS
TO BE OBTAINED BY THE LICENSEE, OWNERS OF THE ULTRASHORT GOLD FUND OR ANY OTHER
PERSON OR ENTITY
FROM THE USE OF THE BLOOMBERG GOLD SUBINDEX OR ANY DATA RELATED THERETO. BLOOMBERG MAKES NO
EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS
FOR A
PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG GOLD SUBINDEX OR ANY DATA RELATED
THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, TO THE MAXIMUM EXTENT ALLOWED BY
LAW, BLOOMBERG,
ITS LICENSORS, AND ITS AND THEIR RESPECTIVE EMPLOYEES, CONTRACTORS, AGENTS, SUPPLIERS, AND VENDORS
SHALL HAVE NO LIABILITY OR RESPONSIBILITY WHATSOEVER FOR ANY INJURY OR DAMAGES WHETHER DIRECT,
INDIRECT,
CONSEQUENTIAL, INCIDENTAL, PUNITIVE OR OTHERWISE ARISING IN CONNECTION WITH THE ULTRASHORT
GOLD FUND OR THE BLOOMBERG GOLD SUBINDEX OR ANY DATA OR VALUES RELATING THERETO
WHETHER ARISING
FROM THEIR NEGLIGENCE OR OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF.
DESCRIPTION OF THE CURRENCY FUNDS' BENCHMARKS
Australian dollar
The UltraShort Australian Dollar Fund seeks daily investment results, before fees and expenses,
that correspond to two times the inverse
(-2x), of the daily performance of the Australian dollar spot price versus the U.S. dollar. The Fund uses the 4:00 p.m. (Eastern
Time) Australian
dollar/U.S. dollar exchange rate as provided by Bloomberg, expressed in terms of U.S. dollars per unit of non-U.S. currency, as the basis for the
underlying benchmark. The Fund does not directly or physically hold Australian dollars and will instead seek exposure through the use of
certain Financial Instruments whose value is based on the price of the Australian dollar to pursue its investment objective.
The Australian dollar is the national currency of Australia and the currency of the accounts of
the Reserve Bank of Australia (the "RBA"),
the Australian central bank. The official currency code for the Australian dollar is "AUD." The
Australian dollar is referred to in Australia as
"dollar." As with U.S. currency, 100 Australian cents are equal to one Australian dollar. In Australia, unlike
most other countries, cash
transactions are rounded to the nearest five cents. The most commonly used symbol used to represent the Australian dollar is
"A$."
At various times throughout the 1900s, the value of Australian currency was based on a fixed quantity of gold; at other times, the
Australian dollar was pegged to non-U.S. currencies, including the U.S. dollar. Beginning in 1983, the Australian dollar's value was allowed to
float, with the result that its value now depends almost entirely on market forces. The foregoing information is compiled from the RBA's
website (www.rba.gov.au).
The daily performance of the Australian dollar spot price versus the U.S. dollar is available
under the Bloomberg ticker: AUDUSD.
Euro
The Ultra Euro Fund, the Short Euro Fund, and the UltraShort Euro Fund seek daily investment
results, before fees and expenses, that
correspond to two times (2x), the inverse (-1x), or two times the inverse (-2x), respectively, of the daily performance of the euro
spot price
versus the U.S. dollar, respectively. Each of the Ultra Euro Fund and the Short Euro Fund use the 4:00 p.m. (Eastern Time) euro/U.S. dollar
exchange rate as provided by Bloomberg, expressed in terms of U.S. dollars per unit of non-U.S. currency, as the basis for the underlying
benchmark. The Funds do not directly or physically hold euro and will instead seek exposure through the use of certain Financial Instruments
whose value is based on the price of the euro to pursue their respective investment objectives.
-59
The daily performance of the euro spot
price versus the U.S. dollar is available under the Bloomberg ticker: EURUSD.
Japanese Yen
The Ultra Yen Fund and the UltraShort Yen Fund seek daily investment results, before fees and expenses, that correspond to two times
(2x) or two times the inverse (-2x) of the daily performance of the Japanese yen spot price versus the U.S. dollar, respectively. Each of the Ultra
Yen Fund and the UltraShort Yen Fund use the 4:00 p.m. (Eastern Time) Japanese yen/U.S. dollar exchange rate as provided by Bloomberg,
expressed in terms of U.S. dollars per unit of non-U.S. currency, as the basis for the underlying benchmark. Each of the Ultra Yen Fund and the
UltraShort Yen Fund do not directly or physically hold Japanese yen and will instead seek exposure through the use of certain Financial
Instruments whose value is based on the price of Japanese yen to pursue their respective investment objectives.
The daily performance of the Japanese yen spot price versus the U.S. dollar is available under
the Bloomberg ticker: JPYUSD.
INVESTMENT OBJECTIVES AND PRINCIPAL INVESTMENT STRATEGIES
Investment Objectives
Investment Objective of the "Matching Fund": The VIX Futures Fund, which is also
referred to herein as the "Matching Fund", seeks
investment results, before fees and expenses, that over time match the performance of the Mid-Term VIX Futures
Index. If the VIX Futures
Fund is successful in meeting its objective, its value (before fees and expenses) should gain approximately as much on a percentage basis as the
level of the Mid-Term VIX Futures Index when the index rises (assuming there were no Creation Unit redemptions). Conversely, its value
(before fees and expenses) should lose approximately as much on a percentage basis as the level of the Mid-Term VIX Futures Index when the
index falls (assuming there were no Creation Units issued). The VIX Futures Fund acquires exposure through VIX futures contracts.
Investment Objective of the "Ultra Funds":
Each Ultra Fund seeks daily investment results, before fees and expenses, that correspond to
two times
(2x) the performance of its benchmark for a single day.
The Ultra Funds do not seek to achieve their stated objectives over a
period greater than a single day
. A "single day" is measured from the time an
Ultra Fund calculates its respective NAV to the time of the Ultra
Fund's next NAV calculation.
If an Ultra Fund is successful in meeting its objective, its value on a given day (before fees
and expenses) should gain approximately two
times as much on a percentage basis as the level of its corresponding benchmark when the benchmark rises. Conversely, its value
on a given day
(before fees and expenses) should lose approximately two times as much on a percentage basis as the level of its corresponding benchmark when
the benchmark declines. Each Ultra Fund acquires long exposure through any one of or combinations of Financial Instruments such that each
Ultra Fund typically has exposure intended to approximate two times (2x) its corresponding benchmark at the time of its NAV calculation.
Investment Objective of the "Short Fund":
The Short Fund seeks daily investment results, before fees and expenses, that correspond to
the inverse
(-1x) of the performance of its benchmark for a single day.
The Short Fund does not seek to achieve its stated objective over a
period greater than a single day
. A "single day" is measured from the time
the Short Fund calculates its NAV to the time of the Short Fund's
next NAV calculation.
If the Short Fund is successful in meeting its objective, its value on a given day (before fees and expenses) should gain approximately as
much on a percentage basis as the level of its corresponding benchmark when the benchmark declines. Conversely, its value on a given day
(before fees and expenses) should lose approximately as much on a percentage basis as the level of its corresponding benchmark when the
benchmark rises. The Short Fund acquires inverse exposure through futures contracts, and under certain circumstances, forward contracts, such
that the Short Fund typically has exposure intended to approximate the inverse (-1x) of its corresponding benchmark at the time of its
NAV calculation.
Investment Objective of the "Ultra Short Funds":
Each
UltraShort Fund seeks daily investment results, before fees and expenses, that
correspond to two times the inverse (-2x) of the performance of its benchmark for a single
day.
The UltraShort Funds do not seek to achieve
their
stated objectives over a period greater than a single day
. A "single day" is measured from the time an UltraShort Fund calculates its
respective NAV to the time of the UltraShort Fund's next NAV calculation.
-60
If an UltraShort Fund is successful in meeting its objective, its value on a given day (before fees and
expenses) should gain approximately
two times as much on a percentage basis as the level of its corresponding benchmark when the benchmark declines. Conversely, its value
on a
given day (before fees and expenses) should lose approximately two times as much on a percentage basis as the level of its corresponding
benchmark when the benchmark rises. Each UltraShort Fund acquires inverse exposure through any one of or combinations of Financial
Instruments such that each UltraShort Fund typically has exposure intended to approximate two times the inverse (-2x) of its corresponding
benchmark at the time of its NAV calculation.
There can be no assurance that any Fund will achieve its investment objective or avoid substantial losses. The Geared Funds do not seek
to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the
Geared Funds from achieving such results. Results for the Geared Funds over periods of time greater than a single day should not be
expected to be a simple multiple (2x), inverse (-1x) or inverse multiple (-2x) of the period return of the corresponding benchmark and will
likely differ in amount and possibly even direction from the Fund's stated multiple times the return of the benchmark over time. These
differences can be significant. A Geared Fund will lose money if its benchmark's performance is flat over time, and a Geared Fund can lose
money regardless of the performance of an underlying benchmark, as a result of daily rebalancing, the benchmark's volatility and
compounding. Daily compounding of a Geared Fund's investment returns can dramatically and adversely affect its longer-term performance
during periods of high volatility. Volatility has a negative impact on Geared Fund performance and may be at least as important to a Geared
Fund's return for a period as the return of the Geared Fund's underlying benchmark. The VIX Futures Fund seeks to achieve its stated
investment objective over time, not just for a single day.
The VIX Futures Fund is benchmarked to the Mid-Term VIX Futures Index, which is comprised of VIX futures contracts and seeks to
offer exposure to market volatility through publicly traded futures markets. The VIX Futures Fund is not benchmarked to the VIX, which is
calculated based on the prices of put and call options on the S&P 500. The VIX is a theoretical calculation and cannot be traded on a spot
basis. As such, the VIX
Futures Fund can be expected to perform very differently from the VIX.
Principal Investment Strategies
In seeking to achieve the Funds' investment objectives, the Sponsor uses a mathematical approach to investing. Using this approach, the
Sponsor determines the type, quantity and mix of investment positions that the Sponsor believes, in combination, should produce daily returns
consistent with the Funds' objectives.
Investment Strategies of the VIX Futures Fund:
The VIX Futures Fund takes long positions in VIX futures contracts in seeking to meet its investment objective.
In the event accountability rules, price limits, position limits, margin limits or other exposure
limits are reached with respect to VIX
futures contracts, the Sponsor may cause the VIX Futures Fund to obtain exposure to the Mid-Term VIX Futures Index through swaps
referencing the Mid-Term VIX Futures Index or particular VIX futures contracts comprising the Mid-Term VIX Futures Index. The Sponsor
may cause the VIX Futures Fund to obtain exposure to the Mid-Term VIX Futures Index through swaps referencing the Mid-Term VIX Futures
Index, particularly VIX futures contracts comprising the Mid-Term VIX Futures Index or swaps on funds that seek to track the performance of
the Mid-Term VIX Futures Index. The VIX Futures Fund may utilize swap transactions in the event accountability rules, price limits, position
limits, margin limits or other exposure limits are reached with respect to VIX futures contracts (which could potentially occur in connection with
significant and rapid increases in the size of the VIX Futures Fund as a result of an increase in creation activity). The VIX Futures Fund may
also invest in swaps if the market for a specific futures contract experiences emergencies (
e.g
., natural disaster, terrorist attack or an act of God)
or disruptions (
e.g
., a trading halt or a flash crash) or in situations where the Sponsor deems it impractical or inadvisable to buy or sell futures
contracts (such as during periods of market volatility or illiquidity or during periods of significant and/or rapid increases in the size of the Fund
as a result of an increase in creation activity).
In addition, the VIX Futures Fund may, but is not required to, seek to use options strategies that limit losses (
i.e
., have "floors") or are
otherwise designed to prevent the Fund's net asset value from going to or below zero. Use of such options strategies will not prevent the VIX
Futures Fund from losing value, and their use may not prevent the Fund's NAV from going to or below zero. Rather, it is intended to allow the
VIX Futures Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based
-61
on its benchmark. The VIX Futures Fund will also hold
cash or cash equivalents such as U.S. Treasury securities or other high credit quality,
short-term fixed-income or similar securities (such as shares of money market
funds) as collateral for Financial Instruments and pending
investment in Financial Instruments.
Investment Strategies of the UltraShort Silver Fund, the UltraShort Gold Fund,
the Ultra Euro Fund, the Ultra Yen Fund and the
UltraShort Yen Fund:
Each of the UltraShort Silver Fund, the UltraShort Gold Fund, the Ultra Euro Fund, the Ultra Yen Fund and the UltraShort Yen Fund
seeks to meet its investment objective by investing under normal market conditions in any one of, or combinations of, Financial Instruments
(including swap agreements, futures contracts and forward contracts) based on the Fund's benchmark. The types and mix of Financial
Instruments in which these Funds invest may vary daily at the discretion of the Sponsor. The Funds will not invest directly in any commodity
or currency.
Each
Fund will also hold cash or cash equivalents such as U.S. Treasury securities or other high credit quality, short-term fixed-income or
similar securities (such as shares
of money market funds) as collateral for Financial Instruments and pending investment in Financial
Instruments.
In addition, each Precious Metals Fund may, but is not required to, seek to use options
strategies and/or swap agreements that limit losses
(
i.e
., have "floors") or are otherwise designed to prevent the Fund's net asset value from going to or below zero. Use of such options strategies
and/or swap agreements will not prevent a Precious Metals Fund from losing value, and their use may not prevent the Fund's NAV from going
to or below zero. Rather, it is intended to allow a Precious Metals Fund to preserve a small portion of its value in the event of significant
movements in its benchmark or Financial Instruments based on its benchmark.
Investment Strategies of the Natural Gas Funds:
The Natural Gas Funds seek to meet their investment objectives by investing under normal market conditions in Natural Gas futures
contracts. The Natural Gas Funds will not invest directly in natural gas.
In the event position accountability rules are reached with respect to such contracts, the Sponsor may, in its commercially reasonable
judgment, cause the Natural Gas Funds to obtain exposure through swaps referencing its index or particular Natural Gas futures contracts. The
Fund may invest in other futures contracts or swaps not based on the particular Natural Gas futures contracts if such instruments tend to exhibit
trading prices or returns that correlate with its index or any Natural Gas futures contract and the sponsor believes such investment will further
the investment objective of such Fund. The Natural Gas Funds may also invest in swaps if the market for a specific futures contract experiences
emergencies (
e.g
., natural disaster, terrorist attack, or an act of God) or disruptions (
e.g
., a trading halt or a flash crash) or in situations where the
Sponsor deems it impractical or inadvisable
to buy or sell futures contracts (such as during periods of market volatility or illiquidity).
In addition, each Natural Gas Fund may, but is not required to, seek to use options strategies and/or swap agreements that limit losses
(
i.e
.,
have "floors") or are otherwise designed to prevent the Fund's net asset value from going to or below zero. Use of such options strategies
and/or swap
agreements will not prevent a Natural Gas Fund from losing value, and their use may not prevent the Fund's NAV from going to or
below zero. Rather, it is intended to
allow a Natural Gas Fund to preserve a small portion of its value in the event of significant movements in its
benchmark or Financial Instruments based on its benchmark.
Each Natural Gas Fund will also hold cash or cash equivalents such as
U.S. Treasury securities or other high credit quality, short-term fixed-income or similar securities
(such as shares of money market funds) as
collateral for Financial Instruments and pending investment in Financial Instruments.
Investment Strategies of the UltraShort Australian Dollar Fund, the Short Euro
Fund, and the UltraShort Euro Fund:
Each of the UltraShort Australian Dollar Fund, the Short Euro Fund, and the UltraShort Euro Fund seeks to meet its investment objective
under normal market conditions by obtaining short exposures to its benchmark through futures contracts on its underlying currency. The
UltraShort Australian Dollar Fund, the Short Euro Fund, and the UltraShort Euro Fund will not invest directly in any currency.
In the event position accountability rules or position limits are reached with respect to futures
contracts, the Sponsor may in its
commercially reasonable judgment, cause the UltraShort Australian Dollar Fund, the Short Euro Fund, and the UltraShort Euro Fund to
obtain
exposure to its benchmark through forward contracts referencing the benchmark. The Fund may invest in other forward contracts if such
-62
instruments tend to exhibit trading prices or returns
that correlate with the benchmark or a component of the benchmark and will further the
investment objective of the Fund. The UltraShort Australian Dollar Fund, the Short
Euro Fund, and the UltraShort Euro Fund may also invest in
forward contracts if the market for a specific futures contract experiences emergencies (
e.g
., natural disaster (including disease, epidemics and
pandemics), terrorist attack or an act of God) or disruptions (
e.g
., a trading halt or a flash crash) or in situations where the Sponsor deems it
impractical or inadvisable
to buy or sell futures contracts (such as during periods of market volatility or illiquidity).
In addition, each of the UltraShort Australian Dollar Fund, the Short Euro Fund, and the UltraShort Euro may, but is not required to, seek
to use options strategies that limit losses (
i.e
., have "floors") or are otherwise designed to prevent the Fund's net asset value from going to or
below zero. Use of such options strategies will not prevent the UltraShort Australian Dollar Fund, the Short Euro Fund, or the UltraShort Euro
from losing value, and their use may not prevent the Fund's NAV from going to or below zero. Rather, it is intended to allow the UltraShort
Australian Dollar Fund, the Short Euro Fund, or the UltraShort Euro to preserve a small portion of its value in the event of significant
movements in its benchmark or Financial Instruments based on its benchmark. Each of the UltraShort Australian Dollar Fund, the Short Euro
Fund, and the UltraShort Euro will also hold cash or cash equivalents such as U.S. Treasury securities or other high credit quality, short-term
fixed-income or similar securities (such as shares of money market funds) as collateral for Financial Instruments and pending investment in
Financial Instruments.
Investment Strategies Applicable to All Funds:
The Funds are not actively managed by traditional methods (
e.g
., by effecting changes in the composition of a portfolio on the basis of
judgments relating to economic,
financial and market conditions with a view toward obtaining positive results under all market conditions).
Each Fund seeks to remain fully invested at all times in
Financial Instruments and money market instruments that, in combination, provide
exposure to its underlying benchmark consistent with its investment objective without
regard to market conditions, trends or direction.
A Fund may obtain exposure through
Financial Instruments to a representative sample of the components in its underlying benchmark
which have aggregate characteristics similar to those of the underlying
benchmark. This "sampling" process typically involves selecting a
representative sample of components in a benchmark principally to enhance liquidity and
reduce transaction costs while seeking to maintain
high correlation with, and similar aggregate characteristics (
e.g
., underlying commodities and valuations) to, the underlying benchmark. In
addition, the Funds may obtain exposure to components not included in its underlying benchmark, invest in assets that are not included in its
underlying benchmark or may overweight or underweight certain components contained in the underlying benchmark.
Each Fund seeks to position its portfolio so that its exposure to its benchmark is consistent
with its investment objective. The time and
manner in which a Fund rebalances its portfolio may vary from day to day depending upon market conditions and other
circumstances, at the
discretion of the Sponsor. The impact of a benchmark's movements each day will affect whether a Geared Fund's portfolio needs to be
rebalanced and the amount of such rebalance.
•
For example, if the benchmark underlying the Short Fund or an
UltraShort Fund has risen on a given day, net assets of such
Fund should fall (assuming there were no Creation Units issued). As a result, inverse exposure will need to be
decreased. Conversely,
if the benchmark underlying the Short Fund or an UltraShort Fund has fallen on a given day, net assets of such Fund
should rise (assuming there were no Creation Unit redemptions). As a result, inverse exposure will need to be increased.
•
For an Ultra Fund, the Fund's long exposure will need to be increased on days when the Fund's benchmark rises and decreased
on days when the Fund's benchmark falls.
Daily rebalancing and the compounding of each day's return over time means that the return of each Geared Fund for a period longer than
a single day will be the result of each day's returns compounded over the period, which will very likely differ in amount and possibly even
direction from two times (2x), the inverse (-1x) or two times the inverse (-2x) of the return of the Geared Fund's benchmark for the period.
These differences can be significant. A Geared Fund will lose money if its benchmark's performance is flat over time, and a Geared Fund can
lose money regardless of the performance of an underlying benchmark, as a result of daily rebalancing, the benchmark's volatility
and compounding.
-63
The amount of exposure each Fund has to a specific combination of Financial Instruments differs with each particular Fund and may be
changed without shareholder approval or advance notice at any given time. Currently, the Funds anticipate that, in the normal course of business
and absent any unforeseen circumstances, they will be exposed to the specific Financial Instruments below as follows:
Swaps
Forwards
Futures
ProShares VIX Mid-Term Futures ETF
0%
0%
100%
ProShares Ultra Bloomberg Natural Gas
0%
0%
200%
ProShares UltraShort Bloomberg Natural Gas
0%
0%
-200%
ProShares UltraShort Silver
-75 to -200%
0%
0 to -125%
ProShares UltraShort Gold
-75 to -200%
0%
0 to -125%
ProShares UltraShort Australian Dollar
0%
0%
-200%
ProShares Ultra Euro
0%
200%
0%
ProShares Short Euro
0%
0%
-100%
ProShares UltraShort Euro
0%
0%
-200%
ProShares Ultra Yen
0%
200%
0%
ProShares UltraShort Yen Fund
0%
-200%
0%
The amount of each Fund's exposure should be expected to change from time to time at the discretion of the Sponsor based on market
conditions and other factors.
In addition, the Sponsor has the authority to change a Fund's investment objective, benchmark or investment strategy, and may terminate
a Fund at any time, in each case, without shareholder approval or advance notice, subject to applicable regulatory requirements.
Swap Agreements
Each Fund may enter into swaps referencing the Index or particular VIX futures contracts comprising the Index. Swaps are contracts that
have traditionally been entered into primarily by institutional investors in OTC markets for a specified period ranging from a day to many years.
Certain types of swaps may be cleared, and certain types are, in fact, required to be cleared. The types of swaps that may be cleared are generally
limited to only swaps where the most liquidity exists and a clearinghouse is willing to clear the trade on standardized terms. Swaps with
customized terms or those of which significant market liquidity does not exist are generally not able to be cleared.
In a standard swap transaction, the parties agree to exchange the returns on, among other things,
a particular predetermined security,
commodity, interest rate, or index for a fixed or floating rate of return (the "interest rate leg," which will also
include the cost of borrowing for
short swaps) in respect of a predetermined notional amount. The notional amount of the swap reflects the basis upon which the returns are
exchanged (
i.e
., the returns are calculated by multiplying the reference rates or prices, as applicable, by the specific notional amount). In the case
of indexes on which futures contracts are based, such as those used by the VIX Futures Fund and the Natural Gas Funds, the reference interest
rate typically is zero, although a financing spread or fee is generally still applied. Transaction or commission costs are reflected in the
benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to the notional amount
and the benchmark returns to which the swap is linked. Swaps are usually closed out on a net basis, i.e., the two payment streams are netted out
in a cash settlement on the payment date specified in the agreement, with the parties receiving or paying, as the case may be, only the net amount
of the two payments. Thus, while the notional amount reflects the amount on which a Fund's total investment exposure under the swap is based
(
i.e
., the
entire face amount or principal of a swap), the net amount is a Fund's current obligations (or rights) under the swap that is the amount
to be paid or received under
the agreement based on the relative values of the positions held by each party to the agreement on any given
termination date.
Swaps may also expose the Funds to liquidity risk. Although a Fund and the swap counterparty has
the ability to terminate a swap at any
time and under certain other circumstances, doing so may subject the Fund to certain early termination charges. In addition, there
may not be a
liquid market within which to dispose of an outstanding swap even if a permitted disposal might avoid an early termination charge. Swap
agreements that are not traded on an exchange or cleared by a clearinghouse generally are not assignable except by agreement between the
parties to the swap, and generally no party or purchaser has any obligation to permit such assignments.
-64
Swaps involve, to varying degrees,
elements of market risk and exposure to loss in excess of the amount which would be reflected on a
Fund's Statement of Financial Condition. In addition to market
risk and other risks, the use of swaps also comes with counterparty credit risk –
i.e., the inability of a counterparty to a swap to perform its obligations. Each
Fund that invests in swaps bears the risk of loss of the net amount,
if any, expected to be received under a swap agreement in the event of the default or bankruptcy of a
swap counterparty. Each such Fund enters
or intends to enter into swaps only with major, global financial institutions. However, there are no limitations on the percentage
of its assets a
Fund may invest in swaps with a particular counterparty.
Each Fund that invests in swaps may use various techniques to minimize counterparty credit risk. Each Fund that invests in swaps
generally enters into arrangements with its counterparties whereby both sides exchange collateral on a mark-to-market basis. In addition, such
Fund may post margin to counterparties in swaps. Such collateral serves as protection for the counterparty in the event of a failure by a Fund and
is in addition to any mark-to-market collateral that (
i.e
., the Fund may post margin to the counterparty even where the counterparty would owe
money to the Fund if
the swap were to be terminated). The amount of margin posted by a Fund may vary depending on the risk profile of the
swap. The collateral, whether for mark-to-market or
for margin purposes, generally consists of cash and/or securities.
Collateral posted
by a Fund to a counterparty in connection with derivatives transactions that are not cleared by a clearinghouse is
generally held for the benefit of the counterparty in a
segregated tri-party account at the Custodian to protect the counterparty against
non-payment by the Fund. In the event of a default by a Fund, and the counterparty is
owed money in the transaction, such counterparty will
seek withdrawal of this collateral from the segregated account.
Collateral posted by the counterparty to a Fund is typically held for the benefit of the Fund in
a segregated tri-party account at a
third-party custodian. In the event of a default by the counterparty, and the Fund is owed money in the transaction, such Fund will
seek
withdrawal of this collateral from the segregated account. A Fund may incur certain costs exercising its right with respect to the collateral.
Notwithstanding the use of collateral arrangements, to the extent any collateral provided to a
Fund is insufficient or there are delays in
accessing the collateral, such Fund will be exposed to counterparty credit risk as described above, including possible delays
in recovering
amounts as a result of bankruptcy proceedings.
Futures Account Agreements
Each Fund has entered into a written agreement (each, a "Futures Account
Agreement") with one or more FCMs governing the terms of
futures transactions of the Fund cleared by such FCM. Each FCM has its own agreement and other documentation
used for establishing
customer relationships. As such, the terms of the Futures Account Agreement and other documentation that a Fund has with a particular FCM
may differ in material respects from that with another FCM.
Most Futures Account Agreements do not require the FCM to enter into new transactions or maintain existing transactions with a Fund. In
general, each FCM is permitted to terminate its agreement with a Fund at any time in its sole discretion. In addition, an FCM generally will have
the discretion to set margin requirements and/or position limits that would be in addition to any margin requirements and/or position limits
required by applicable law or set by the clearinghouse that clears, or the exchange that offers for trading, the futures contracts in which the Fund
transacts. As a result, a Fund's ability to engage in futures contracts or maintain open positions in such contracts will be dependent on the
willingness of its FCMs to continue to accept or maintain such transactions on terms that are economically appropriate for the Fund's
investment strategy.
When a Fund has an open futures contract position, it is subject to daily margin calls by an FCM
that could be substantial in the event of
adverse price movements. Because futures contracts require only a small initial investment in the form of a deposit or margin,
they involve a
high degree of leverage. A Fund with open positions is subject to margin on its open positions. If a Fund has insufficient cash to meet daily
margin requirements, it may need to sell Financial Instruments at a time when such sales are disadvantageous. Futures markets are highly
volatile and the use of or exposure to futures contracts may increase volatility of a Fund's NAV.
Margin posted by a Fund to an FCM typically will be held by relevant exchange's clearinghouse (in the case of clearinghouse-required
margin) or the FCM (in the case of "house" margin requirements of the FCM). In the event that market movements favorable to a Fund result in
the Fund having posted more margin than is required, the Fund typically would have a right to return of margin from the FCM. However, the
-65
timing of such return may be uncertain. As a result, it
is possible that a Fund may face liquidity constraints including potential delays in its
ability to pay redemption proceeds, where margin is not immediately returned by an
FCM.
In the event that a Fund fails to comply with its obligations under a Futures
Account Agreement (including, for example, failing to deliver
the margin required by an FCM on a timely basis), the Futures Account Agreement typically will provide the
FCM with broad discretion to take
remedial action against the Fund. Among other things, the FCM typically will have the right, upon the occurrence of such a failure by the
Fund,
to terminate any or all futures contracts in the Fund's account with that FCM, to sell the collateral posted as margin by the Fund, to close out any
open positions of the Fund in whole or in part, and to cancel any or all pending transactions with the Fund. Futures Account Agreements
typically provide that a Fund will remain liable for paying to the relevant FCM, on demand, the amount of any deficiency in such Fund's
account with that FCM.
The Futures Account Agreement between a Fund and an FCM generally requires the Fund to indemnify and hold harmless the FCM, its
directors, officers, employees, agents and affiliates (collectively, "indemnified persons") from and against all claims, damages, losses and costs
(including reasonable attorneys' fees) incurred by the indemnified persons, in connection with: (1) any failure by the Fund to perform its
obligations under the Futures Account Agreement and the FCM's exercise of its rights and remedies thereunder; (2) any failure by a Fund to
comply with applicable law; (3) any action reasonably taken by the indemnified persons pursuant to the Futures Account Agreement to comply
with applicable law; and (4) any actions taken by the FCM in reliance on instructions, notices and other communications that the FCM and its
relevant personnel, as applicable, reasonably believes to originate from a person authorized to act on behalf of the Fund.
To the extent that the Funds trade in futures contracts on U.S. exchanges, the assets deposited
by the Funds with the FCMs as margin
must be segregated pursuant to the regulations of the CFTC. Such segregated funds may be invested only in a limited range of
instruments—principally U.S. government obligations.
Each Fund currently uses BofA Securities, Inc. ("BofAS"), RBC Capital Markets, LLC ("RBC"), ED&F Man Capital Markets ("Man"),
Deutsche Bank Securities Inc. ("DBSI") SG Americas Securities, LLC ("SGAS"), Barclays Capital Inc. ("BCI"), UBS Securities LLC
("UBSS"), Credit Suisse Securities USA LLC ("CSS"), StoneX Financial Inc. ("StoneX"), Goldman Sachs & Co. LLC ("GS"), and Goldman
Sachs International ("GSI") as an FCM. The FCMs used by a Fund may change from time to time. The above discussion relating to BofAS,
RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, and GSI also would apply to other firms that serve as an FCM to the Funds in the
future. Each of BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, and GSI in its capacity as a registered FCM, serves as a
clearing broker to the Trust and the Funds and certain other funds of the Trust and as such arranges for the execution and clearing of the Funds'
futures transactions. All of BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, and GSI acts as clearing broker for many other
funds and individuals. A variety of executing brokers may execute futures transactions on behalf of the Funds. The executing brokers will
give-up all such transactions to BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, and GSI as applicable. Each of BofAS, RBC,
Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, and GS is registered as an FCM with the CFTC and is a member of the NFA. BofAS, RBC,
Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, and GS are clearing members of the CBOT, CME, NYMEX, and all other major U.S. futures
exchanges. None of BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, or GSI is affiliated with or acts as a supervisor of the
Trust, the Funds, the Sponsor, the Trustee or BNYM (the Administrator, Transfer Agent and the Custodian). None of BofAS, RBC, Man, DBSI,
SGAS, BCI, UBSS, CSS, StoneX, GS, or GSI in its capacity as FCM, is acting as an underwriter or sponsor of the offering of the Shares, or has
passed upon the merits of participating in this offering. None of BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, or GSI has
passed upon the adequacy of this Prospectus or on the accuracy of the information contained herein. None of BofAS, RBC, Man, DBSI, SGAS,
BCI, UBSS, CSS, StoneX, GS, or GSI provides any commodity trading advice regarding the Funds' trading activities. Investors should not rely
upon BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, or GSI in deciding whether to invest in the Funds or retain their interests
in the Funds. Prospective investors should also note that the Sponsor may select additional clearing brokers or replace BofAS, RBC, Man, DBSI,
SGAS, BCI, UBSS, CSS, StoneX, GS, and/or GSI as the Funds' clearing broker.
To the extent, if any, that a Fund enters into trades in futures on markets other than regulated U.S. futures exchanges, funds deposited to
margin positions held on such exchanges are invested in bank deposits or in instruments of a credit standing generally comparable to those
authorized by the CFTC for investment of "customer segregated funds," although applicable CFTC rules prohibit funds employed in trading on
foreign exchanges from being deposited in "customer segregated fund accounts" for trading on domestic exchanges. Instead, funds employed in
trading on foreign exchanges are deposited in "customer secured amount accounts."
-66
Forward Contracts
A forward contract is a contractual obligation to purchase or sell a specified quantity of a
particular underlying asset at or before a
specified date in the future at a specified price and, therefore, is economically similar to a futures contract. Unlike futures
contracts, however,
forward contracts are typically traded in the OTC markets and are not standardized contracts. Forward contracts for a given commodity or
currency are generally available for various amounts and maturities and are subject to individual negotiation between the parties involved.
Moreover, there is generally no direct means of offsetting or closing out a forward contract by taking an offsetting position as one would a
futures contract on a U.S. exchange. If a trader desires to close out a forward contract position, he generally will establish an opposite position in
the contract but will settle and recognize the profit or loss on both positions simultaneously on the delivery date. Thus, unlike in the futures
contract market where a trader who has offsetting positions will recognize profit or loss immediately, in the forward market a trader with a
position that has been offset at a profit will generally not receive such profit until the delivery date, and likewise a trader with a position that has
been offset at a loss will generally not have to pay money until the delivery date. In recent years, however, the terms of forward contracts have
become more standardized, and in some instances such contracts now provide a right of offset or cash settlement as an alternative to making or
taking delivery of the underlying commodity or currency. The primary risks associated with the use of forward contracts arise from the inability
of the counterparty to perform.
Each Fund that invests in forward contracts generally collateralizes forward contracts that are not cleared on an exchange with cash and/or
certain securities. Such collateral is generally held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect
the counterparty against non-payment by the Fund. The counterparty also may collateralize such forward contracts with cash and/or certain
securities, which collateral is typically held for the benefit of the Fund in a segregated tri-party account at a third-party custodian. In the event of
a default by the counterparty, and the Fund is owed money in the forward transaction, such Fund will seek withdrawal of this collateral from the
segregated account and may incur certain costs exercising its right with respect to the collateral. These Funds remain subject to credit risk with
respect to the amount it expects to receive from OTC counterparties.
The Funds have sought to mitigate these risks with respect to such forwards by generally requiring that the counterparties for each Fund
agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds; however, there are no
limitations on the percentage of its assets each Fund may invest in forward contracts with a particular counterparty. To the extent any such
collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty credit risk as described above,
including possible delays in recovering amounts as a result of bankruptcy proceedings.
The forward markets provide what has typically been a highly liquid market for foreign exchange trading, and in certain cases the prices
quoted for foreign exchange forward contracts may be more favorable than the prices for foreign exchange futures contracts traded on U.S.
exchanges. Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC
now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certain non-deliverable forward
contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements and subject to certain
requirements under the Dodd-Frank Act. Changes in the forward markets may entail increased costs and result in burdensome reporting
requirements.
Commercial banks participating in trading OTC foreign exchange forward contracts often do not
require margin deposits, but rely upon
internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however,
many OTC
market participants in foreign exchange trading have begun to require that their counterparties post margin.
Futures Contracts and Options
A futures contract is a standardized contract traded on, or subject to the rules of, an exchange that calls for the future delivery of a
specified quantity and type of a particular underlying asset at a specified time and place or alternatively may call for cash settlement. Futures
contracts are traded on a wide variety of underlying assets, including bonds, interest rates, agricultural products, stock indexes, currencies,
energy, metals, economic indicators and statistical measures. The notional size and calendar term futures contracts on a particular underlying
asset are identical and are not subject to any negotiation, other than with respect to price and the number of contracts traded between the buyer
and seller. Each Fund generally deposits cash and/or securities with an FCM for its open positions in futures contracts, which may, in turn,
transfer such deposits to the clearinghouse to protect the clearinghouse against non-payment by the Fund. The clearinghouse becomes
-67
substituted for each counterparty to a futures contract,
and, in effect, guarantees performance. In addition, the FCM may require the Funds to
deposit collateral in excess of the clearinghouse's margin requirements for the
FCM's own protection.
Certain futures contracts, including VIX futures
contracts, stock index contracts and certain commodity futures contracts, settle in cash,
reflecting the difference between the contract purchase/sale price and the
contract settlement price. The cash settlement amount reflects the
difference between the contract purchase/sale price and the contract settlement price. The cash
settlement mechanism avoids the potential for
either counterparty to be required to deliver the underlying asset. For other futures contracts, the contractual obligations
of a buyer or seller may
generally be satisfied by taking or making physical delivery of the underlying asset or by making an offsetting sale or purchase of an identical
futures contract on the same or linked exchange before the designated date of delivery. The difference between the price at which the futures
contract is purchased or sold and the price paid for the offsetting sale or purchase, after allowance for brokerage commissions, constitutes the
profit or loss to the trader.
Futures contracts involve, to varying degrees, elements of market risk and exposure to loss in excess of the amounts of margin, which are
the amounts of cash that the Funds agree to pay to or receive from FCMs equal to the daily fluctuation in the value of a futures contract.
Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts
and the level of the underlying benchmark and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal
but some counterparty credit risk to the Funds since futures contracts are exchange traded and the exchange's clearinghouse, as counterparty to
all exchange-traded futures contracts, effectively guarantees futures contracts against default. Many futures exchanges limit the amount of
fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no
trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures
contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of
futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible or if a Fund determines not to close a futures
position in anticipation of adverse price movements, the Fund may be required to make daily cash payments of margin.
An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a
specified quantity of a commodity or other
instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that
instrument.
There are two types of options: calls and puts. A call option conveys to
the option buyer the right to purchase a particular futures contract
at a stated price at any time during the life of the option. A put option conveys to the option buyer
the right to sell a particular futures contract at
a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered
(meaning that the Fund
holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor's entire investment
(
i.e
., the
premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires.
Where an option is written or granted (
i.e
., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is
unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option,
be significantly different from the market value.
Money Market Instruments
Money market instruments are short-term debt instruments that have a remaining
maturity of 397 days or less and exhibit high quality
credit profiles. Money market instruments may include U.S. government securities, securities issued by governments of
other developed
countries and repurchase agreements.
U.S. Derivatives Exchanges
Derivatives exchanges, including swap execution facilities that are required under
the Dodd-Frank Act, provide centralized market
facilities for trading derivatives in which multiple persons have the ability to execute or trade contracts by accepting
bids and offers from
multiple participants. Members of, and trades executed on, a particular exchange are subject to the rules of that exchange. Among the principal
exchanges in the United States are those operated by the Cboe Group (which includes the Cboe Futures Exchange (the "CFE")), those operated
by the CME Group (which includes, the Chicago Mercantile Exchange ("CME"), the Chicago Board of Trade ("CBOT"), and the New York
Mercantile Exchange ( the "NYMEX") and the Intercontinental Exchange ("ICE") (which includes ICE Futures U.S.).
-68
Each derivatives exchange in the United
States has an associated "clearinghouse." Clearinghouses provide services designed to transfer
credit risk and ensure the integrity of trades. Once trades
between members of an exchange have been confirmed and/or cleared, the
clearinghouse becomes substituted for each buyer and each seller of contracts traded on the exchange
and, in effect, becomes the other party to
each trader's open position in the market. Thereafter, each party to a trade looks only to the clearinghouse for
performance. The clearinghouse
generally establishes some sort of security or guarantee fund to which all clearing members of the exchange must contribute. This fund acts
as
an emergency buffer which is intended to enable the clearinghouse to meet its obligations with regard to the other side of an insolvent clearing
member's contracts. Furthermore, clearinghouses require margin deposits and continuously mark positions to market to provide some assurance
that their members will be able to fulfill their contractual obligations. Thus, customers effecting derivatives transactions on an organized
exchange or clearing an OTC derivatives transaction through a clearinghouse do not bear the risk of the insolvency of the party on the opposite
side of the trade; their credit risk is limited to the respective solvencies of their commodity broker and the clearinghouse. The clearinghouse
"guarantee" of performance on open positions does not run to customers of a clearinghouse firm. If a member firm goes bankrupt, customers
could lose money.
If a Fund decides to execute derivatives transactions through such derivatives
exchanges–and especially if it decides to become a direct
member of one or more exchanges or swap execution facilities–a Fund would be subject to the rules of
the exchange or swap executive facility,
which would bring additional risks and liabilities, and potential additional regulatory requirements.
Regulations
Derivatives exchanges in the United States are subject to regulation under the CEA, by the CFTC, the governmental agency having
responsibility for regulation of derivatives exchanges and trading on those exchanges. Following the adoption of the Dodd-Frank Act, the CFTC
also has authority to regulate certain OTC derivatives markets, including certain OTC foreign exchange markets.
The CFTC has exclusive authority to designate exchanges for the trading of specific futures
contracts and options on futures contracts and
to prescribe rules and regulations governing such exchanges. The CFTC also regulates the activities of "commodity pool
operators" and the
CFTC has adopted regulations with respect to certain of such persons' activities. Pursuant to its authority, the CFTC requires a commodity
pool
operator, such as the Sponsor, to keep accurate, current and orderly records with respect to each pool it operates. The CFTC may suspend,
modify or terminate the registration of any registrant for failure to comply with CFTC rules or regulations. Suspension, restriction or termination
of the Sponsor's registration as a commodity pool operator would prevent it, until such time (if any) as such registration were to be reinstated,
from managing, and might result in the termination of, the Funds. If the Sponsor were unable to provide services and/or advice to the Funds, the
Funds would be unable to pursue their investment objectives unless and until the Sponsor's ability to provide services and advice to the Funds
was reinstated or a replacement for the Sponsor as commodity pool operator could be found. Such an event could result in termination of
the Funds.
The CEA
requires all FCMs to meet and maintain specified fitness and financial requirements, segregate customer funds from proprietary
funds and account separately for all
customers' funds and positions, and to maintain specified books and records open to inspection by the staff
of the CFTC. See "Risk Factors—Failure of the
FCMs to segregate assets may increase losses in the Funds."
The CEA also gives the states certain powers to enforce its provisions and the regulations of the
CFTC.
Under certain circumstances, the CEA grants shareholders the right to
institute a reparations proceeding before the CFTC against the
Sponsor (as a registered commodity pool operator), an FCM, as well as those of their respective employees
who are required to be registered
under the CEA. Shareholders may also be able to maintain a private right of action for certain violations of the CEA.
Pursuant to authority in the CEA, the NFA has been formed and registered with the CFTC as a
registered futures association. At the
present time, the NFA is the only self-regulatory organization for derivatives professionals other than exchanges. As such, the NFA
promulgates
rules governing the conduct of derivatives professionals and disciplines those professionals that do not comply with such standards. The CFTC
has delegated to the NFA responsibility for the registration of commodity pool operators, FCMs, swap dealers, commodity trading advisors,
introducing brokers and their respective associated persons and floor brokers. The Sponsor is a member of the NFA (the Funds themselves are
not required to become members of the NFA). As an NFA member, the Sponsor is subject to NFA standards relating to fair trade practices,
financial condition, and consumer protection. The CFTC is prohibited by statute from regulating trading on foreign futures exchanges
and markets.
-69
The CEA and CFTC regulations prohibit market abuse and generally require that all futures exchange-based trading be conducted in
compliance with rules designed to ensure the integrity of market prices and without any intent to manipulate prices. CFTC regulations and
futures exchange rules also impose limits on the size of the positions that a person may hold or control as well as standards for aggregating
certain positions. The rules of the CFTC and the futures exchanges also authorize special emergency actions to halt, suspend or limit trading
overall or to restrict, halt, suspend or limit the trading of an individual trader or to otherwise impose special reporting or margin requirements.
Each Fund's investments in Financial Instruments will be subject to regulation under the
CEA and traded pursuant to CFTC and
applicable exchange regulations.
Non-U.S. Derivatives Exchanges
Foreign derivatives exchanges differ in certain respects from their U.S.
counterparts. Non-U.S. derivatives exchanges are generally not
subject to regulation by the CFTC. In contrast to U.S. exchanges, certain foreign exchanges are
"principals' markets," where trades remain the
liability of the traders involved, and the exchange or an affiliated clearinghouse, if any, does not
become substituted for any party. Therefore,
participants in such markets must often satisfy themselves as to the creditworthiness of their counterparty. Additionally, in
the event of the
insolvency or bankruptcy of a non-U.S. market or broker, the rights of market participants are likely to be more limited than the rights afforded
by the U.S. derivatives exchanges. The Sponsor does not anticipate that the Funds will hold futures traded on foreign exchanges.
Daily Limits
Most U.S. futures exchanges (but generally not foreign exchanges or banks or dealers in the cases of forward contracts, swap agreements
and options on forward contracts) limit the amount of fluctuation in some futures contract or options on futures contract prices during a single
day by regulations. These regulations specify what are referred to as "daily price fluctuation limits" or more commonly "daily limits." Once the
daily limit has been reached in a particular futures contract, no trades may be made at a price beyond that limit.
Margin
Initial margin is the minimum dollar amount that a counterparty to a derivatives contract that is cleared on an exchange must deposit with
its commodity broker in order to establish an open position. Variation margin is the amount (generally less than initial margin) to which a
Fund's account may decline before the Fund must deliver additional margin so as to maintain open positions. A margin deposit is like a cash
performance bond. It helps assure each Fund's performance of the futures contracts that it purchases or sells. The minimum amount of margin
required in connection with a particular futures contract is set by the clearinghouse that clears the futures contract and is subject to change at any
time during the term of the contract. Futures contracts are customarily bought and sold on margins that typically represent a small percentage of
the aggregate purchase or sales price of the contract.
Brokerage firms may require higher amounts of margin than exchange minimums. These requirements may change without warning.
Margin requirements are computed at least each day by an FCM and the relevant clearinghouse. At
the close of each trading day, each
open futures contract is marked-to-market, that is, the gain or loss on the position is calculated from the prior day's close.
When the market
value of a particular open futures contract position changes to a point where the margin on deposit does not satisfy maintenance margin
requirements, a margin call is made by the FCM. If the margin call is not met within a reasonable time, the FCM may close out the
customer's position.
PERFORMANCE OF THE OFFERED COMMODITY POOLS OPERATED BY THE COMMODITY POOL OPERATOR
The following performance information is presented in accordance with CFTC regulations. The performance of each Fund, which is
presented herein, will differ materially from the performance of the other series of the Trust (the "Other Funds") which is included in the
section entitled "Performance of the Other Commodity Pools Operated by the Commodity Pool Operator" in Part Two of this Prospectus.
All summary performance information is as of November 30, 2021. Performance information is set
forth, in accordance with CFTC
regulations, since each Fund's inception of trading.
-70
Name of Pool:
ProShares VIX Mid-Term Futures ETF
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
January 3, 2011
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$824,553,711
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$287,832,170
Net Asset Value as of November 30, 2021
$132,856,724
Net Asset Value per Share
3
as of November 30, 2021
$32.91
Worst Monthly Loss:
4
-15.88% (March 2021)
Worst Peak-to-Valley Loss:
5
-94.26% (September 2011 - September 2018)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
8.60%
-12.29%
-0.14%
-11.93%
-0.69%
16.15%
February
5.89%
-3.69%
16.38%
-8.36%
10.48%
-3.19%
March
-15.06%
-10.39%
7.55%
0.62%
65.97%
-15.88%
April
3.55%
-5.88%
-7.00%
-2.16%
1.44%
-1.82%
May
-6.39%
-2.30%
-6.44%
8.04%
-0.13%
-5.78%
June
1.71%
-6.36%
-0.53%
-6.37%
2.98%
-5.06%
July
-8.54%
-8.17%
-6.61%
1.09%
-1.80%
3.86%
August
-0.56%
3.85%
-1.45%
9.33%
1.33%
-3.71%
September
-3.24%
-3.77%
-2.95%
-0.75%
1.96%
5.61%
October
-2.07%
-8.44%
21.33%
-3.45%
1.64%
-5.88%
November
-4.58%
1.65%
-5.13%
-2.19%
-13.82%
8.51%
December
-1.41%
-9.22%
12.55%
-4.16%
2.28%
Annual
-21.91%
-49.47%
25.17%
-20.21%
72.71%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
-10.39%
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares Ultra Bloomberg Natural Gas
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
October 4, 2011
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$1,839,547,669
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$345,443,204
Net Asset Value as of November 30, 2021
$199,148,264
Net Asset Value per Share
3
as of November 30, 2021
$41.17
Worst Monthly Loss:
4
-57.68% (December 2018)
Worst Peak-to-Valley Loss:
5
-99.95% (Inception -December 2020)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
-6.84%
-30.47%
4.81%
-5.56%
-27.78%
1.46%
February
-46.12%
-23.59%
-21.65%
-4.00%
-20.88%
17.14%
March
16.16%
22.55%
2.50%
-11.33%
-12.94%
-14.61%
April
15.98%
0.42%
-1.95%
-10.47%
23.44%
14.28%
May
-4.07%
-17.02%
10.78%
-12.61%
-29.43%
-0.05%
June
47.36%
-4.46%
-1.88%
-12.90%
-22.20%
45.17%
July
-4.53%
-15.95%
-8.21%
-5.36%
-1.64%
15.63%
-71
Rate of Return:
6
2016
2017
2018
2019
2020
2021
August
-8.03%
14.11%
8.41%
-1.50%
68.97%
21.17%
September
-7.09%
-6.73%
4.13%
-0.33%
-26.98%
68.64%
October
-0.83%
-17.07%
12.17%
3.06%
23.90%
-22.92%
November
8.57%
-1.20%
75.57%
-31.78%
-32.50%
-36.01%
December
20.88%
-8.83%
-57.68%
-7.22%
-26.94%
Annual
1.50%
-65.37%
-22.53%
-66.80%
-75.00%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
96.08%
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares UltraShort Bloomberg Natural Gas
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
October 4, 2011
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$1,293,358,217
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$260,734,769
Net Asset Value as of November 30, 2021
$232,035,816
Net Asset Value per Share
3
as of November 30, 2021
$9.11
Worst Monthly Loss:
4
-63.45% (November 2018)
Worst Peak-to-Valley Loss:
5
-91.31% (February 2016 - September 2021)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
1.27%
29.38%
-9.49%
-7.09%
34.40%
-7.11%
February
71.49%
23.73%
24.33%
1.36%
20.18%
-21.75%
March
-17.44%
-20.93%
-3.50%
11.30%
1.86%
13.10%
April
-19.84%
-3.34%
0.55%
10.26%
-28.73%
-15.02%
May
-0.52%
15.56%
-11.06%
11.49%
26.90%
-2.17%
June
-35.93%
1.52%
0.64%
10.46%
17.25%
-33.75%
July
-2.13%
14.05%
7.99%
0.50%
-8.93%
-16.32%
August
4.35%
-13.95%
-8.74%
-1.67%
-49.67%
-21.57%
September
4.33%
4.07%
-6.38%
-3.19%
24.38%
-50.38%
October
-3.38%
18.01%
-13.86%
-5.90%
-23.92%
5.01%
November
-12.71%
-3.35%
-63.45%
35.41%
36.88%
23.56%
December
-24.57%
2.21%
92.78%
2.78%
19.29%
Annual
-50.35%
70.91%
-45.27%
78.32%
23.56%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
-80.87%
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares UltraShort Silver
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
December 1, 2008
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$2,699,775,226
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$272,673,517
Net Asset Value as of November 30, 2021
$41,034,073
Net Asset Value per Share
3
as of November 30, 2021
$28.47
Worst Monthly Loss:
4
-44.81% (July 2020)
-72
Name of Pool:
ProShares UltraShort Silver
Worst Peak-to-Valley Loss:
5
-99.79% (Inception - May 2021)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
-5.29%
-12.52%
-4.21%
-6.80%
-2.04%
-8.22%
February
-10.36%
-11.09%
9.56%
6.50%
17.73%
-3.80%
March
-9.47%
1.26%
1.93%
6.31%
18.38%
14.06%
April
-27.13%
7.04%
-1.41%
2.60%
-14.00%
-10.92%
May
22.15%
0.55%
-2.14%
5.22%
-36.62%
-16.28%
June
-24.93%
9.89%
6.22%
-9.65%
-1.45%
12.25%
July
-18.65%
-4.92%
7.90%
-13.11%
-44.81%
3.70%
August
12.60%
-7.78%
10.68%
-19.88%
-35.87%
11.59%
September
-8.04%
4.97%
4.91%
12.25%
39.57%
15.59%
October
16.98%
0.11%
-0.59%
-11.99%
-4.55%
-16.31%
November
10.18%
2.91%
1.20%
12.60%
6.08%
8.80%
December
3.60%
-3.73%
-15.29%
-9.59%
-29.38%
Annual
-42.24%
-14.97%
17.05%
-27.94%
-74.10%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
2.68%
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares UltraShort Gold
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
December 1, 2008
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$1,013,222,995
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$122,268,937
Net Asset Value as of November 30, 2021
$35,334,156
Net Asset Value per Share
3
as of November 30, 2021
$33.75
Worst Monthly Loss:
4
-20.47% (February 2016)
Worst Peak-to-Valley Loss:
5
-94.08% (Inception - August 2020)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
-9.65%
-11.36%
-7.80%
-5.65%
-7.46%
4.16%
February
-20.47%
-6.93%
4.22%
1.21%
1.68%
13.47%
March
-1.45%
1.41%
-0.85%
3.49%
-7.76%
1.20%
April
-8.04%
-3.59%
1.81%
1.87%
-12.77%
-6.19%
May
11.92%
-0.13%
1.31%
-3.14%
-5.94%
-14.14%
June
-16.76%
3.71%
9.25%
-14.44%
-6.07%
14.49%
July
-3.43%
-4.01%
5.18%
-1.85%
-15.62%
-4.85%
August
4.85%
-6.83%
3.26%
-12.09%
-1.03%
-0.81%
September
-2.22%
4.45%
2.74%
7.21%
8.19%
6.32%
October
7.78%
2.00%
-4.40%
-5.71%
1.08%
-3.42%
November
15.76%
-1.48%
-0.23%
6.48%
10.58%
0.43%
December
5.16%
-1.62%
-8.98%
-6.65%
-12.24%
Annual
-21.19%
-22.83%
3.98%
-27.67%
-40.72%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
7.35%
-73
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares UltraShort Australian Dollar
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
July 17, 2012
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$42,781,314
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$(2,309,489)
Net Asset Value as of November 30, 2021
$2,521,219
Net Asset Value per Share
3
as of November 30, 2021
$50.42
Worst Monthly Loss:
4
-14.12% (March 2016)
Worst Peak-to-Valley Loss:
5
-39.35% (March 2020 - May 2021)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
5.13%
-9.74%
-6.36%
-6.11%
10.07%
1.52%
February
-2.33%
-2.50%
7.45%
4.98%
5.53%
-1.72%
March
-14.12%
0.30%
2.05%
-0.17%
10.40%
2.31%
April
0.88%
3.82%
4.04%
1.45%
-11.53%
-3.04%
May
9.89%
1.27%
-1.11%
3.46%
-4.79%
-0.29%
June
-6.95%
-6.84%
4.28%
-2.34%
-7.42%
5.34%
July
-4.20%
-7.95%
-0.93%
5.47%
-7.02%
4.21%
August
1.80%
1.03%
6.65%
3.35%
-6.34%
0.35%
September
-4.13%
2.52%
-1.25%
-0.36%
5.75%
2.18%
October
0.94%
4.76%
4.19%
-3.94%
3.47%
-7.83%
November
5.65%
2.16%
-6.29%
3.98%
-8.54%
11.15%
December
4.25%
-6.21%
7.54%
-7.07%
-9.58%
Annual
-5.45%
-17.26%
20.68%
1.68%
-21.18%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
13.80%
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares Ultra Euro
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
November 24, 2008
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$88,819,630
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$4,848,741
Net Asset Value as of November 30, 2021
$3,321,589
Net Asset Value per Share
3
as of November 30, 2021
$13.29
Worst Monthly Loss:
4
-7.10% (November 2016)
Worst Peak-to-Valley Loss:
5
-60.98% (November 2009 -April 2020)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
-0.90%
4.71%
6.66%
-0.67%
-2.57%
-1.54%
February
0.54%
-3.92%
-3.83%
-1.60%
-1.27%
-1.30%
March
9.10%
1.00%
1.16%
-3.14%
-0.73%
-5.86%
April
1.03%
3.97%
-4.05%
-0.41%
-1.62%
4.86%
May
-5.83%
5.96%
-6.67%
-1.20%
2.37%
2.68%
-74
Rate of Return:
6
2016
2017
2018
2019
2020
2021
June
-0.96%
2.98%
-0.72%
3.18%
2.26%
-5.64%
July
1.22%
7.08%
-0.11%
-5.64%
9.61%
-0.15%
August
-0.80%
0.74%
-1.93%
-1.86%
2.39%
-1.13%
September
1.13%
-1.72%
-0.35%
-1.97%
-3.67%
-3.96%
October
-4.80%
-3.17%
-5.20%
4.25%
-1.55%
-0.59%
November
-7.10%
3.96%
-0.54%
-2.69%
4.68%
-3.96%
December
-1.76%
1.13%
1.90%
3.22%
4.52%
Annual
-9.63%
24.42%
-13.48%
-8.64%
14.54%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
-15.86%
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares Short Euro
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
June 26, 2012
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$59,505,176
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$(928,722)
Net Asset Value as of November 30, 2021
$2,253,776
Net Asset Value per Share
3
as of November 30, 2021
$45.08
Worst Monthly Loss:
4
-4.67% (July 2020)
Worst Peak-to-Valley Loss:
5
-14.14% (December 2016 -January 2018)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
0.24%
-2.43%
-3.26%
0.43%
1.40%
0.66%
February
-0.51%
1.93%
1.88%
0.96%
0.66%
0.55%
March
-4.43%
-0.66%
-0.63%
1.70%
-0.08%
2.89%
April
-0.64%
-2.00%
2.08%
0.36%
0.73%
-2.50%
May
2.92%
-2.95%
3.52%
0.77%
-1.39%
-1.42%
June
0.18%
-1.53%
0.31%
-1.47%
-1.21%
2.74%
July
-0.76%
-3.43%
0.11%
3.06%
-4.67%
-0.05%
August
0.25%
-0.44%
0.99%
1.05%
-1.38%
0.46%
September
-0.69%
0.80%
0.20%
1.16%
1.78%
1.91%
October
2.39%
1.57%
2.81%
-1.89%
0.64%
0.18%
November
3.58%
-2.02%
0.36%
1.45%
-2.38%
1.93%
December
0.71%
-0.54%
-0.85%
-1.57%
-2.41%
Annual
3.04%
-11.24%
7.58%
6.05%
-8.17%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
7.45%
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares Ultra Yen
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
November 24, 2008
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$30,492,596
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$4,371,389
Net Asset Value as of November 30, 2021
$2,455,000
-75
Name of Pool:
ProShares Ultra Yen
Net Asset Value per Share
3
as of November 30, 2021
$49.13
Worst Monthly Loss:
4
-16.28% (November 2016)
Worst Peak-to-Valley Loss:
5
-67.44% (August 2011 - October 2021)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
-1.64%
6.67%
6.19%
0.85%
0.25%
-2.98%
February
14.96%
0.80%
4.26%
-4.85%
0.79%
-3.57%
March
0.08%
1.38%
0.02%
0.80%
-0.34%
-7.49%
April
11.41%
-0.44%
-5.66%
-1.55%
-0.04%
2.47%
May
-7.91%
0.96%
0.56%
5.34%
-1.07%
-1.09%
June
14.33%
-3.38%
-3.90%
0.67%
-0.47%
-2.37%
July
1.96%
3.81%
-2.31%
-2.22%
3.83%
2.38%
August
-3.10%
0.20%
0.83%
4.35%
-0.25%
-0.68%
September
3.70%
-4.86%
-4.75%
-3.74%
0.69%
-2.44%
October
-6.77%
-2.33%
0.98%
-0.15%
1.31%
-4.76%
November
-16.28%
1.76%
-1.54%
-2.93%
0.39%
1.49%
December
-4.62%
-0.67%
6.54%
0.94%
1.97%
Annual
1.24%
3.42%
0.35%
-2.96%
7.17%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
-17.88%
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares UltraShort Yen
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
November 24, 2008
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$1,968,312,649
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$(168,790,914)
Net Asset Value as of November 30, 2021
$31,981,395
Net Asset Value per Share
3
as of November 30, 2021
$80.10
Worst Monthly Loss:
4
-13.65% (February 2016)
Worst Peak-to-Valley Loss:
5
-36.16% (May 2015 - September 2016)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
1.18%
-6.99%
-6.02%
-0.88%
-0.28%
2.82%
February
-13.65%
-1.08%
-4.36%
5.17%
-1.06%
3.41%
March
-0.43%
-1.72%
-0.23%
-0.72%
-1.68%
7.79%
April
-11.15%
0.19%
5.87%
1.61%
-0.28%
-2.65%
May
8.16%
-1.30%
-0.69%
-5.00%
0.83%
0.85%
June
-13.59%
3.24%
4.01%
-0.51%
0.14%
2.17%
July
-3.07%
-3.88%
2.31%
2.30%
-3.99%
-2.63%
August
2.67%
-0.42%
-0.85%
-4.33%
-0.07%
0.44%
September
-4.04%
4.73%
4.94%
3.96%
-0.88%
2.22%
October
6.83%
2.26%
-0.96%
0.18%
-1.53%
4.69%
November
18.56%
-1.88%
1.65%
2.94%
-0.78%
-1.85%
December
4.42%
0.58%
-6.16%
-0.89%
-2.14%
-76
Rate of Return:
6
2016
2017
2018
2019
2020
2021
Annual
-8.76%
-6.61%
-1.39%
3.36%
-11.19%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
18.09%
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares UltraShort Euro
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
November 24, 2008
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$2,770,218,774
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$(126,400,289)
Net Asset Value as of November 30, 2021
$51,991,348
Net Asset Value per Share
3
as of November 30, 2021
$26.00
Worst Monthly Loss:
4
-9.10% (July 2020)
Worst Peak-to-Valley Loss:
5
-26.84% (November 2015 - January 2018)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
0.51%
-4.87%
-6.44%
0.67%
2.68%
1.29%
February
-1.04%
3.89%
3.78%
1.72%
1.25%
1.05%
March
-8.72%
-1.32%
-1.30%
3.28%
-0.19%
5.85%
April
-1.26%
-4.03%
4.20%
0.55%
1.29%
-4.91%
May
5.90%
-5.89%
7.00%
1.39%
-2.62%
-2.90%
June
0.28%
-3.09%
0.53%
-3.00%
-2.52%
5.65%
July
-1.42%
-6.81%
0.11%
6.04%
-9.10%
-0.09%
August
0.51%
-0.92%
1.84%
1.96%
-2.62%
0.91%
September
-1.32%
1.57%
0.31%
2.09%
3.51%
3.89%
October
4.77%
3.10%
5.54%
-3.98%
1.27%
0.35%
November
7.26%
-3.99%
0.51%
2.79%
-4.72%
3.85%
December
1.38%
-1.19%
-1.82%
-3.11%
-4.65%
Annual
6.05%
-21.69%
14.41%
10.39%
-15.89%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
15.36%
See accompanying Footnotes to Performance Information.
Footnotes to Performance Information
1.
"Aggregate Gross Capital Subscriptions" is the aggregate of all amounts
ever contributed to the pool, including those of investors who subsequently
redeemed their investments.
2.
"Aggregate Net Capital Subscriptions" is the aggregate of all amounts
ever contributed to the pool, excluding those of investors who subsequently
redeemed their investments.
3.
"Net Asset Value per Share" is the net asset value, based on the pricing
policies of the Trust and determined in accordance with Generally
Accepted Accounting Principles ("GAAP"), of the pool divided by the total number of Shares
outstanding as of November 30, 2021. Please
see "Description of the Shares; The Funds; Certain Material Terms of the Trust Agreement—Net Asset Value
(NAV)" for additional information
regarding the pricing policies of the Trust.
4.
"Worst Monthly Loss" is the largest single month loss sustained during
the most recent five calendar years and year-to-date (or since inception
of the Fund, if the Fund has had less than five calendar years of performance), expressed as a
percentage. "Loss" as used in this section
-77
of the Prospectus means losses experienced by the relevant pool over the specified period
and is calculated on a rate of return basis, i.e.,
dividing net performance by beginning equity. Loss is measured on the basis of monthly returns only, and does not
reflect intra-month
figures.
5.
"Worst Peak-to-Valley Loss" is the largest percentage decline in Net
Asset Value per Share over the most recent five calendar years and
year-to-date (or since inception of the Fund, if the Fund has had less than five calendar years of
performance). This need not be a continuous
decline, but can be a series of positive and negative returns where the negative returns are larger than the positive returns.
Worst Peak-to-Valley
Loss represents the greatest percentage decline from any month-end Net Asset Value per Share that occurs without such month-end
Net Asset Value per Share being equaled or exceeded as of a subsequent month-end. A Peak-to-Valley loss that begins prior to the beginning
of the most recent five calendar years and ends within the most recent five calendar year period is deemed to have occurred during such
five calendar year period.
6.
Based on the latest calculated net asset value, as applicable to creations and
redemptions of Creation Units, with respect to each period.
-78
MANAGEMENT'S DISCUSSION AND ANALYSIS OF
FINANCIAL CONDITION AND RESULTS OF OPERATIONS
Investors should consider Management's Discussion and Analysis of Financial Condition and Results of Operations with respect to the
Trust, which section is incorporated by reference to our Annual Report on Form 10-K for the year ended December 31, 2020, and our Quarterly
Report on Form 10-Q for the quarters ended March 31, 2021, June 30, 2021 and September 30, 2021.
Except as noted below, there has not been a material change to the financial statements or the notes to those financial statements in the
Trust's Annual Report on Form 10-K for the year ended December 31, 2020, filed on February 19, 2021.
On May 11, 2021, the Trust announced a 1-for-10 reverse split of the Shares of beneficial interest of ProShares Ultra VIX Short-Term
Futures ETF and a 1-for-4 reverse split of the Shares of beneficial interest of ProShares UltraShort Silver, ProShares UltraShort Bloomberg
Crude Oil, and ProShares VIX Short-Term Futures ETF. The reverse stock split will increase the price per Share of each Fund with a
proportionate decrease in the number of Shares outstanding. For example, for a 1-for-10 reverse split, every 10 pre-split Shares will result in the
receipt of one post-split Share, which will be priced 10 times higher than the NAV of a pre-split Share. For a 1-for-4 reverse split, every 4
pre-split Shares will result in the receipt of one post-split Share, which will be priced 4 times higher than the NAV of a pre-split Share. The
reverse split was effective at the market open on May 25, 2021, when the Funds began trading at their post-split price. The ticker symbol for
each Fund did not change. Each of the Funds undergoing a reverse split was issued a new CUSIP number, listed below.
Ticker
Fund
Split Ratio
Old
Cusip
New Cusip
UVXY
ProShares Ultra VIX Short-Term Futures ETF
1:10
74347W148
74347Y839
ZSL
ProShares UltraShort Silver
1:4
74347W114
74347Y847
SCO
ProShares UltraShort Bloomberg Crude Oil
1:4
74347W668
74347Y862
VIXY
ProShares VIX Short-Term Futures ETF
1:4
74347W171
74347Y854
The Shares outstanding and related Share information disclosed in the financial statements and notes to the financial statements in the
Trust's Annual Report on Form 10-K for the year ended December 31, 2020, filed on February 19, 2021, for the Funds listed above were
retroactively adjusted to give effect to the forward split or reverse splits, as permitted under applicable regulations. Presented below are pro
forma Shares outstanding after giving retroactive effect for the reverse splits.
Shares outstanding:
ProShares
Ultra VIX
Short-Term
Futures
ETF
ProShares
UltraShort
Silver
ProShares
UltraShort
Bloomberg
Crude Oil
ProShares VIX
Short-Term
Futures ETF
Shares outstanding, at December 31, 2020
12,713,091
1,041,744
2,084,971
5,331,579
Shares outstanding, at December 31, 2019
4,163,091
129,244
2,572,471
5,687,829
Selected data for a Share outstanding throughout the year-ended December 31:
Net
asset
value,
beginning
of
period
Net
investment
income
(loss)
Net
realized
and
unrealized
gain
(loss)
Change
in
net
asset
value from
operations
Net
asset
value,
end of
period
Market
value
per
share,
end of
period
ProShares Ultra VIX Short-Term Futures ETF
For the Year Ended December 31, 2020
126.74
(2.81)
(17.25)
(20.06)
106.68
106.50
For the Year Ended December 31, 2019
814.56
0.05
(687.87)
(687.82)
126.74
128.90
For the Year Ended December 31, 2018
516.74
(4.05)
301.88
297.82
814.56
817.30
-79
Net
asset
value,
beginning
of
period
Net
investment
income
(loss)
Net
realized
and
unrealized
gain
(loss)
Change
in
net
asset
value from
operations
Net
asset
value,
end of
period
Market
value
per
share,
end of
period
ProShares UltraShort Silver
For the Year Ended December 31, 2020
107.04
(0.37)
(78.94)
(79.31)
27.73
27.40
For the Year Ended December 31, 2019
148.51
1.22
(42.69)
(41.47)
107.04
107.20
For the Year Ended December 31, 2018
126.83
0.79
20.89
21.68
148.51
148.40
ProShares UltraShort Bloomberg Crude Oil
For the Year Ended December 31, 2020
48.77
(1.03)
(1.29)
(2.32)
46.45
46.56
For the Year Ended December 31, 2019
119.15
0.57
(70.95)
(70.38)
48.77
48.60
For the Year Ended December 31, 2018
97.24
0.44
21.47
21.91
119.15
117.12
ProShares VIX Short-Term Futures ETF
For the Year Ended December 31, 2020
49.19
(0.56)
6.40
5.84
55.03
54.96
For the Year Ended December 31, 2019
154.32
0.70
(105.83)
(105.13)
49.19
49.72
For the Year Ended December 31, 2018
93.36
0.34
60.62
60.96
154.32
154.44
On December 22, 2021, the Trust announced a 1-for-5 reverse split of the Shares of beneficial interest of ProShares UltraShort
Bloomberg Natural Gas. The reverse stock split increased the price per Share of the Fund with a proportionate decrease in the number of Shares
outstanding. For example, for a 1-for-5 reverse split, every 5 pre-split Shares will result in the receipt of one post-split Share, which will be
priced 5 times higher than the NAV of a pre-split Share. The reverse split was effective at the market open on January 14, 2022, when the Fund
began trading at its post-split price. The ticker symbol for the Fund did not change. The Fund was issued a new CUSIP number: 74347Y821.
The Fund's previous CUSIP number was 74347W387.
The Shares outstanding and related Share information disclosed in the financial statements and notes to the financial statements in the
Trust's Annual Report on Form 10-K for the year ended December 31, 2020, filed on February 19, 2021, for ProShares UltraShort Bloomberg
Natural Gas were retroactively adjusted to give effect to the reverse split, as permitted under applicable regulations. Presented below are pro
forma Shares outstanding after giving retroactive effect for the reverse splits.
ProShares UltraShort Bloomberg Natural Gas
Shares outstanding, at December 31, 2020
104,966
Shares outstanding, at December 31, 2019
64,966
Selected data for a Share outstanding throughout the year-ended December 31:
Net
asset
value,
beginning
of
period
Net
investment
income
(loss)
Net
realized
and
unrealized
gain
(loss)
Change
in
net
asset
value from
operations
Net
asset
value,
end of
period
Market
value
per
share,
end of
period
ProShares UltraShort Bloomberg Natural Gas
For the Year Ended December 31, 2020
$192.65
$(3.40)
$48.71
$45.31
$237.96
$236.90
For the Year Ended December 31, 2019
$108.06
$0.42
$84.17
$84.59
$192.65
$194.10
For the Year Ended December 31, 2018
$197.41
$(0.06)
$(89.29)
$(89.35)
$108.06
$106.10
CHARGES
Breakeven Table
The projected twelve-month breakeven analysis for the Funds is set forth in the Breakeven Table
below. For purposes of calculating the
amounts in the Breakeven Table for the Funds the analysis assumes that the constant NAV per Fund is equal to the amount
shown.
-80
Expenses
(1)
Dollar Amount and Percentage of
Expenses per Fund
ProShares VIX Mid-Term Futures ETF
Selling price per share
$
35.00
Management fee
(2)
$
0.30
0.85%
Brokerage commissions and fees
$
0.07
0.21%
Variable create/redeem fees
(3)
$
(0.03)
(0.08)%
Other expenses
$
0.00
0.00%
Total fees and expenses
$
0.34
0.98%
Interest income
(4)
$
0.00
0.00%
Amount of trading income required for the NAV at the end of one year to equal the initial
selling price per share (12-Month breakeven)
(5)
$
0.34
0.98%
Expenses
(1)
Dollar Amount and Percentage of
Expenses per Fund
ProShares Ultra Bloomberg
Natural Gas
Selling price per share
$
40.00
Management fee
(2)
$
0.38
0.95%
Brokerage commissions and fees
$
0.26
0.66%
Other expenses
$
0.00
0.00%
Total fees and expenses
$
0.64
1.61%
Interest income
(4)
$
0.00
0.00%
Amount of trading income required for the NAV at the end of one year to equal the initial
selling price per share (12-Month breakeven)
(5)
$
0.64
1.61%
Expenses
(1)
Dollar Amount and Percentage of
Expenses per Fund
ProShares UltraShort Bloomberg
Natural Gas
Selling price per share
$
10.00
Management fee
(2)
$
0.10
0.95%
Brokerage commissions and fees
$
0.09
0.93%
Other expenses
$
0.00
0.00%
Total fees and expenses
$
0.19
1.88%
Interest income
(4)
$
0.00
0.00%
Amount of trading income required for the NAV at the end of one year to equal the initial
selling price per share (12-Month breakeven)
(5)
$
0.19
1.88%
Expenses
(1)
Dollar Amount and Percentage of
Expenses per Fund
ProShares UltraShort Silver
Selling price per share
$
30.00
Management fee
(2)
$
0.29
0.95%
Brokerage commissions and fees
$
0.16
0.54%
Other expenses
$
0.00
0.00%
Total fees and expenses
$
0.45
1.49%
Interest income
(4)
$
0.00
0.00%
Amount of trading income required for the NAV at the end of one year to equal the initial
selling price per share (12-Month breakeven)
(5)
$
0.45
1.49%
-81
Expenses
(1)
Dollar Amount and Percentage of
Expenses per Fund
ProShares UltraShort Gold
Selling price per share
$
35.00
Management fee
(2)
$
0.33
0.95%
Brokerage commissions and fees
$
0.15
0.42%
Other expenses
$
0.00
0.00%
Total fees and expenses
$
0.48
1.37%
Interest income
(4)
$
0.00
0.00%
Amount of trading income required for the NAV at the end of one year to equal the initial
selling price per share (12-Month breakeven)
(5)
$
0.48
1.37%
Expenses
(1)
Dollar Amount and Percentage of
Expenses per Fund
ProShares Ultra Euro
Selling price per share
$
15.00
Management fee
(2)
$
0.14
0.95%
Brokerage commissions and fees
$
0.01
0.03%
Other expenses
$
0.00
0.00%
Total fees and expenses
$
0.15
0.98%
Interest income
(4)
$
0.00
0.00%
Amount of trading income required for the NAV at the end of one year to equal the initial
selling price per share (12-Month breakeven)
(5)
$
0.15
0.98%
Expenses
(1)
Dollar Amount and Percentage of
Expenses per Fund
ProShares Short Euro
Selling price per share
$
45.00
Management fee
(2)
$
0.43
0.95%
Brokerage commissions and fees
$
0.01
0.02%
Other expenses
$
0.00
0.00%
Total fees and expenses
$
0.44
0.97%
Interest income
(4)
$
0.00
0.00%
Amount of trading income required for the NAV at the end of one year to equal the initial
selling price per share (12-Month breakeven)
(5)
$
0.44
0.97%
Expenses
(1)
Dollar Amount and Percentage of
Expenses per Fund
ProShares UltraShort Euro
Selling price per share
$
25.00
Management fee
(2)
$
0.24
0.95%
Brokerage commissions and fees
$
0.01
0.03%
Other expenses
$
0.00
0.00%
Total fees and expenses
$
0.25
0.98%
Interest income
(4)
$
0.00
0.00%
Amount of trading income required for the NAV at the end of one year to equal the initial
selling price per share (12-Month breakeven)
(5)
$
0.25
0.98%
-82
Expenses
(1)
Dollar Amount and Percentage of
Expenses per Fund
ProShares UltraShort Australian Dollar
Selling price per share
$
50.00
Management fee
(2)
$
0.48
0.95%
Brokerage commissions and fees
$
0.04
0.08%
Other expenses
$
0.00
0.00%
Total fees and expenses
$
0.52
1.03%
Interest income
(4)
$
0.00
0.00%
Amount of trading income required for the NAV at the end of one year to equal the initial
selling price per share (12-Month breakeven)
(5)
$
0.52
1.03%
Expenses
(1)
Dollar Amount and Percentage of
Expenses per Fund
ProShares Ultra Yen
Selling price per share
$
50.00
Management fee
(2)
$
0.47
0.95%
Brokerage commissions and fees
$
0.02
0.03%
Other expenses
$
0.00
0.00%
Total fees and expenses
$
0.49
0.98%
Interest income
(4)
$
0.00
0.00%
Amount of trading income required for the NAV at the end of one year to equal the initial
selling price per share (12-Month breakeven)
(5)
$
0.49
0.98%
Expenses
(1)
Dollar Amount and Percentage of
Expenses per Fund
ProShares UltraShort Yen
Selling price per share
$
80.00
Management fee
(2)
$
0.76
0.95%
Brokerage commissions and fees
$
0.02
0.03%
Other expenses
$
0.00
0.00%
Total fees and expenses
$
0.78
0.98%
Interest income
(4)
$
0.00
0.00%
Amount of trading income required for the NAV at the end of one year to equal the initial
selling price per share (12-Month breakeven)
(5)
$
0.78
0.98%
1.
The breakeven analysis set forth in this table assumes that the Shares have a constant NAV equal to the
amount shown. This amount
approximates the NAV of such Shares as of November 30, 2021, rounded to the nearest $5. The actual NAV of each Fund differs and is
likely to change on a daily basis. The numbers provided in this chart have been rounded to the nearest 0.01. The breakeven analysis reflects
all fees and expenses, including estimated rebalancing expenses that are anticipated to be incurred by each Fund during a year of an
investor's investment.
2.
From the Management Fee, the Sponsor, though not contractually required, is
responsible for paying the fees and expenses of the Administrator,
Custodian, Distributor, ProFunds Distributors, Inc. ("PDI"), Transfer Agent and all routine
operational, administrative and other ordinary
expenses of each Fund, including fees payable to index providers. These fees and expenses are not included in the Breakeven
Table.
3.
The
Sponsor is currently paying brokerage commissions on VIX futures contracts that exceed variable create/redeem fees collected by more
than 0.02% of the VIX Mid-Term Futures
ETF's average net assets annually.
4.
Due to current market conditions interest income is assumed to be zero.
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5.
The
breakeven amount reflected in the Breakeven Table does not reflect brokerage commissions or transaction fees paid by individual
investors who purchased Fund shares in the
secondary market or Authorized Participants when creating or redeeming a Creation Unit.
Management
Fee
Each Fund pays the Sponsor a management fee (the "Management Fee"), monthly in arrears, in an amount equal to 0.95% (0.85% for
ProShares VIX Mid-Term Futures ETF) per annum of its average daily net assets. "Average daily net assets" is calculated by dividing the
month-end net assets of a Fund by the number of calendar days in such month. No other Management Fee are paid by the Funds. The
Management Fee is paid in consideration of the Sponsor's trading advisory services and the other services provided to the Funds that the
Sponsor pays directly.
Licensing Fee
The Sponsor pays S&P a licensing fee for use of the Mid-Term VIX Index as the benchmark for
the VIX Futures Fund. The Sponsor pays
Bloomberg a licensing fee for the Bloomberg Natural Gas Subindex
SM
, which serves as the benchmark for each Natural Gas Fund. The Sponsor
pays Bloomberg a licensing fee for the Bloomberg Silver
Subindex
SM
, which serves as the benchmark for the UltraShort
Silver Fund. The
Sponsor pays Bloomberg a licensing fee for the Bloomberg Gold Subindex
SM
, which serves as the benchmark for the UltraShort Gold
Fund.
Routine Operational, Administrative and Other Ordinary
Expenses
The Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally, as determined by the
Sponsor, including, but not limited to, fees and expenses of the Administrator, Custodian, Distributor, PDI and Transfer Agent, licensors,
accounting and audit fees and expenses, tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees
not exceeding 0.021% per annum of the net assets of the Funds, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per
annum of the net assets of the Funds, and report preparation and mailing expenses.
Non-Recurring Fees and Expenses
The Funds pay all of their non-recurring and unusual fees and expenses, if any, as
determined by the Sponsor. Non-recurring and unusual
fees and expenses are fees and expenses which are unexpected or unusual in nature, such as legal claims and
liabilities and litigation costs or
indemnification or other unanticipated expenses. Extraordinary fees and expenses also include material expenses which are not currently
anticipated obligations of the Funds. Routine operational, administrative and other ordinary expenses are not deemed extraordinary expenses.
Selling Commission
Retail investors may purchase and sell Shares through traditional brokerage accounts. Investors are expected to be charged a customary
commission by their brokers in connection with purchases of Shares that will vary from investor to investor. Investors are encouraged to review
the terms of their brokerage accounts for applicable charges. The price at which an Authorized Participant sells a Share may be higher or lower
than the price paid by such Authorized Participant in connection with the creation of such Share in a Creation Unit.
Brokerage Commissions and Fees
Each of the Geared Funds pays all of its respective brokerage commissions, including applicable exchange fees, NFA fees and give-up
fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund's investments
in CFTC regulated investments. On average, total charges paid to FCMs are expected to be less than $7.00 per round-turn trade, although
brokerage commissions and trading fees are determined on a contract-by-contract basis. The Sponsor is currently paying brokerage commissions
on VIX futures contracts for the VIX Mid-Term Futures ETF in amounts that exceed variable create/redeem fees collected by more than 0.02%
of the VIX Mid-Term Futures ETF's average net assets annually. The Funds bear other transaction costs including the effects of trading spreads
and financing costs/fees, if any, associated with the use of Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or
similar high credit quality, short-term fixed-income or similar securities (such as shares of money market funds).
-84
MATERIAL U.S. FEDERAL INCOME TAX CONSIDERATIONS
The following discussion describes the material U.S. federal (and certain state and local) income tax considerations associated with the
purchase, ownership and disposition of Shares as of the date hereof by U.S. Shareholders (as defined below) and non-U.S. Shareholders (as
defined below). Except where explicitly noted, this discussion deals only with Shares held as capital assets by shareholders who acquired Shares
by purchase and does not address special situations, such as those of:
•
dealers in securities, currencies or commodities;
•
financial institutions;
•
regulated investment companies ("RICs");
•
real estate investment trusts;
•
partnerships and persons in their capacity as partners;
•
tax-exempt organizations;
•
insurance companies;
•
persons holding Shares as a part of a hedging, integrated or
conversion transaction or a straddle;
•
accrual method taxpayers subject to special tax accounting rules
as a result of their use of financial statements;
•
traders in securities or commodities that elect to use a mark-to-market method of accounting for their securities or commodities
holdings; or
•
persons liable for the federal alternative minimum tax.
Furthermore, the discussion below is based upon the provisions of the Code, the Regulations, and administrative and judicial
interpretations thereof, all as of the date hereof, and such authorities may be repealed, revoked, modified or subject to differing interpretations,
possibly on a retroactive basis, so as to result in U.S. federal income tax consequences different from those described below and which may
adversely affect a Fund and/or its shareholders.
A "U.S. Shareholder" of Shares means a beneficial owner of Shares that is for U.S. federal income tax purposes:
•
an individual that is a citizen or resident of the United States;
•
a corporation (or other entity taxable as a corporation)
created or organized in or under the laws of the United States, any state
thereof or the District of Columbia;
•
an estate the income of which is subject to U.S. federal income
taxation regardless of its source; or
•
a trust if it (1) is subject to the primary supervision of a court within the United States and one or more U.S. persons have the
authority to control all substantial decisions of such trust or (2) has a valid election in effect under applicable Regulations to be
treated as a U.S. person.
A "non-U.S. Shareholder" of Shares means a beneficial owner of Shares that is not a U.S. Shareholder.
If a partnership or other entity or arrangement treated as a partnership for U.S. federal income tax purposes holds Shares, the tax treatment
of a partner will generally depend upon the status of the partner and the activities of the partnership. If an investor is a partner of a partnership
holding Shares, the Trust urges such investor to consult its own tax advisor.
No statutory, administrative or judicial authority directly addresses the treatment of Shares or instruments similar to Shares for U.S.
federal income tax purposes. As a result, the Trust cannot assure investors that the IRS or the courts will agree with the tax consequences
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described herein. A different treatment from that
described below could adversely affect the amount, timing and character of income, gain or
loss in respect of an investment in the Shares.
If an investor is considering the purchase of Shares, the Trust urges investors
to consult their own tax advisor concerning the
particular U.S. federal income tax consequences to investors of the purchase, ownership and disposition of
Shares, as well as any
consequences to investors arising under the laws of any other taxing jurisdiction.
Status of the Funds
Under Section 7704 of the Code, unless certain exceptions apply, a publicly traded partnership is
generally treated and taxed as a
corporation, and not as a partnership, for U.S. federal income tax purposes. A partnership is a publicly traded partnership if (1)
interests in the
partnership are traded on an established securities market or (2) interests in the partnership are readily tradable on a secondary market or the
substantial equivalent thereof. Each Fund is a publicly traded partnership. If 90% or more of the income of a publicly traded partnership during
each taxable year consists of "qualifying income" and the partnership is not required to register under the 1940 Act, it will be treated as a
partnership or publicly traded partnership taxable as a corporation, for U.S. federal income tax purposes (the "Qualifying Income Exception").
Qualifying income includes dividends, interest, capital gains from the sale or other disposition of stocks and debt instruments and, in the case of
a partnership a principal activity of which is the buying and selling of commodities or certain positions with respect to commodities, income and
gains derived from certain swap agreements or regulated futures or forward contracts with respect to commodities. Each Fund anticipates that at
least 90% of its gross income for each taxable year will constitute qualifying income within the meaning of Section 7704(d) of the Code.
Morgan, Lewis & Bockius LLP has acted as counsel to the Trust in connection with this
registration statement. Under current law and
assuming full compliance with the terms of the Trust Agreement (and other relevant documents) and based on factual
representations made by
each Fund, in the opinion of Morgan, Lewis & Bockius LLP, each Fund is classified as a partnership, for U.S. federal income tax purposes, and
not as an association or publicly traded partnership taxable as a corporation. The opinion of Morgan, Lewis & Bockius LLP, is based on various
assumptions relating to each Fund's organization, operation, assets and activities, including assumptions that each Fund will not invest in any
assets except those specifically provided for currently in this Prospectus, and that neither the Trust Agreement nor any other relevant document
will be otherwise amended. The opinion of Morgan, Lewis & Bockius, LLP further assumes that all factual representations and statements set
forth in all relevant documents, records, and instruments are true and correct, all actions described in this Prospectus are completed in a timely
fashion and that each Fund will at all times operate in accordance with the method of operation described in the Trust Agreement and this
Prospectus, and is conditioned upon factual representations and covenants made by the Fund and the Sponsor regarding the Fund's organization,
operation, assets, activities and the conduct of each Fund's operations, and assumes that such representations and covenants are accurate
and complete.
Shareholders should be aware that opinions of counsel are not binding on the IRS, and no
assurance can be given that the IRS will not
challenge the conclusions set forth in such opinion. The Sponsor will use its best efforts to operate each Fund in such manner
as is necessary for
a Fund to continue to meet the Qualifying Income Exception.
While it is expected that each Fund will operate so that it will qualify to be treated for U.S. federal income tax purposes as a partnership,
and not as an association or a publicly traded partnership taxable as a corporation, given the highly complex nature of the rules governing
partnerships, the ongoing importance of factual determinations, the lack of direct guidance with respect to the application of tax laws to the
activities a Fund is undertaking and the possibility of future changes in a Fund's circumstances, it is possible that a Fund will not so qualify for
any particular year. Morgan, Lewis & Bockius LLP has no obligation to advise a Fund or its shareholders of any subsequent change in the
matters stated, represented or assumed, or of any subsequent change in the applicable law. A Fund's taxation as a partnership will depend on
such Fund's ability to meet, on a continuing basis, through actual operating results, the Qualifying Income Exception, the compliance of which
will not be reviewed by Morgan, Lewis & Bockius LLP. Accordingly, no assurance can be given that the actual results of a Fund's operations
for any taxable year will satisfy the Qualifying Income Exception.
If for any reason a Fund becomes taxable as a corporation for U.S. federal income tax purposes, such Fund's items of income and
deduction would not pass through to the Fund's shareholders and shareholders would be treated for U.S. federal income tax purposes as
stockholders in a corporation. The Fund would be required to pay income tax at the regular corporate rate (currently 21%) on its net income.
Distributions by the Fund to the shareholders would constitute dividend income taxable to such shareholders, to the extent of the Fund's
-86
earnings and profits, and the payment of these
distributions would not be deductible by the Fund. These consequences would have a material
adverse effect on the Fund, the Fund's shareholders and the value of the
Shares.
If at the end of any taxable year a Fund fails to meet the Qualifying Income
Exception, the Fund may still qualify as a partnership if the
Fund is entitled to relief under the Code for an inadvertent termination of partnership status. This relief
will be available if (1) the failure is cured
within a reasonable time after discovery, (2) the failure is determined by the IRS to be inadvertent, and (3) the Fund agrees
to make such
adjustments or to pay such amounts as are determined by the IRS. It is not possible to state whether a Fund would be entitled to this relief in any
or all circumstances. It is also not clear under the Code whether this relief is available for the Fund's first taxable year as a publicly traded
partnership. If this relief provision is not applicable to a particular set of circumstances involving a Fund, it will not qualify as a partnership for
U.S. federal income tax purposes. Even if this relief provision applies and a Fund retains its partnership qualification, the Fund or its
shareholders (during the failure period) will be required to pay such amounts as determined by the IRS.
The remainder of this discussion assumes that each Fund is taxed as a partnership for U.S. federal income tax purposes.
U.S. Shareholders
Treatment of Fund Income
A partnership generally does not incur U.S. federal income tax liability. Instead,
each partner of a partnership is required to take into
account its share of items of income, gain, loss, deduction and other items of the partnership. Accordingly, each
shareholder in a Fund is
required to include in income its allocable share of the Fund's income, gain, loss, deduction and other items for the Fund's taxable
year ending
with or within its taxable year. In computing a partner's U.S. federal income tax liability, such items must be included, regardless of whether
cash distributions are made by the partnership. Thus, shareholders in a Fund may be required to take into account taxable income without a
corresponding current receipt of cash if the Fund generates taxable income but does not make cash distributions in an amount equal to, or if the
shareholder is not able to deduct, in whole or in part, such shareholder's allocable share of a Fund's expenses or capital losses. Each Fund's
taxable year ends on December 31 unless otherwise required by law. Each Fund uses the accrual method of accounting.
For taxable years beginning before January 1, 2026, a 20% deduction is available to non-corporate
shareholders for "qualified publicly
traded partnership income" within the meaning of Section 199A(e)(4) of the Code. Qualified publicly traded partnership
income includes a
Fund's income effectively connected with the Fund's trade or business, but does not include certain investment income. In light of the
expected
character of the income of the Funds, it is unclear whether any of a Fund's income will be eligible for the deduction. Potential investors should
consult their tax advisors regarding the availability of such deduction for their allocable share of a Fund's items of income, gain, deduction
and loss.
Shareholders must take into account their share of ordinary income realized by the respective
Fund's investments, including from accruals
of interest on the U.S. Treasury securities or other cash and cash equivalents held in a Fund's portfolio. Each
Fund may hold U.S. Treasury
securities or other debt instruments with "acquisition discount" or "original issue discount," in which case
shareholders in such Fund are
required to include accrued amounts in taxable income on a current basis even though receipt of those amounts may occur in a subsequent year.
Each Fund may also acquire U.S. Treasury securities with "market discount." Upon disposition of such obligations, gain would generally be
required to be treated as interest income to the extent of the market discount, and shareholders in such Fund would be required to include as
ordinary income their share of such market discount that accrued during the period the obligations were held by such Fund. Income or loss from
transactions involving certain derivative instruments, such as periodic and certain non-periodic payments in swap transactions, will also
generally constitute ordinary income or loss and may result in recognition of taxable income to a U.S. Shareholder on a current basis even
though receipt of those amounts may occur in a subsequent year.
The character and timing of income that a Fund earns from the positions in its investment strategy depends on the particular U.S. federal
income tax treatment of each such position. The U.S. federal income tax treatment of certain positions is not always clear, and the IRS, the
Treasury Department and the U.S. Congress sometimes take steps which change the manner in which certain positions are taxed. For example,
the IRS has issued guidance indicating that a position that certain taxpayers were previously accounting for as prepaid forward contracts for U.S.
federal income tax purposes should, instead, be accounted for under the U.S. federal income tax rules for non-dollar denominated debt
instruments. The IRS has also released a Notice (the "IRS Notice") seeking comments from practitioners about the application of U.S. federal
income tax rules to certain derivative positions, including derivative positions in commodities. The IRS Notice asks for comments about, among
-87
other questions, when investors in these positions
should have income, the character of income and gain or loss from these positions and whether
the U.S. federal "constructive ownership" rules should apply to
these positions. It is not possible to predict what changes, if any, will be adopted
or when any such changes would take effect. However, any such changes could affect the
amount, timing and character of income, gain and loss
in respect of a Fund's investments, possibly with retroactive effect. As the Funds pass through their items of
income, gain and loss to
shareholders, any change in the manner in which a Fund accounts for these items could have an adverse impact on the shareholders of that
Fund.
The Code generally applies a "mark-to-market" system of taxing
unrealized gains and losses on, and otherwise provides for special rules
of taxation with respect to certain regulated futures contracts, certain non-equity options and
certain non-U.S. currency forward contracts subject
to Section 1256 of the Code ("Section 1256 Contracts"). The Sponsor expects substantially all of a
Fund's futures contracts and non-U.S.
currency forward contracts to qualify as Section 1256 Contracts. Swap agreements and non-currency forward contracts are
generally not
Section 1256 Contracts. Cleared swaps and other commodity swaps will most likely not qualify as Section 1256 Contracts. If a commodity swap
is not treated as a Section 1256 Contract, any gain or loss on the swap recognized at the time of disposition or termination will be long-term or
short-term capital gain or loss depending on the holding period of the swap. Section 1256 Contracts held by the Funds at the end of a taxable
year of the Funds will be treated for U.S. federal income tax purposes as if they were sold by the Funds at their fair market value on the last
business day of the taxable year. The net gain or loss, if any, resulting from these deemed sales (known as "marking-to-market"), together with
any gain or loss resulting from any actual sales of Section 1256 Contracts (or other termination of a Fund's obligations under such contracts),
must be taken into account by a Fund in computing its taxable income for the year. If a Section 1256 Contract held by a Fund at the end of a
taxable year is sold in the following year, the amount of any gain or loss realized on the sale will be adjusted to reflect the gain or loss
previously taken into account under the mark-to-market rules.
Capital gains and losses from Section 1256 Contracts generally are characterized as short-term capital gains or losses to the extent of 40%
of the gains or losses and as long-term capital gains or losses to the extent of 60% of the gains or losses. Shareholders of a Fund will generally
take into account their pro rata share of the long-term capital gains and losses and short-term capital gains and losses from Section 1256
Contracts held by a Fund. If a non-corporate taxpayer incurs a net capital loss for a year, the portion of the loss, if any, which consists of a net
loss on Section 1256 Contracts may, at the election of the taxpayer, be carried back three years. A loss carried back to a year by a non-corporate
taxpayer may be deducted only to the extent (1) the loss does not exceed the net gain on Section 1256 Contracts for the year and (2) the
allowance of the carryback does not increase or produce a net operating loss for the year. Due to the Funds' investment strategy, it is also likely
that a significant portion of any capital gain or loss realized by the Funds with respect to non-Section 1256 Contracts will be short-term.
A Fund may enter into certain over-the-counter options that do not qualify as Section 1256
Contracts under the Code and which will
generally be treated as options governed by Code Section 1234. Pursuant to Code Section 1234, if a written option expires
unexercised, the
premium received is short-term capital gain to a Fund. If a Fund enters into a closing transaction, the difference between the premium received
for writing the option, and the amount paid to close out its position generally is short-term capital gain or loss.
Allocation of the Funds' Gains and Losses
For U.S. federal income tax purposes, a shareholder's distributive share of a Fund's income, gain, loss, deduction and other items is
determined by the Trust Agreement, unless an allocation under the agreement does not have "substantial economic effect," in which case the
allocations will be determined in accordance with the "partners' interests in the partnership." Subject to the discussions below under "Monthly
Allocation and Revaluation Conventions" and "Section 754 Election," the allocations pursuant to the Trust Agreement should be considered to
have substantial economic effect or deemed to be made in accordance with the partners' interests in the partnership.
If the allocations provided by the Trust Agreement were successfully challenged by the IRS, the
amount of income or loss allocated to
shareholders for U.S. federal income tax purposes under the agreement could be increased or reduced, or the character of the income
or loss
could be modified.
As described in more detail below, the U.S. tax rules that apply to partnerships are complex and their application is not always clear.
Additionally, the rules generally were not written for, and in some respects are difficult to apply to, publicly traded partnerships. Each Fund
applies certain assumptions and conventions intended to comply with the intent of the rules and to report income, gain, deduction, loss and credit
to shareholders in a manner that reflects the economic gains and losses, but these assumptions and conventions may not comply with all aspects
of the applicable Regulations. It is possible, therefore, that the IRS will successfully assert that assumptions made and/or conventions used do
-88
not satisfy the technical requirements of the Code or
the Regulations and will require that tax items be adjusted or reallocated in a manner that
could adversely impact an investor.
Monthly Allocation and Revaluation Conventions
In general, each Fund's taxable income and losses are determined monthly and are apportioned among the shareholders of the Fund in
proportion to the number of Shares treated as owned by each of them as of the close of the last trading day of the preceding month. By investing
in Shares, a U.S. Shareholder agrees that, in the absence of an administrative determination or judicial ruling to the contrary, it will report
income and loss under the monthly allocation and revaluation conventions described below.
Under the monthly allocation convention, whoever is treated for U.S. federal income tax purposes as holding Shares as of the close of the
last trading day of the preceding month will be treated as continuing to hold the Shares until immediately before the close of the last trading day
of the following month. With respect to any Shares that were not treated as outstanding as of the close of the last trading day of the preceding
month, the first person that is treated as holding such Shares (other than an underwriter or other person holding in a similar capacity) for U.S.
federal income tax purposes will be treated as holding such Shares for this purpose as of the close of the last trading day of the preceding month.
As a result, a shareholder who has disposed of Shares prior to the close of the last trading day of a month may be allocated income, gain, loss
and deduction realized after the date of transfer. For the initial month of a Fund's operations, the shareholders at the close of trading at
month-end received that month's allocation.
The Code generally requires that items of partnership income and deductions be allocated between transferors and transferees of
partnership interests on a daily basis. It is possible that a transfer of Shares could be considered to occur for U.S. federal income tax purposes
when the transfer is completed without regard to a Fund's monthly convention for allocating income and deductions. If this were to occur, a
Fund's allocation method might be deemed to violate that requirement.
In addition, for any month in which a creation or redemption of Shares takes place, a Fund generally credits or debits, respectively, the
"book" capital accounts of the shareholders of existing Shares with any unrealized gain or loss in that Fund's assets. This results in the allocation
of items of a Fund's income, gain, loss, deduction and credit to existing shareholders of Shares to account for the difference between the tax
basis and fair market value of property owned by such Fund at the time new Shares are issued or old Shares are redeemed, or reverse
Section 704(c) allocations (described below). The intended effect of these allocations is to allocate any built-in gain or loss in a Fund's assets at
the time of a creation or redemption of Shares to the investors that economically have earned such gain or loss.
As with the other allocations described above, each Fund generally uses a monthly convention for
purposes of so-called reverse
Section 704(c) allocations. More specifically, each Fund generally credits or debits, respectively, the "book" capital accounts
of the shareholders
of existing Shares with any unrealized gain or loss in a Fund's assets based on a calculation utilizing the creation/redemption price of a
Fund's
Shares during the month in which the creation or redemption transaction takes place, rather than the fair market value of its assets at the time of
such creation or redemption (the "revaluation convention"). As a result, it is possible that, for U.S. federal income tax purposes, (1) a purchaser
of newly issued Shares will be allocated some or all of the unrealized gain in a Fund's assets at the time it acquires the Shares or (2) a purchaser
of newly issued Shares will not be allocated its entire share in the loss in a Fund's assets accruing after the time of such acquisition.
The Code and applicable Regulations generally require that items of partnership income and
deductions be allocated between transferors
and transferees of partnership interests on a daily basis, and that adjustments to "book" capital accounts be made
based on the fair market value
of partnership property on the date of adjustment. The Code and Regulations do not contemplate monthly allocation or revaluation
conventions.
The Sponsor, in an attempt to eliminate book-tax disparities, allocates items of income, gain, or loss for U.S. federal income tax purposes among
the shareholders under the principles of the remedial method of Section 1.704-3(d) of the Regulations.
If the IRS does not accept a Fund's monthly allocation or revaluation convention, the IRS may contend that taxable income or losses of
the Funds must be reallocated among the shareholders. If such a contention were sustained, the shareholders' respective tax liabilities would be
adjusted to the possible detriment of certain shareholders. The Sponsor is authorized to revise the Funds' allocation and revaluation methods in
order to comply with applicable law or to allocate items of partnership income and deductions in a manner that reflects more accurately the
shareholders' interests in the Funds.
-89
Section 754 Election
Each Fund has made the election permitted by Section 754 of the Code. Such an election, once made, is irrevocable without the consent
of the IRS. The making of such election by a Fund generally has the effect of requiring a purchaser of Shares in that Fund to adjust, utilizing the
lowest closing price during the month, its proportionate share of the basis in that Fund's assets, or the inside basis, pursuant to Section 743(b) of
the Code to fair market value (as reflected in the purchase price for the purchaser's Shares), as if it had acquired a direct interest in that Fund's
assets. The Section 743(b) adjustment is attributed solely to a purchaser of Shares and is not added to the basis of a Fund's assets associated with
all of the other shareholders. Depending on the relationship between a shareholder's purchase price for Shares and its unadjusted share of a
Fund's inside basis at the time of the purchase, the Section 754 election may be either advantageous or disadvantageous to the shareholder as
compared to the amount of gain or loss a shareholder would be allocated absent the Section 754 election.
The calculations under Section 754 of the Code are complex, and there is little legal authority concerning the mechanics of the
calculations, particularly in the context of publicly traded partnerships. Therefore, in making the election under Section 754 of the Code, a Fund
applies certain conventions in determining and allocating the Section 743 basis adjustments to help reduce the complexity of those calculations
and the resulting administrative costs to a Fund. It is possible that the IRS will successfully assert that some or all of such conventions utilized
by a Fund do not satisfy the technical requirements of the Code or the Regulations and, thus, will require different basis adjustments to be made.
If the IRS were to sustain such a position, a shareholder may have adverse tax consequences.
In order to make the basis adjustments permitted by Section 754, each Fund is required to obtain information regarding each
shareholder's secondary market transactions in Shares, as well as creations and redemptions of Shares. Each Fund seeks such information from
the record holders of Shares, and, by purchasing Shares, each beneficial owner of Shares will be deemed to have consented to the provision of
such information by the record owner of such beneficial owner's Shares. Notwithstanding the foregoing, however, there can be no guarantee that
a Fund will be able to obtain such information from record owners or other sources, or that the basis adjustments that a Fund makes based on the
information it is able to obtain will be effective in eliminating disparity between a shareholder's outside basis in its share of the Fund interests
and its share of inside basis.
Treatment of Distributions
Distributions of cash by a partnership are generally not taxable to the distributee
to the extent the amount of cash does not exceed the
distributee's tax basis in its partnership interest. Thus, any cash distributions made by a Fund will be taxable
to a shareholder only to the extent
such distributions exceed the shareholder's tax basis in the partnership interests it is treated as owning. See "Tax Basis
in Shares" below. Any
cash distributions in excess of a shareholder's tax basis generally will be considered to be gain from the sale or exchange of the
Shares. See
"Disposition of Shares" below. The Funds do not currently expect to make any cash distributions.
Creation and Redemption of Creation Units
Shareholders, other than Authorized Participants (or holders for which an Authorized Participant is acting), generally will not recognize
gain or loss as a result of an Authorized Participant's creation or redemption of a Creation Unit. If a Fund disposes of assets in connection with
the redemption of a Creation Unit, however, the disposition may give rise to gain or loss that will be allocated in part to investors. An
Authorized Participant's creation or redemption of a Creation Unit may also affect an investor's share of a Fund's tax basis in its assets, which
could affect the amount of gain or loss allocated to an investor on the sale or disposition of portfolio assets by a Fund.
Disposition of Shares
If a U.S. Shareholder transfers Shares of a Fund, in a sale or other taxable disposition, the U.S. Shareholder will generally be required to
recognize gain or loss measured by the difference between the amount realized on the sale and the U.S. Shareholder's adjusted tax basis in the
Shares. The amount realized will include the U.S. Shareholder's share of a Fund's liabilities, as well as any proceeds from the sale. The gain or
loss recognized will generally be taxable as capital gain or loss.
Capital gain of non-corporate U.S. Shareholders is eligible to be taxed at reduced rates when the Shares are held for more than one year.
The maximum rate is currently 20%. Capital gain of corporate U.S. Shareholders is taxed at the same rate as ordinary income. Any capital loss
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recognized by a U.S. Shareholder on a sale of Shares
will generally be deductible only against capital gains, except that a non-corporate
U.S. Shareholder may generally also offset up to $3,000 per year of ordinary
income.
Tax on Investment Income
Certain U.S. Shareholders that are individuals, estates or trusts must pay an additional 3.8% tax on their "net investment income."
U.S. Shareholders should consult their own tax advisors regarding the effect, if any, of this tax on their investment in the Funds.
Tax Basis in Shares
A U.S. Shareholder's initial tax basis in the partnership interests it is treated as holding will equal the sum of (1) the amount of cash paid
by such U.S. Shareholder for its Shares and (2) such U.S. Shareholder's share of a Fund's liabilities. A U.S. Shareholder's tax basis in the
Shares will be increased by (1) the U.S. Shareholder's share of a Fund's taxable income, including capital gain, (2) the U.S. Shareholder's share
of a Fund's income, if any, that is exempt from tax and (3) any increase in the U.S. Shareholder's share of a Fund's liabilities. A U.S. Shareholder's
tax basis in Shares will be decreased (but not below zero) by (1) the amount of any cash distributed (or deemed distributed) to the
U.S. Shareholder, (2) the U.S. Shareholder's share of a Fund's losses and deductions, (3) the U.S. Shareholder's share of a Fund's expenditures
that is neither deductible nor properly chargeable to its capital account and (4) any decrease in the U.S. Shareholder's share of a Fund's liabilities.
Limitations on Deductibility of Certain Losses and Expenses
The deductibility for U.S. federal income tax purposes of a U.S. Shareholder's share of losses and expenses of a Fund is subject to certain
limitations, including, but not limited to, rules providing that: (1) a U.S. Shareholder may not deduct a Fund's losses that are allocated to it in
excess of its adjusted tax basis in its Shares; (2) individuals and personal holding companies may not deduct the losses allocable to a particular
"activity" in excess of the amount that they are considered to have "at risk" with respect to the activity; and (3) the ability of individuals to take
certain miscellaneous itemized deductions (including management fees) is suspended for the taxable years beginning before January 1, 2026. In
addition, expenses that are miscellaneous itemized deductions are also not deductible in determining the alternative minimum tax liability of a
non-corporate U.S. shareholder. Each Fund will report its expenses on a pro rata basis to the shareholders, and each U.S. Shareholder will
determine separately to what extent they are deductible on the U.S. Shareholder's tax return. It is anticipated that management fees the Funds
will pay will constitute miscellaneous itemized deductions. To the extent that a loss or expense that cannot be deducted currently is allocated to a
U.S. Shareholder, such U.S. Shareholder may be required to report taxable income in excess of its economic income or cash distributions on
the Shares.
The
deductibility of a non-corporate U.S. Shareholder's "investment interest expense" is generally limited to the amount of the
U.S. Shareholder's
"net investment income." Investment interest expense will generally include interest expense incurred by a Fund, if any, and
investment interest expense
incurred by the U.S. Shareholder on any margin account borrowing or other loan incurred to purchase or carry
Shares. Net investment income includes gross income from
property held for investment and amounts treated as portfolio income, such as
dividends and interest, less deductible expenses, other than interest, directly connected
with the production of investment income. For this
purpose, any long-term capital gain or qualifying dividend income that is taxable at long-term capital gains rates is
excluded from net investment
income unless the U.S. Shareholder elects to pay tax on such capital gain or dividend income at ordinary income rates. A U.S.
Shareholder's
distributive share of certain interest paid or accrued by a Fund, or certain entities in which such Fund invests may be treated as "business
interest," which is subject to separate limitations on deductibility.
Under Section 709(b) of the Code, amounts paid or incurred to organize a partnership may, at the election of the partnership, be treated as
deferred expenses, which are allowed as a deduction ratably over a period of not less than 180 months. Each Fund has elected to treat such
expenses as ratably deductible over 180 months, beginning with the month the Fund is considered to have started its investment activities for
federal tax purposes. A non-corporate U.S. Shareholder's allocable share of such organizational expenses would constitute miscellaneous
itemized deductions, which are not deductible for taxable years beginning before January 1, 2026. Expenditures in connection with the issuance
and marketing of Shares (so-called "syndication fees") are not eligible for the 180-month amortization provision and are not deductible.
Prospective shareholders are urged to consult their own tax advisors with regard to these and
other limitations on the ability to deduct
losses or expenses with respect to an investment in a Fund.
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The deductibility of a non-corporate
U.S. Shareholder's "investment interest expense" is generally limited to the amount of the
U.S. Shareholder's "net investment income."
Investment interest expense will generally include interest expense incurred by a Fund, if any, and
investment interest expense incurred by the U.S. Shareholder on any
margin account borrowing or other loan incurred to purchase or carry
Shares. Net investment income includes gross income from property held for investment and amounts
treated as portfolio income, such as
dividends and interest, less deductible expenses, other than interest, directly connected with the production of investment income.
For this
purpose, any long-term capital gain or qualifying dividend income that is taxable at long-term capital gains rates is excluded from net investment
income unless the U.S. Shareholder elects to pay tax on such capital gain or dividend income at ordinary income rates. A U.S. Shareholder's
distributive share of certain interest paid or accrued by a Fund, or certain entities in which such Fund invests may be treated as "business
interest," which is subject to separate limitations on deductibility.
The deductibility of a non-corporate U.S. Shareholder's "investment interest expense" is generally limited to the amount of the
U.S. Shareholder's "net investment income." Investment interest expense will generally include interest expense incurred by a Fund, if any, and
investment interest expense incurred by the U.S. Shareholder on any margin account borrowing or other loan incurred to purchase or carry
Shares. Net investment income includes gross income from property held for investment and amounts treated as portfolio income, such as
dividends and interest, less deductible expenses, other than interest, directly connected with the production of investment income. For this
purpose, any long-term capital gain or qualifying dividend income that is taxable at long-term capital gains rates is excluded from net investment
income unless the U.S. Shareholder elects to pay tax on such capital gain or dividend income at ordinary income rates. A U.S. Shareholder's
distributive share of certain interest paid or accrued by a Fund, or certain entities in which such Fund invests may be treated as "business
interest," which is subject to separate limitations on deductibility.
Transferor/Transferee Allocations
In general, a Fund's taxable income and losses are determined monthly as
described under "Monthly Allocation and Revaluation
Conventions." As a result, a shareholder transferring its Shares may be allocated income, gain, loss and
deduction realized after the date
of transfer.
Section 706 of the Code generally requires that items of partnership income and deductions be allocated between transferors and
transferees of partnership interests on a daily basis. It is possible that transfers of Shares could be considered to occur for U.S. federal income
tax purposes when the transfer is completed without regard to a Fund's convention for allocating income and deductions. In that event, a Fund's
allocation method might be considered a monthly convention that does not literally comply with that requirement.
If the IRS treats transfers of Shares as occurring throughout each month and a monthly convention
is not allowed by the Regulations (or
only applies to transfers of less than all of a shareholder's Shares), or if the IRS otherwise does not accept a Fund's
convention, the IRS may
contend that taxable income or losses of a Fund must be reallocated among the shareholders. If such a contention were sustained, the
shareholders' respective tax liabilities would be adjusted to the possible detriment of certain shareholders. Each Fund's Sponsor is authorized to
revise a Fund's methods of allocation between transferors and transferees (as well as among shareholders whose interests otherwise vary during
a taxable period).
Tax Reporting by Each Fund
Each Fund will file a partnership tax return with the IRS and will deliver a
Schedule K-1 to the shareholders. Accordingly, tax
information will be provided to shareholders on a Schedule K-1 for each calendar year as soon as practicable after the
end of such taxable year
but generally not later than March 15. Each Schedule K-1 provided to a shareholder will set forth the shareholder's share of such
Fund's tax
items (
i.e
., income, gain, loss, deduction and other items) in a manner sufficient for a shareholder to complete its tax return with respect to its
investment in the Fund's Shares.
Each shareholder, by its acquisition of Shares, will be deemed to agree to allow brokers and nominees to provide to a Fund its name and
address and the other information and forms as may be reasonably requested by a Fund for purposes of complying with their tax reporting and
withholding obligations (and to waive any confidentiality rights with respect to the information and forms for this purpose) and to provide
information or forms upon request.
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Given the lack of authority addressing structures similar to that of the Funds, it is not certain that the IRS will agree with the manner in
which tax reporting by a Fund will be undertaken. Therefore, shareholders should be aware that future IRS interpretations or revisions to
Regulations could alter the manner in which tax reporting by a Fund and any nominee will be undertaken.
Treatment of Securities Lending Transactions Involving Shares
A shareholder whose Shares are loaned to a "short seller" to cover a short sale of Shares may be considered as having disposed of those
Shares. If so, such shareholder would no longer be a beneficial owner of a pro rata portion of the partnership interests with respect to those
Shares during the period of the loan and may recognize gain or loss from the disposition. As a result, during the period of the loan, (1) any of the
relevant Fund's income, gain, loss, deduction or other items with respect to those Shares would not be reported by the shareholder, and (2) any
cash distributions received by the shareholder as to those Shares could be fully taxable, likely as ordinary income. Accordingly, shareholders
who desire to avoid the risk of income recognition from a loan of their Shares to a short seller are urged to modify any applicable brokerage
account agreements to prohibit their brokers from borrowing their Shares.
These rules, however, should not affect the amount or timing of income, gain, deduction or loss reported by a taxpayer that is a dealer in
securities that marks the Shares to market for U.S. federal income tax purposes, or a trader in securities that has elected to use the mark-to-market
method of tax accounting with respect to the Shares.
Audits and Adjustments to Tax
Liability
The Sponsor is expected to be designated as the "partnership representative" (within the meaning of Section 6223 of the Code) of each
Fund to act on their behalf in connection with IRS audits and related proceedings.
The partnership representative's actions, including the partnership representative's agreement to adjustments of a Fund's income in
settlement of an IRS audit of such Fund, will bind all Shareholders. Shareholders will not be required to receive notice of any audit of a Fund tax
return and will not be entitled to participate in any such audit. A Fund may be liable for U.S. federal income tax on any imputed underpayment
of tax resulting from an adjustment as a result of an IRS audit. The amount of the imputed underpayment generally includes increases in
allocations of items of income or gains to any shareholder and decreases in allocations of items of deduction, loss, or credit to any shareholder
without any offset for any corresponding reductions in allocations of items of income or gain to any shareholder or increases in allocations of
items of deduction, loss, or credit to any shareholder. If a Fund is required to pay any U.S. federal income taxes on any imputed underpayment,
the resulting tax liability would reduce the net assets of the Fund and would likely have an adverse impact on the value of the Shares. Under
certain circumstances, a Fund may be eligible to make an election to cause the shareholders to take into account the amount of any imputed
underpayment, including any interest and penalties. However, there can be no assurance that such election will be made or effective. If the
election is made, the Fund would be required to provide shareholders who owned beneficial interests in the Shares in the year to which the
adjusted allocations relate with Adjustment Statements. Those shareholders would be required to take the adjustment into account in the taxable
year in which the Adjustment Statements are issued.
In general, if a Fund pays the tax resulting from the adjustment, the amount will be determined by applying the highest rate of tax in
effect for the audited year to the net adjustment amount, subject to possible reduction, with the approval of the IRS, to account for certain types
of income and for tax-exempt Shareholders.
Shareholders should discuss with their own tax advisors the possible implications of these rules with respect to an investment in a Fund.
Foreign Tax Credits
Subject to generally applicable limitations, U.S. Shareholders will be able to claim foreign tax credits with respect to certain foreign
income taxes paid or incurred by a Fund, withheld on payments made to the Trust or paid by the Trust on behalf of Fund shareholders (if any of
such foreign income taxes are so paid, incurred or withheld). U.S. Shareholders must include in their gross income, for U.S. federal income tax
purposes, both their share of a Fund's items of income and gain and also their share of the amount which is deemed to be the shareholder's
portion of foreign income taxes paid with respect to, or withheld from interest or other income derived by, a Fund. U.S. Shareholders may then
subtract from their U.S. federal income tax the amount of such taxes withheld, or elect to treat such foreign taxes as deductions from gross
income; however, as in the case of investors receiving income directly from foreign sources, the tax credit or deduction described above is
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subject to certain limitations. Even if the shareholder
is unable to claim a credit, he or she must include all amounts described above in income.
U.S. Shareholders are urged to consult their tax advisors regarding this
election and its consequences to them.
Tax Shelter Disclosure
Rules
There are circumstances under which certain transactions must be disclosed to the IRS in a disclosure statement attached to a taxpayer's
U.S. federal income tax return. (A copy of such statement must also be sent to the IRS Office of Tax Shelter Analysis.) In addition, the Code
imposes a requirement on certain "material advisors" to maintain a list of persons participating in such transactions, which list must be furnished
to the IRS upon written request. These provisions can apply to transactions not conventionally considered to involve abusive tax planning.
Consequently, it is possible that such disclosure could be required by a Fund or the shareholders (1) if a shareholder incurs a loss (in each case,
in excess of a threshold computed without regard to offsetting gains or other income or limitations) from the disposition (including by way of
withdrawal) of Shares, or (2) possibly in other circumstances. Furthermore, a Fund's material advisors could be required to maintain a list of
persons investing in that Fund pursuant to the Code. While the tax shelter disclosure rules generally do not apply to a loss recognized on the
disposition of an asset in which the taxpayer has a qualifying basis (generally a basis equal to the amount of cash paid by the taxpayer for such
asset), such rules will apply to a taxpayer recognizing a loss with respect to interests in a pass-through entity (such as the Shares) even if its basis
in such interests is equal to the amount of cash it paid. In addition, significant penalties may be imposed in connection with a failure to comply
with these reporting requirements. U.S. Shareholders are urged to consult their tax advisors regarding the tax shelter disclosure rules and their
possible application to them.
U.S. Shareholders should consult their own tax advisors regarding any tax reporting or filing obligations they may have as a result of their
acquisition, ownership or disposition of Shares.
Non-U.S. Shareholders
Except as described below, each Fund anticipates that a non-U.S. Shareholder will not be subject
to U.S. federal income tax on such
shareholder's distributive share of a Fund's income, provided that such income is not considered to be income of the
shareholder that is
effectively connected with the conduct of a trade or business within the United States. The Funds have not sought a ruling from the IRS or an
opinion of counsel as to whether they will be engaged in the conduct of a trade or business within the United States, but there are no assurances
that the IRS will agree with the Funds' determination in this regard. In the case of an individual non-U.S. Shareholder, such shareholder will be
subject to U.S. federal income tax on gains on the sale of Shares in a Fund's or such shareholder's distributive share of capital gains if such
shareholder is present in the United States for 183 days or more during a taxable year and certain other conditions are met.
If the income from a Fund is "effectively connected" with a U.S. trade or business
carried on by a non-U.S. Shareholder (and, if certain
income tax treaties apply, is attributable to a U.S. permanent establishment), then such shareholder's share of
any income and any gains realized
upon the sale or exchange of Shares will be subject to U.S. federal income tax at the graduated rates applicable to U.S. citizens and
residents and
domestic corporations. Non-U.S. Shareholders that are corporations may also be subject to a 30% U.S. branch profits tax (or lower treaty rate, if
applicable) on their effectively connected earnings and profits that are not timely reinvested in a U.S. trade or business. If a Fund has any
"effectively connected income," then the purchaser or transferee of Shares would be generally required to withhold a 10% tax on the "amount
realized" by the non-U.S. Shareholder on the sale or exchange of Shares, unless the transferor certifies that it is not a non-U.S. person. However,
the U.S. Department of the Treasury and the IRS have suspended these rules for transfers of certain publicly traded partnership interests,
including transfers of our common units, that occur before January 1, 2023. Such withholding will be required on open market transactions
occurring on or after January 1, 2023, but in the case of a transfer made through a broker, the obligation to withhold is generally imposed on the
transferor's broker.
To the extent any interest income allocated to a non-U.S. Shareholder is considered "portfolio interest," generally neither the allocation of
such interest income to the non-U.S. Shareholder nor a subsequent distribution of such interest income to the non-U.S. Shareholder will be
subject to withholding, provided that the non-U.S. Shareholder is not otherwise engaged in a trade or business in the United States and provides
the relevant Fund with a timely and properly completed and executed IRS Form W-8BEN, Form W-8BEN-E or other applicable form. In
general, "portfolio interest" is interest paid on debt obligations issued in registered form, unless the "recipient" owns 10% or more of the voting
power of the issuer.
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Non-U.S. Shareholders that are individuals will be subject to U.S. federal estate tax on the value of U.S. situs property owned at the time
of their death (unless a statutory exemption or tax treaty exemption applies). It is unclear whether partnership interests such as the Shares will be
considered U.S. situs property. Accordingly, non-U.S. Shareholders may be subject to U.S. federal estate tax on all or part of the value of the
Shares owned at the time of their death.
Non-U.S. Shareholders are advised to consult their own tax advisors with respect to the particular tax consequences to them of an
investment in the Shares.
Foreign Account Tax Compliance
The Foreign Account Tax Compliance provisions of the Hiring Incentives to Restore
Employment Act ("FATCA") generally impose a
reporting and 30% withholding tax regime with respect to certain items of U.S. source income (including dividends
and interest) ("Withholdable
Payments"). While the 30% withholding tax would have applied also to payments of gross proceeds from the sale or other disposition
on or after
January 1, 2019 of property that would give rise to U.S. source interest or dividends, proposed Regulations eliminate such withholding on
payments of gross proceeds entirely. The U.S. Treasury Department has indicated that taxpayers may rely on these proposed Regulations
pending their finalization. As a general matter, the rules are designed to require U.S. persons' direct and indirect ownership of non-U.S. accounts
and non-U.S. entities to be reported to the IRS. The 30% withholding tax regime applies if there is a failure to provide required information
regarding U.S. ownership. The withholding rules generally apply to Withholdable Payments.
The rules may subject a non-U.S. Shareholder's share of Withholdable Payments received by a Fund to 30% withholding tax unless such
shareholder provides information, representations and waivers of non-U.S. law as may be required to comply with the provisions of the rules,
including information regarding certain U.S. direct and indirect owners of such non-U.S. Shareholder. A non-U.S. Shareholder that is treated as
a "foreign financial institution" will generally be subject to withholding unless it agrees to report certain information to the IRS regarding its
U.S. accountholders and those of its affiliates.
Prospective shareholders should consult their own advisors regarding the requirements under FATCA with respect to their own situation.
Regulated Investment Companies
The treatment of a RIC's investment in a Fund will depend, in part, on whether a Fund is classified as a qualified publicly traded
partnership within the meaning of Section 851(h) of the Code (a "qualified PTP"). RICs are only allowed to invest up to 25% of their assets in
qualified PTPs and to treat gross income and gross gains derived from such investments as qualifying income for purposes of certain rules
relevant to determining whether an entity qualifies as a RIC. A RIC is not required to look through to the underlying qualified PTP's assets
when testing compliance with certain asset diversification or gross income tests applicable to determining whether an entity qualified as a RIC.
A RIC, however, may be required to look through a qualified publicly traded partnership when testing compliance with the asset diversification
tests. A RIC will also be required to look through corporations in which the RIC owns a 20% or more voting stock interest in determining
whether a RIC has invested up to 25% of its assets in qualified PTPs, including other issuers, when testing compliance with the asset
diversification tests applicable to RICs under the Code. On the other hand, an investment by a RIC in a publicly traded partnership that is not a
qualified PTP is not counted against the 25% limit on a RIC's investments in qualified PTPs and the RIC is treated as earning its proportionate
share of the partnership's gross income and gross gains for purposes of the asset and income tests relevant to determining whether an entity
qualifies as a RIC.
It is intended that the VIX Futures Fund, the Natural Gas Funds, and the Precious Metals Funds
are and will continue to be qualified PTPs
for any taxable year in which such a Fund realizes sufficient gross income from its commodity futures transactions. However,
qualification of
such Funds as qualified PTPs depends on performance of a Fund for the particular tax year and there is no assurance that it will qualify in a
given year or that future results of a Fund will conform to prior experience. In addition, there is, to date, no regulatory guidance on the
application of these rules, and it is possible that future guidance may adversely affect qualification of such a Fund as a qualified PTP. RIC
investors are urged to monitor their investment in such Funds and consult with a tax advisor concerning the impact of such an investment on
their compliance with the income source and asset diversification requirements applicable to RICs.
It is intended that the Currency Funds are not and will not be qualified PTPs. Prospective RIC investors should consult a tax advisor
regarding the treatment of an investment in a Fund under current tax rules and in light of their particular circumstances. Under current
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interpretation of the RIC qualification rules, a
RIC's allocable share of income from a Currency Fund is expected to be treated as qualifying
income. The U.S. Treasury has specific statutory authority to promulgate
regulations excluding from the definition of qualifying income foreign
currency gains which are not directly related to a RIC's principal business of investing in
stock or securities (or options and futures with respect
to stock or securities), although to date no such regulations have been issued or proposed. RIC investors in a
Currency Fund face a risk that
future Regulations will recharacterize foreign currency gains received by them as non-qualifying income and be retroactive in application.
In
addition, because most RICs test their compliance under the RIC asset diversification test by looking through partnerships such as the Currency
Funds, there is a risk that a RIC that invests in the Currency Funds could fail to satisfy the applicable asset diversification tests. RIC investors
are urged to monitor their investment in the Currency Funds and consult with their tax advisor concerning the impact of such an investment on
their compliance with the income source and asset diversification requirements applicable to RICs.
Tax-Exempt Organizations
An organization that is otherwise exempt from U.S. federal income tax is
nonetheless subject to taxation with respect to its "unrelated
business taxable income," ("UBTI"), to the extent that its UBTI from all sources
exceeds $1,000 in any taxable year. Except as noted below with
respect to certain categories of exempt income, UBTI generally includes income or gain derived (either
directly or through a partnership) from a
trade or business, the conduct of which is substantially unrelated to the exercise or performance of the organization's
exempt purpose or
function. UBTI is computed separately with respect to each trade or business of a tax-exempt entity. However, a tax-exempt investor may, if a
Fund has multiple unrelated trades or businesses, aggregate its UBTI, deductions and losses in respect of such trades or businesses to the extent
its interest in the Fund meets either a de minimis test (generally, if the tax-exempt investor owns no more than 2% of the Fund's capital and
profits) or a participation test (generally, if the tax-exempt investor owns no more than 20% of the Fund's capital and does not significantly
participate in the Fund). Additionally, a tax-exempt investor may be permitted to treat certain investment activities (e.g., its investment in the
Fund as well as other similar investments) as a single trade or business and thus permit gross income, deductions and losses with respect to such
investment activities to be aggregated for purposes of calculating UBTI.
UBTI generally does not include passive investment income, such as dividends, interest and capital gains, whether realized by the
organization directly or indirectly through a partnership (such as the Funds) in which it is a partner. This type of income is exempt, subject to the
discussion of "unrelated debt-financed income" below, even if it is realized from securities-trading activity that constitutes a trade or business.
UBTI includes not only trade or business income or gain as described above, but also
"unrelated debt-financed income." This latter type
of income generally consists of (1) income derived by an exempt organization (directly or through a
partnership) from income producing
property with respect to which there is "acquisition indebtedness" at any time during the taxable year and (2) gains derived
by an exempt
organization (directly or through a partnership) from the disposition of property with respect to which there is acquisition indebtedness at any
time during the twelve-month period ending with the date of the disposition. Each Fund does not expect to incur a significant amount of
acquisition indebtedness with respect to its assets.
To the extent a Fund recognizes gain from property with respect to which there is "acquisition indebtedness," the portion of the gain that
will be treated as UBTI will be equal to the amount of the gain multiplied by a fraction, the numerator of which is the highest amount of the
"acquisition indebtedness" with respect to the property during the twelve-month period ending with the date of their disposition, and the
denominator of which is the "average amount of the adjusted basis" of the property during the period that such property is held by a Fund during
the taxable year. In determining the unrelated debt-financed income of a Fund, an allocable portion of deductions directly connected with a
Fund's debt-financed property will be taken into account. In making such a determination, for instance, a portion of losses from debt-financed
securities (determined in the manner described above for evaluating the portion of any gain that would be treated as UBTI) would offset gains
treated as UBTI. Any tax-exempt shareholder that recognizes UBTI will be required to compute such UBTI separately for each line of unrelated
business if such shareholder has more than one unrelated trade or business. A charitable remainder trust is subject to a 100% federal excise tax
on any UBTI that it earns; in view of the potential for UBTI, the Shares may not be a suitable investment for a charitable remainder trust.
Certain tax-exempt shareholders that are private educational institutions will be subject to a
1.4% excise tax on their net investment
income.
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Certain State and Local Taxation Matters
Prospective shareholders should consider, in addition to the U.S. federal income tax consequences described above, the potential state and
local tax consequences of investing in the Shares.
State and local laws often differ from U.S. federal income tax laws with respect to the treatment of specific items of income, gain, loss,
deduction and credit. A shareholder's distributive share of the taxable income or loss of a Fund generally will be required to be included in
determining the shareholder's reportable income for state and local tax purposes in the jurisdiction in which the shareholder is a resident. A
Fund may conduct business in one or more jurisdictions that will subject a shareholder to tax (and require a shareholder to file an income tax
return with the jurisdiction with respect to the shareholder's share of the income derived from that business). A prospective shareholder should
consult its tax advisor with respect to the availability of a credit for such tax in the jurisdiction in which the shareholder is resident.
Backup Withholding
In certain circumstances, shareholders may be subject to backup withholding on certain payments paid to them if they do not establish
that they are exempt from the backup withholding rules or if they do not furnish their correct taxpayer identification number (in the case of
individuals, their social security number) and certain certifications, or who are otherwise subject to backup withholding. Backup withholding is
not an additional tax. Any amounts withheld from payments made to an investor may be refunded or credited against an investor's U.S. federal
income tax liability, if any, provided that the required information is furnished to the IRS.
Shareholders should be aware that certain aspects of the U.S. federal, state and local income tax treatment regarding the purchase,
ownership and disposition of Shares are not clear under existing law. Thus, shareholders are urged to consult their own tax advisors to determine
the tax consequences of ownership of the Shares in their particular circumstances, including the application of U.S. federal, state, local and
foreign tax laws.
Euroclear System
Any participant of the Euroclear System that holds Shares in the Euroclear System will be deemed
to have represented to and agreed with
the Funds and Euroclear Bank as a condition to Shares being in the Euroclear System to furnish to the Euroclear Bank (a) its tax
identification
number, (b) notice of whether it is (i) a person who is not a United States person, (ii) a foreign government, an international organization or any
wholly owned agency or instrumentality of either of the foregoing or (iii) a tax exempt identity, and (c) such other information as the Euroclear
Bank may request from time to time in order to comply with its United States tax reporting obligations. If a participant in the Euroclear System
fails to provide such information, Euroclear Bank may, amongst other courses of action, block trades in the Shares and related income
distributions of such participant.
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PART TWO:
GENERAL POOL DISCLOSURE
This Prospectus has two parts: the offered series disclosure and the general pool disclosure. These parts are bound together and are
incomplete if not distributed together to prospective participants.
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PERFORMANCE OF THE OTHER COMMODITY POOLS
OPERATED BY THE COMMODITY POOL OPERATOR
The following performance information is presented in accordance with CFTC regulations. The performance of each Fund will differ
materially from the performance of the following commodity pools operated by the Sponsor (the "Other Funds") which is included herein. The
performance of the Other Funds which is summarized herein is materially different from the Funds and the past performance summaries of the
Other Funds below are generally not representative of how the Funds might perform in the future.
All summary performance information is as of November 30, 2021, except as noted. Performance information is set forth, in accordance
with CFTC regulations, since each Fund's inception of
trading.
Name of Pool:
ProShares Short VIX Short-Term Futures ETF
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
October 3, 2011
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$14,117,045,679
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$457,637,303
Net Asset Value as of November 30, 2021
$343,736,136
Net Asset Value per Share
3
as of November 30, 2021
$53.84
Worst Monthly Loss:
4
-89.59% (February 2018)
Worst Peak-to-Valley Loss:
5
-93.91% (December 2017-March 2020)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
-22.30%
29.23%
-6.82%
13.90%
-4.78%
-12.91%
February
-6.58%
4.35%
-89.59%
6.11%
-17.55%
12.24%
March
37.26%
14.69%
-6.11%
2.17%
-39.79%
16.42%
April
2.22%
3.04%
6.43%
6.59%
6.11%
5.70%
May
20.79%
6.44%
4.45%
-10.42%
4.76%
4.11%
June
-20.28%
3.53%
-0.86%
9.13%
-8.93%
7.23%
July
32.73%
14.75%
8.40%
2.47%
7.92%
-3.42%
August
11.27%
-12.55%
3.03%
-9.81%
2.36%
7.77%
September
-1.33%
16.54%
3.56%
7.05%
1.96%
-5.92%
October
-1.36%
14.64%
-18.15%
7.63%
-4.62%
13.03%
November
17.32%
4.39%
4.39%
8.89%
22.61%
-12.52%
December
8.55%
13.56%
-16.11%
3.84%
0.12%
Annual
79.54%
179.12%
-91.68%
54.92%
-36.89%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
30.02%
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares Ultra Bloomberg Crude Oil
†
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
November 24, 2008
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$16,052,404,815
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$1,255,706,413
Net Asset Value as of November 30, 2021
$950,647,565
Net Asset Value per Share
3
as of November 30, 2021
$67.85
Worst Monthly Loss:
4
-85.06% (March 2020)
Worst Peak-to-Valley Loss:
5
-99.94% (Inception -April 2020)
-99
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
-24.75%
-7.28%
14.44%
37.17%
-28.51%
11.58%
February
-16.75%
2.10%
-8.64%
10.52%
-26.25%
35.90%
March
14.14%
-14.18%
11.06%
8.71%
-85.06%
-4.74%
April
31.14%
-6.77%
11.67%
12.78%
-63.40%
14.07%
May
9.78%
-6.09%
-4.72%
-30.81%
70.27%
8.69%
June
-6.05%
-10.82%
17.42%
16.85%
14.42%
20.06%
July
-28.95%
16.64%
-10.52%
-0.54%
5.91%
2.83%
August
9.10%
-10.36%
4.71%
-12.95%
9.49%
-10.33%
September
11.46%
15.62%
11.19%
-5.39%
-13.36%
17.09%
October
-7.66%
8.73%
-20.14%
0.73%
-20.52%
14.45%
November
6.48%
10.15%
-40.66%
2.59%
42.35%
-29.81%
December
12.93%
10.42%
-22.95%
22.63%
11.90%
Annual
-7.23%
1.42%
-44.82%
55.99%
-92.86%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
86.49%
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares Ultra Gold
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
December 1, 2008
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$969,593,689
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$211,517,983
Net Asset Value as of November 30, 2021
$217,361,732
Net Asset Value per Share
3
as of November 30, 2021
$56.46
Worst Monthly Loss:
4
-14.67% (November 2016)
Worst Peak-to-Valley Loss:
5
-70.62% (August 2011 -September 2018)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
9.75%
11.40%
8.07%
5.88%
7.74%
-5.54%
February
22.46%
6.82%
-4.34%
-1.41%
-3.01%
-13.04%
March
-0.20%
-2.09%
0.49%
-3.69%
1.93%
-2.14%
April
7.59%
3.15%
-2.03%
-1.98%
11.92%
5.95%
May
-11.52%
-0.44%
-1.61%
3.03%
5.16%
15.64%
June
18.01%
-4.11%
-8.63%
16.14%
5.31%
-13.92%
July
2.86%
3.76%
-5.06%
1.59%
17.50%
4.56%
August
-5.20%
6.64%
-3.42%
12.99%
-1.41%
-0.23%
September
1.70%
-4.68%
-2.90%
-7.40%
-8.52%
-6.90%
October
-7.84%
-2.41%
4.15%
5.73%
-1.89%
2.87%
November
-14.67%
1.25%
-0.01%
-6.44%
-11.42%
-1.36%
December
-5.81%
1.36%
9.73%
6.92%
12.92%
Annual
10.68%
21.19%
-6.90%
32.56%
37.32%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
-16.45%
-100
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares Ultra Silver
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
December 1, 2008
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$3,825,882,286
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$1,483,941,555
Net Asset Value as of November 30, 2021
$499,815,823
Net Asset Value per Share
3
as of November 30, 2021
$33.44
Worst Monthly Loss:
4
-34.13% (September 2020)
Worst Peak-to-Valley Loss:
5
-97.51% (April 2011 - March 2020)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
2.96%
12.62%
3.85%
6.81%
0.67%
1.86%
February
8.87%
11.21%
-9.39%
-6.68%
-18.09%
-6.37%
March
7.86%
-3.08%
-2.37%
-6.79%
-29.61%
-14.52%
April
33.68%
-7.53%
0.65%
-2.92%
7.86%
10.41%
May
-19.67%
-1.72%
1.56%
-5.62%
51.00%
16.47%
June
29.58%
-9.94%
-6.78%
9.58%
-1.37%
-13.54%
July
17.59%
2.62%
-7.87%
14.13%
65.32%
-5.39%
August
-13.33%
6.18%
-10.29%
22.48%
31.26%
-12.73%
September
5.61%
-6.06%
-5.18%
-15.15%
-34.13%
-16.45%
October
-16.49%
-1.01%
-0.15%
12.79%
0.07%
17.43%
November
-13.12%
-3.35%
-2.05%
-12.10%
-11.20%
-10.20%
December
-5.94%
3.12%
17.23%
9.49%
35.08%
Annual
23.57%
0.34%
-21.34%
20.10%
59.97%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
-34.06%
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares Ultra VIX Short-Term Futures ETF
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
October 3, 2011
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$27,443,632,332
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$7,662,531,394
Net Asset Value as of November 30, 2021
$917,153,016
Net Asset Value per Share
3
as of November 30, 2021
$20.55
Worst Monthly Loss:
4
-51.67% (March 2016)
Worst Peak-to-Valley Loss:
5
-100.00% (Inception - October 2021)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
34.25%
-42.60%
10.20%
-35.48%
9.33%
36.42%
February
5.64%
-11.29%
48.44%
-17.46%
58.78%
-34.87%
March
-51.67%
-26.86%
12.39%
-10.08%
165.90%
-40.58%
April
-13.26%
-12.79%
-20.67%
-18.62%
-27.02%
-17.77%
May
-36.41%
-23.70%
-16.23%
25.96%
-22.77%
-22.08%
-101
Rate of Return:
6
2016
2017
2018
2019
2020
2021
June
-14.07%
-8.79%
-2.98%
-24.06%
-0.13%
-22.66%
July
-45.21%
-25.99%
-23.74%
-9.46%
-24.15%
2.35%
August
-21.67%
-0.75%
-11.63%
17.21%
-9.21%
-23.68%
September
-13.70%
-28.54%
-11.59%
-21.26%
-11.13%
12.07%
October
-1.25%
-26.02%
67.32%
-23.74%
7.28%
-32.63%
November
-35.39%
-10.74%
-16.43%
-23.67%
-48.56%
24.85%
December
-19.36%
-24.16%
59.59%
-14.19%
-4.09%
Annual
-93.81%
-94.06%
57.60%
-84.44%
-15.84%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
-80.74%
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares UltraShort Bloomberg Crude Oil
†
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
November 24, 2008
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$7,115,722,027
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$74,278,774
Net Asset Value as of November 30, 2021
$108,705,108
Net Asset Value per Share
3
as of November 30, 2021
$16.90
Worst Monthly Loss:
4
-50.78% (May 2020)
Worst Peak-to-Valley Loss:
5
-96.78% (February 2009 - October 2021)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
17.85%
5.18%
-13.38%
-29.89%
36.14%
-11.92%
February
1.14%
-3.06%
7.43%
-11.14%
30.49%
-28.34%
March
-18.27%
13.56%
-11.79%
-9.00%
126.55%
-1.78%
April
-29.23%
5.81%
-12.16%
-12.55%
-5.34%
-14.89%
May
-11.42%
2.69%
2.56%
38.83%
-50.78%
-10.32%
June
0.72%
8.90%
-16.97%
-17.80%
-19.95%
-17.59%
July
33.66%
-16.58%
9.02%
-2.51%
-7.74%
-6.87%
August
-13.03%
8.88%
-6.01%
6.76%
-9.90%
6.81%
September
-16.03%
-14.83%
-11.15%
-6.54%
9.25%
-16.01%
October
5.69%
-9.51%
21.99%
-2.22%
18.70%
-13.75%
November
-13.39%
-10.56%
56.22%
-5.59%
-33.10%
29.46%
December
-13.41%
-10.59%
15.00%
-19.44%
-12.00%
Annual
-52.41%
-23.30%
22.52%
-59.07%
-4.76%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
-63.62%
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares VIX Short-Term Futures ETF
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
January 3, 2011
Aggregate Gross Capital
Subscriptions
1
as of
November 30, 2021
$5,024,137,090
Aggregate Net Capital
Subscriptions
2
as of
November 30, 2021
$1,334,082,950
Net Asset Value as of November 30, 2021
$360,553,193
-102
Name of Pool:
ProShares VIX Short-Term Futures ETF
Net Asset Value per Share
3
as of November 30, 2021
$20.83
Worst Monthly Loss:
4
-35.26% (November 2020)
Worst Peak-to-Valley Loss:
5
-99.96% (September 2011 - October 2021)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
19.62%
-23.72%
5.70%
-24.67%
7.12%
24.81%
February
4.01%
-5.32%
47.34%
-11.73%
38.55%
-23.96%
March
-29.41%
-13.98%
9.38%
-6.13%
107.86%
-28.60%
April
-5.45%
-5.35%
-13.62%
-12.54%
-17.16%
-11.87%
May
-19.23%
-10.71%
-10.45%
18.61%
-14.30%
-13.59%
June
1.63%
-4.18%
-1.11%
-16.49%
3.69%
-15.18%
July
-25.53%
-13.63%
-16.10%
-5.94%
-16.22%
2.81%
August
-11.04%
3.95%
-7.34%
13.97%
-5.91%
-15.95%
September
-4.60%
-15.03%
-7.58%
-14.19%
-6.72%
8.99%
October
0.02%
-13.61%
42.86%
-15.80%
5.88%
-22.88%
November
-17.88%
-5.09%
-10.42%
-16.26%
-35.26%
19.08%
December
-9.47%
-12.58%
37.96%
-9.11%
-2.25%
Annual
-67.96%
-72.49%
65.26%
-68.12%
11.87%
N/A
Year-to-Date
N/A
N/A
N/A
N/A
N/A
-62.14%
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares Ultra Bloomberg Commodity
a
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
November 24, 2008
Aggregate Gross Capital
Subscriptions
1
as of
September 1, 2016
$57,464,446
Aggregate Net Capital
Subscriptions
2
as of
September 1, 2016
$1,435,107
Net Asset Value as of September 1, 2016
$—
Net Asset Value per Share
3
as of September 1, 2016
$—
Worst Monthly Loss:
4
-10.28% (July 2016)
Worst Peak-to-Valley Loss:
5
-84.25% (April 2011—February 2016)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
-3.71%
N/A
N/A
N/A
N/A
N/A
February
-3.64%
N/A
N/A
N/A
N/A
N/A
March
7.39%
N/A
N/A
N/A
N/A
N/A
April
17.25%
N/A
N/A
N/A
N/A
N/A
May
-0.72%
N/A
N/A
N/A
N/A
N/A
June
8.02%
N/A
N/A
N/A
N/A
N/A
July
-10.28%
N/A
N/A
N/A
N/A
N/A
August
1.62%
N/A
N/A
N/A
N/A
N/A
September
N/A
N/A
N/A
N/A
N/A
N/A
October
N/A
N/A
N/A
N/A
N/A
November
N/A
N/A
N/A
N/A
N/A
-103
Rate of Return:
6
2016
2017
2018
2019
2020
2021
December
N/A
N/A
N/A
N/A
N/A
Annual
N/A
N/A
N/A
N/A
N/A
N/A
Year-to-Date
14.23%
N/A
N/A
N/A
N/A
N/A
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares Managed Futures Strategy
a
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception Trading:
October 1, 2014
Aggregate Gross Capital
Subscriptions
1
as of March
30, 2016
$19,699,612
Aggregate Net Capital
Subscriptions
2
as of March
30, 2016
$7,378,135
Net Asset Value as of March 30, 2016
$—
Net Asset Value per Share
3
as of March 30, 2016
$—
Worst Monthly Loss:
4
-2.42% (March 2016)
Worst Peak-to-Valley Loss:
5
-7.96% (January 2015—March 2016)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
-1.53%
N/A
N/A
N/A
N/A
N/A
February
1.62%
N/A
N/A
N/A
N/A
N/A
March
-2.42%
N/A
N/A
N/A
N/A
N/A
April
N/A
N/A
N/A
N/A
N/A
N/A
May
N/A
N/A
N/A
N/A
N/A
N/A
June
N/A
N/A
N/A
N/A
N/A
N/A
July
N/A
N/A
N/A
N/A
N/A
N/A
August
N/A
N/A
N/A
N/A
N/A
N/A
September
N/A
N/A
N/A
N/A
N/A
N/A
October
N/A
N/A
N/A
N/A
N/A
November
N/A
N/A
N/A
N/A
N/A
December
N/A
N/A
N/A
N/A
N/A
Annual
N/A
N/A
N/A
N/A
N/A
N/A
Year-to-Date
-2.36%
N/A
N/A
N/A
N/A
N/A
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares UltraPro 3x Crude Oil ETF
a
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
March 24, 2017
Aggregate Gross Capital
Subscriptions
1
as of April
3, 2020
$891,992,538
Aggregate Net Capital
Subscriptions
2
as of April
3, 2020
$376,396,221
Net Asset Value as of April 3, 2020
$—
Net Asset Value per Share
3
as of April 3, 2020
$—
Worst Monthly Loss:
4
-97.33% (March 2020)
Worst Peak-to-Valley Loss:
5
-99.67% (September 2018—March 2020)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
-104
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
21.88%
58.31%
-40.24%
N/A
February
-13.37%
15.30%
-37.70%
N/A
March
b
16.98%
16.04%
12.85%
-97.33%
N/A
April
-10.47%
17.06%
19.04%
N/A
N/A
May
-10.32%
-7.95%
-43.50%
N/A
N/A
June
-16.85%
25.86%
24.34%
N/A
N/A
July
24.62%
-16.39%
-2.06%
N/A
N/A
August
-15.97%
6.39%
-21.33%
N/A
N/A
September
23.61%
16.64%
-11.23%
N/A
N/A
October
12.65%
-29.41%
0.44%
N/A
November
15.00%
-55.93%
2.64%
N/A
December
15.42%
-35.43%
35.12%
N/A
Annual
51.15%
-65.37%
64.10%
N/A
N/A
Year-to-Date
N/A
N/A
N/A
N/A
-99.01%
N/A
See accompanying Footnotes to Performance Information.
Name of Pool:
ProShares UltraPro 3x Short Crude Oil ETF
a
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
March 24, 2017
Aggregate Gross Capital
Subscriptions
1
as of April
13, 2020
$464,876,088
Aggregate Net Capital
Subscriptions
2
as of April
13, 2020
$(81,065,469)
Net Asset Value as of April 13, 2020
$—
Net Asset Value per Share
3
as of April 13, 2020
$—
Worst Monthly Loss:
4
-42.29% (January 2019)
Worst Peak-to-Valley Loss:
5
-89.93% (June 2017—December 2019)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
-19.72%
-42.29%
57.34%
N/A
February
10.44%
-16.88%
47.11%
N/A
March
b
-15.37%
-17.91%
-13.66%
84.56%
N/A
April
8.31%
-18.40%
-18.72%
N/A
N/A
May
2.69%
2.79%
61.35%
N/A
N/A
June
12.44%
-25.26%
-26.77%
N/A
N/A
July
-24.62%
12.74%
-4.90%
N/A
N/A
August
12.49%
-9.50%
7.38%
N/A
N/A
September
-21.91%
-16.69%
-15.78%
N/A
N/A
October
-14.52%
33.47%
-3.92%
N/A
November
-15.95%
90.61%
-9.40%
N/A
December
-15.95%
19.22%
-28.09%
N/A
Annual
-57.67%
17.63%
-78.59%
N/A
N/A
Year-to-Date
N/A
N/A
N/A
327.18%
N/A
See accompanying Footnotes to Performance Information.
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Name of Pool:
ProShares UltraShort Bloomberg Commodity
a
Type of Pool:
Public, Exchange-listed Commodity Pool
Date of Inception of Trading:
November 24, 2008
Aggregate Gross Capital
Subscriptions
1
as of
September 1, 2016
$95,173,249
Aggregate Net Capital
Subscriptions
2
as of
September 1, 2016
$1,803,800
Net Asset Value as of September 1, 2016
$—
Net Asset Value per Share
3
as of September 1, 2016
$—
Worst Monthly Loss:
4
-15.82% (April 2016)
Worst Peak-to-Valley Loss:
5
-29.14% (February 2016—June 2016)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Rate of Return:
6
2016
2017
2018
2019
2020
2021
January
2.68%
N/A
N/A
N/A
N/A
N/A
February
2.49%
N/A
N/A
N/A
N/A
N/A
March
-7.86%
N/A
N/A
N/A
N/A
N/A
April
-15.82%
N/A
N/A
N/A
N/A
N/A
May
-0.22%
N/A
N/A
N/A
N/A
N/A
June
-8.44%
N/A
N/A
N/A
N/A
N/A
July
10.33%
N/A
N/A
N/A
N/A
N/A
August
-2.25%
N/A
N/A
N/A
N/A
N/A
September
N/A
N/A
N/A
N/A
N/A
N/A
October
N/A
N/A
N/A
N/A
N/A
November
N/A
N/A
N/A
N/A
N/A
December
N/A
N/A
N/A
N/A
N/A
Annual
N/A
N/A
N/A
N/A
N/A
N/A
Year-to-Date
-19.58%
N/A
N/A
N/A
N/A
N/A
See accompanying Footnotes to Performance Information.
Footnotes to Performance Information
a.
ProShares Managed
Futures Strategy, ProShares Ultra Bloomberg Commodity, ProShares UltraPro 3x Crude Oil ETF, ProShares UltraPro
3x Short Crude Oil ETF, and ProShares UltraShort Bloomberg
Commodity were terminated on March 30, 2016, September 1, 2016,
April 3, 2020, April 13, 2020, and September 1, 2016, respectively and are no longer in
operations.
b.
Represents rate of return from inception to March 31, 2017, as the inception of
trading date for the pool was after March 1, 2017.
†
As of June 30, 2020 the Fund's benchmark was the Bloomberg WTI Crude Oil
Subindex
SM
. The Fund changed its benchmark from the
Prior Oil Benchmark to the New Oil Index on September 17, 2020.
1.
"Aggregate Gross Capital Subscriptions" is the aggregate of all amounts
ever contributed to the pool, including those of investors who subsequently
redeemed their investments.
2.
"Aggregate Net Capital Subscriptions" is the aggregate of all amounts
ever contributed to the pool, excluding those of investors who subsequently
redeemed their investments.
3.
"Net Asset Value per Share" is the net asset value, based on the pricing
policies of the Trust and determined in accordance with GAAP, of
the pool divided by the total number of Shares outstanding as of November 30, 2021. Please see
"Description of the Shares; The Funds; Certain
Material Terms of the Trust Agreement—Net Asset Value (NAV)" for additional information regarding the
pricing policies of
the Trust.
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4.
"Worst Monthly Loss" is the largest single month loss sustained during
the most recent five calendar years and year-to-date (or since inception
of the Fund, if the Fund has had less than five calendar years of performance), expressed as a
percentage. "Loss" as used in this section
of the Prospectus means losses experienced by the relevant pool over the specified period and is calculated on a
rate of return basis, i.e.,
dividing net performance by beginning equity. Loss is measured on the basis of monthly returns only, and does not reflect intra-month
figures.
5.
"Worst Peak-to-Valley Loss" is the largest percentage decline in Net
Asset Value per Share over the most recent five calendar years and
year-to-date (or since inception of the Fund, if the Fund has had less than five calendar years of
performance). This need not be a continuous
decline, but can be a series of positive and negative returns where the negative returns are larger than the positive returns.
Worst Peak-to-Valley
Loss represents the greatest percentage decline from any month-end Net Asset Value per Share that occurs without such month-end
Net Asset Value per Share being equaled or exceeded as of a subsequent month-end. A Peak-to-Valley loss that begins prior to the beginning
of the most recent five calendar years and ends within the most recent five calendar year period is deemed to have occurred during such
five calendar year period.
6.
Based on the latest calculated net asset value, as applicable to creations and
redemptions of Creation Units, with respect to each period.
USE OF PROCEEDS
Each Fund seeks to use substantially all of the proceeds of the offering of Shares of the Funds to make portfolio investments in a manner
consistent with its investment objective. Each Fund also holds cash or cash equivalents such as U.S. Treasury securities or other high credit
quality, short-term fixed-income or similar securities (such as shares of money market funds) as collateral for Financial Instruments and pending
investment in Financial Instruments. To the extent that the Funds do not invest the proceeds of the offering of the Shares in the manner
described above on the day such proceeds are received, such proceeds may be deposited with the Custodian.
The Sponsor, a registered commodity pool operator, is responsible for the cash management activities of the Funds, including investing in
cash equivalents that may be used as margin for the applicable Fund's portfolio holdings.
WHO MAY SUBSCRIBE
Only Authorized Participants may create or redeem Creation Units. Each Authorized Participant must (1) be a registered broker-dealer or
other securities market participant such as a bank or other financial institution which is not required to register as a broker-dealer to engage in
securities transactions, (2) be a participant in DTC, and (3) have entered into an agreement with the Trust and the Sponsor (an Authorized
Participant Agreement).
CREATION AND REDEMPTION OF SHARES
Each Fund creates and redeems Shares from time to time, but only in large blocks of Shares known as "Creation Units", each of which
consists of 50,000 Shares (25,000 Shares with respect to the VIX Futures Fund). Except when aggregated in Creation Units, the Shares are not
redeemable securities.
The manner by which Creation Units are purchased and redeemed is governed by the terms of the Authorized Participant Agreement and
Authorized Participant Procedures Handbook, and all such procedures are at the discretion of the Sponsor. By placing a purchase order, an
Authorized Participant agrees to deposit cash with the Custodian of the Funds (unless as provided otherwise in this Prospectus).
If permitted by the Sponsor in its sole discretion with respect to a Fund, an Authorized
Participant may also agree to enter into or arrange
for an exchange of a futures contract for related position ("EFCRP") or block trade with the relevant Fund
whereby the Authorized Participant
would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such
contracts on the purchase order date. Similarly, the Sponsor in its sole discretion may agree with an Authorized Participant to use an EFCRP to
effect an order to redeem Creation Units.
An EFCRP is a technique permitted by the rules of certain futures exchanges that, as utilized by a Fund in the Sponsor's discretion, would
allow such Fund to take a position in a futures contract from an Authorized Participant, or give futures contracts to an Authorized Participant, in
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the case of a redemption, rather than to enter the
futures exchange markets to obtain such a position. An EFCRP by itself will not change either
party's net risk position materially. Because the futures position that
a Fund would otherwise need to take in order to meet its investment
objective can be obtained without unnecessarily impacting the financial or futures markets or their
pricing, EFCRPs can generally be viewed as
transactions beneficial to a Fund. A block trade is a technique that permits certain Funds to obtain a futures position without
going through the
market auction system and can generally be viewed as a transaction beneficial to the Fund.
Authorized Participants pay a fixed transaction fee of up to $250 in connection with each order
to create or redeem a Creation Unit in
order to compensate BNYM, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in
processing
the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants
also may pay a variable transaction fee to the Funds of up to 0.10% (and a variable transaction fee to the VIX Futures Fund of 0.05%) of the
value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor
provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized
Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors.
The form of Authorized Participant Agreement and the related Authorized Participant Procedures
Handbook set forth the procedures for
the creation and redemption of Creation Units and for the payment of cash required for such creations and redemptions. The Sponsor
may
delegate its duties and obligations under the form of Authorized Participant Agreement to SEI or the Administrator without consent from any
shareholder or Authorized Participant. The form of Authorized Participant Agreement, the related procedures attached thereto and the
Authorized Participant Procedures Handbook may be amended by the Sponsor without the consent of any shareholder or Authorized Participant.
Authorized Participants who purchase Creation Units from the Funds receive no fees, commissions or other form of compensation or
inducement of any kind from either the Sponsor or the Funds, and no such person has any obligation or responsibility to the Sponsor or the Fund
to effect any sale or resale of Shares.
Authorized Participants are cautioned that some of their activities may result in their being deemed participants in a distribution in a
manner which would render them statutory underwriters and subject them to the prospectus delivery and liability provisions of the 1933 Act, as
described in "Plan of Distribution."
Each Authorized Participant must be registered as a broker-dealer under the 1934 Act and
regulated by the Financial Industry Regulatory
Authority ("FINRA"), or exempt from being, or otherwise not required to be, so regulated or registered, and must
be qualified to act as a broker
or dealer in the states or other jurisdictions where the nature of its business so requires. Certain Authorized Participants may be
regulated under
federal and state banking laws and regulations. Each Authorized Participant must have its own set of rules and procedures, internal controls and
information barriers as it determines is appropriate in light of its own regulatory regime.
Authorized Participants may act for their own accounts or as agents for broker-dealers, custodians and other securities market participants
that wish to create or redeem Creation Units.
Persons interested in purchasing Creation Units should contact the Sponsor or the Administrator to obtain the contact information for the
Authorized Participants. Shareholders who are not Authorized Participants are only able to redeem their Shares through an Authorized
Participant.
Pursuant to the Authorized Participant Agreement, the Sponsor agreed to indemnify the Authorized
Participants against certain liabilities,
including liabilities under the 1933 Act, and to contribute to the payments the Authorized Participants may be required to make
in respect of
those liabilities.
The following description of the procedures for the creation and redemption of Creation Units is only a summary and an investor should
refer to the relevant provisions of the Trust Agreement and the form of Authorized Participant Agreement for more detail. The Trust Agreement
and the form of Authorized Participant Agreement are filed as exhibits to the Registration Statement of which this Prospectus is a part.
Creation Procedures
On any Business Day (as defined below), an Authorized Participant may place an order with the Distributor to create one or more
Creation Units. For purposes of processing both purchase and redemption orders, a "Business Day" for each Fund means any day on which the
NAV of such Fund is determined.
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Purchase orders must be placed by the cut-off time shown above in the Summary section titled "
Creation and Redemption Transactions
."
The cut-off time may be earlier if, for example, the Exchange or other exchange material to the valuation or operation of such Fund closes
before the cut-off time. If a purchase order is received prior to the applicable cut-off time, the day on which SEI receives a valid purchase order
is the purchase order date. If the purchase order is received after the applicable cut-off time, the purchase order date will be the next business
day. Purchase orders are irrevocable. By placing a purchase order, and prior to delivery of such Creation Units, an Authorized Participant's DTC
account will be charged the non-refundable transaction fee due for the purchase order.
Determination of Required Payment
The total payment required to create each Creation Unit is the NAV of a block of
Shares, each of which consists of 50,000 Shares (25,000
Shares with respect to the VIX Futures Fund), on the purchase order date plus the applicable transaction
fee.
Delivery of Cash
Cash required for settlement will typically be transferred to the Custodian through: (1) the Continuous Net Settlement ("CNS") clearing
process of NSCC, as such processes have been enhanced to effect creations and redemptions of Creation Units; or (2) the facilities of DTC on a
Delivery Versus Payment ("DVP") basis, which is the procedure in which the buyer's payment for securities is due at the time of delivery.
Security delivery and payment are simultaneous. If the Custodian does not receive the cash by the market close on the first Business Day
following the purchase order date ("T+1"), such order may be charged interest for delayed settlement or cancelled. The Sponsor reserves the
right to extend the deadline for the Custodian to receive the cash required for settlement up to the second Business Day following the purchase
order date ("T+2"). In the event a purchase order is cancelled, the Authorized Participant will be responsible for reimbursing the Fund for all
costs associated with cancelling the order including costs for repositioning the portfolio. At its sole discretion, the Sponsor may agree to a
delivery date other than T+2. Additional fees may apply for special settlement. The Creation Unit will be delivered to the Authorized Participant
upon the Custodian's receipt of the purchase amount.
Delivery of Exchange of Futures Contract for Related Position ("EFCRP") Futures Contracts or Block Trades
In the event that the Sponsor shall have determined to permit the Authorized Participant to transfer futures contracts pursuant to an
EFCRP or to engage in a block trade purchase of futures contracts from the Authorized Participant with respect to a Fund, as well as to deliver
cash, in the creation process, futures contracts required for settlement must be transferred directly to the Fund's account at its FCM. If the cash is
not received by the market close on the second Business Day following the purchase order date (T+2); such order may be charged interest for
delayed settlements or cancelled. In the event a purchase order is cancelled, the Authorized Participant will be responsible for reimbursing a
Fund for all costs associated with cancelling the order including costs for repositioning the portfolio. At its sole discretion, the Sponsor may
agree to a delivery date other than T+2. The Creation Unit will be delivered to the Authorized Participant upon the Custodian's receipt of the
cash purchase amount and the futures contracts.
Limitation, Suspension or Rejection of Purchase Orders
In respect of any Fund, the Sponsor may, in its sole discretion, limit or suspend the right to purchase, or postpone the purchase settlement
date. For example, the Sponsor may limit or suspend purchases or postpone settlement for (1) any period during which the Exchange or any
other exchange, marketplace or trading center, deemed to affect the normal operations (e.g., valuation) of such Fund, is closed, or when trading
is restricted or suspended on such exchanges in any of the Funds' Financial Instruments or underlying Reference Assets; (2) any period during
which an emergency exists as a result of which the fulfillment of a purchase order is not reasonably practicable; or (3) such other period as the
Sponsor determines, in its sole discretion, to be appropriate for the protection of the Fund, the shareholders of the Fund or otherwise in the
interest of such Fund (for example, in response to, or anticipation of, a period of significant and/or rapid increases in the size of a Fund as a
result of an increase in creation activity). The Sponsor will not be liable to any person or in any way for any loss or damages that may result
from any such suspension or postponement.
The Sponsor also may reject a purchase order if:
•
It determines that the purchase order is not in proper
form;
-109
•
The
Sponsor believes that the purchase order would have adverse tax consequences to a Fund or its shareholders;
•
The order would be illegal; or
•
Circumstances outside the control of the Sponsor make it, in the Sponsor's sole discretion, not feasible to process creations of
Creation Units.
None of the Sponsor, the Administrator or the Custodian will be liable for the suspension or
rejection of any purchase order.
Redemption Procedures
The procedures by which an Authorized Participant can redeem one or more Creation Units mirror the procedures for the creation of
Creation Units. On any Business Day, an Authorized Participant may place an order with the Distributor to redeem one or more Creation Units.
Redemption Orders must be received prior to the applicable cut-off time shown above in the Summary section titled "Creation and Redemption
Transactions." The cut-off time may be earlier if, for example, the Exchange or other exchange material to the valuation or operation of such
Fund closes before the cut-off time. If a redemption order is received prior to the applicable cut-off time, the day on which SEI receives a valid
redemption order is the redemption order date. If the redemption order is received after the applicable cut-off time, the redemption order date
will be the next day. Redemption orders are irrevocable. Individual shareholders may not redeem directly from a Fund.
By placing a redemption order, an Authorized Participant agrees to deliver the Creation Units to
be redeemed through DTC's book-entry
system to the applicable Fund not later than noon (Eastern Time), on the first Business Day immediately following the redemption
order date
(T+1). The Sponsor reserves the right to extend the deadline for the Fund to receive the Creation Units required for settlement up to the second
Business Day following the redemption order date (T+2). By placing a redemption order, and prior to receipt of the redemption proceeds, an
Authorized Participant must wire to the Custodian the non-refundable transaction fee due for the redemption order or any proceeds due will be
reduced by the amount of the fee payable. At its sole discretion, the Sponsor may agree to a delivery date other than T+2. Additional fees may
apply for special settlement.
Upon request of an Authorized Participant made at the time of a redemption order, the Sponsor at its sole discretion may determine, in
addition to delivering redemption proceeds, to transfer futures contracts to the Authorized Participant pursuant to an EFCRP or to a block trade
sale of futures contracts to the Authorized Participant.
Determination of Redemption Proceeds
The redemption proceeds from a Fund consist of the cash redemption amount and, if
permitted by the Sponsor in its sole discretion with
respect to a Fund, an EFCRP or block trade with the relevant Fund as described in "Creation and Redemption of
Shares" above. The cash
redemption amount is equal to the NAV of the number of Creation Unit(s) of such Fund requested in the Authorized Participant's
redemption
order as of the time of the calculation of such Fund's NAV on the redemption order date, less transaction fees and any amounts attributable to
any applicable EFCRP or block trade.
Delivery of Redemption Proceeds
The redemption proceeds due from a Fund are delivered to the Authorized Participant
at noon (Eastern Time), on the second Business
Day immediately following the redemption order date if, by such time on such Business Day immediately following the
redemption order date, a
Fund's DTC account has been credited with the Creation Units to be redeemed. The Fund should be credited through: (1) the CNS clearing
process of NSCC, as such processes have been enhanced to effect creations and redemptions of Creation Units; or (2) the facilities of DTC on a
DVP basis. If a Fund's DTC account has not been credited with all of the Creation Units to be redeemed by such time, the redemption
distribution is delivered to the extent whole Creation Units are received. Any remainder of the redemption distribution is delivered on the next
Business Day to the extent any remaining whole Creation Units are received if: (1) the Sponsor receives the fee applicable to the extension of
the redemption distribution date which the Sponsor may, from time to time, determine, and (2) the remaining Creation Units to be redeemed are
credited to the Fund's DTC account by noon (Eastern Time), on such next Business Day. Any further outstanding amount of the redemption
order may be cancelled. The Authorized Participant will be responsible for reimbursing a Fund for all costs associated with cancelling the order
including costs for repositioning the portfolio.
-110
The Sponsor is also authorized to deliver the redemption distribution notwithstanding that the Creation Units to
be redeemed are not
credited to a Fund's DTC account by noon (Eastern Time), on the second Business Day immediately following the redemption order date if the
Authorized Participant has collateralized its obligation to deliver the Creation Units through DTC's book-entry system on such terms as the
Sponsor may determine from time to time.
In the event that the Authorized Participant shall have requested, and the Sponsor shall have determined to permit the Authorized
Participant to receive futures contracts pursuant to an EFCRP, as well as the cash redemption proceeds, in the redemption process, futures
contracts required for settlement shall be transferred directly from the Fund's account at its FCM to the account of the Authorized Participant at
its FCM.
Suspension or Rejection of Redemption Orders
In respect of any Fund, the Sponsor may, in its sole discretion, limit or suspend the right of redemption, or postpone the redemption
settlement date. For example, the Sponsor may limit or suspend redemptions or postpone settlement for: (1) any period during which the
Exchange or any other exchange, marketplace or trading center, deemed to affect the normal operations (e.g., valuation) of such Fund, is closed,
or when trading is restricted or suspended on such exchanges in any of the Funds' Financial Instruments or underlying Reference Assets; (2) any
period during which an emergency exists as a result of which the redemption distribution is not reasonably practicable; or (3) such other period
as the Sponsor determines, in its sole discretion, to be appropriate for the protection of the Fund, the shareholders of the Fund or otherwise in the
interest of such Fund. The Sponsor will not be liable to any person or in any way for any loss or damages that may result from any such
suspension or postponement.
The Sponsor will reject a redemption order if the order is not in proper form as described in the form of Authorized Participant
Agreement or if the fulfillment of the order might be unlawful.
Creation and Redemption Transaction Fee
To compensate BNYM for services in processing the creation and redemption of Creation Units and
to offset some or all of the
transaction costs, an Authorized Participant may be required to pay a fixed transaction fee to BNYM of up to $250 per order to create or
redeem
Creation Units and may pay a variable transaction fee to a Fund of up to 0.10% (and a variable transaction fee to the VIX Futures Fund of
0.05%) of the value of a Creation Unit. An order may include multiple Creation Units. The transaction fee(s) may be reduced, increased or
otherwise changed by the Sponsor at its sole discretion.
Special Settlement
The Sponsor may allow for early settlement of purchase or redemption orders. Such arrangements
may result in additional charges to the
Authorized Participant.
LITIGATION
The Sponsor and the Trust were named as defendants in the following purported class action lawsuits filed in the United States District
Court for the Southern District of New York on the following dates: (i) on January 29, 2019 and captioned Ford v. ProShares Trust II et al.; (ii)
on February 27, 2019 and captioned Bittner v. ProShares Trust II, et al.; and (iii) on March 1, 2019 and captioned Mareno v. ProShares Trust II,
et al. The allegations in the complaints were substantially the same, namely that the defendants violated Sections 11 and 15 of the 1933 Act,
Sections 10(b) and 20(a) and Rule 10b-5 of the 1934 Act, and Items 303 and 105 of Regulation S-K, 17 C.F.R. Section 229.303(a)(3)(ii),
229.105 by issuing untrue statements of material fact and omitting material facts in the prospectus for ProShares Short VIX Short-Term Futures
ETF, and allegedly failing to state other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and
Officers of the Trust were also defendants in the actions, along with a number of others. The Court consolidated the three actions under the
caption In re ProShares Trust II Securities Litigation and appointed lead plaintiffs and lead counsel. On January 3, 2020, the Court granted
defendants' motion to dismiss the consolidated class action in its entirety and ordered the case closed. On January 31, 2020, the plaintiffs filed a
notice of appeal to the Second Circuit Court of Appeals. On March 4, 2021, the Second Circuit Court of Appeals heard oral argument. On
-111
March 15, 2021, the Second Circuit Court of Appeals
found the plaintiffs' arguments to be without merit and affirmed the District Court's
judgment. No further appeals are pending, and this matter is now
closed.
On July 28, 2020, the Sponsor, the Trust, and ProShares Ultra Bloomberg
Crude Oil ("UCO"), a series of the Trust, were named as
defendants in a purported class action lawsuit filed in the United States District Court for the
Southern District of New York, captioned
Di Scala
v.
ProShares Ultra Bloomberg Crude Oil, et al
. The allegations in the complaint claim that the defendants violated Sections 10(b) and 20(a) and
Rule 10b-5 of the 1934 Act as well as Items 303 and 105 of Regulation S-K, 17 C.F.R. §§ 229.303(a)(ii), 229.105, by issuing untrue statements
of material fact and omitting material facts in the prospectus disclosures for ProShares Ultra Bloomberg Crude Oil, and allegedly failing to state
other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and Officers of the Trust were also
defendants in the action. After the Court appointed a lead plaintiff and lead counsel and entered a scheduling order for filing an amended
complaint and motion to dismiss briefing, the lead plaintiff decided to voluntarily dismiss the lawsuit. On February 22, 2021, the parties filed a
stipulation of voluntary dismissal, and the case was closed. The parties have not exchanged monetary consideration and each party will bear its
own costs and attorneys' fees.
BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, and GS are clearing members of the CBOT, CME, NYMEX, and all other
major U.S. commodity exchanges. From time to time, each of BofAS, RBC, Man, DBSI, SGAS, BCI, UBSS, CSS, StoneX, GS, and GSI (in its
capacity as a commodities broker) and its respective principals may be involved in numerous legal actions, some of which individually and all of
which in the aggregate, seek significant or indeterminate damages. However, except for the actions described in the section entitled "Futures
Commission Merchants—Litigation and Regulatory Disclosure Relating to FCMs" beginning on page
131
, each of BofAS, RBC, Man, DBSI,
SGAS, BCI, UBSS, CSS, StoneX, GS, and GSI has advised that during the five years preceding the date of this Prospectus there has been no
material administrative, civil, or criminal action against it or any of its respective principals.
DESCRIPTION OF THE SHARES; THE FUNDS; CERTAIN MATERIAL
TERMS OF THE TRUST AGREEMENT
The following summary describes in brief the Shares and certain aspects of the operation of the Trust, the Funds, and the respective
responsibilities of the Trustee and the Sponsor concerning the Trust and the material terms of the Trust Agreement. Prospective investors should
carefully review the Trust Agreement filed as an exhibit to the Registration Statement of which this Prospectus is a part and consult with their
own advisors concerning the implications to such prospective investors of investing in a series of a Delaware statutory trust. Capitalized terms
used in this section and not otherwise defined shall have such meanings assigned to them under the Trust Agreement.
Description of the Shares
Each Fund issues common units of beneficial interest, or Shares, which represent units of fractional undivided beneficial interest in and
ownership of the Funds.
The Shares may be purchased from the Funds or redeemed on a continuous basis, but only by Authorized Participants and only in
Creation Units. Individual Shares may not be purchased or redeemed from the Funds. Shareholders that are not Authorized Participants may not
purchase or redeem any Shares or Creation Units from the Funds.
Principal Office; Location of Records; Fiscal Year
The Trust is organized as a statutory trust under the DSTA. The Trust is managed by
the Sponsor, whose office is located at 7272
Wisconsin Avenue, 21
st
Floor, Bethesda, Maryland 20814.
The books and records of the Funds are maintained as follows: all marketing materials are
maintained at the offices of SEI, One Freedom
Valley Drive, Oaks, Pennsylvania 19456. Creation Unit creation and redemption books and records, certain financial books and
records and
certain trading and related documents received from FCMs are maintained by BNYM, 225 Liberty Street, New York, New York 10286.
All other books and records of the Funds are maintained at the Funds' principal office, c/o
ProShare Capital Management LLC, 7272
Wisconsin Avenue,
21
st
Floor, Bethesda, Maryland 20814.
-112
Certain Trust books and records are
available for inspection and copying (upon payment of reasonable reproduction costs) by Fund
shareholders or their representatives for purposes reasonably related to such
shareholder's interest as a beneficial owner during regular business
hours as provided in the Trust Agreement. The Sponsor will maintain and preserve the
Trust's books and records for a period of not less than
six years.
The fiscal year of each Fund ends on December 31 of each year.
The Funds
The Trust is formed and operated in a manner such that each Fund is liable only for obligations
attributable to such Fund and shareholders
of a Fund are not subject to the losses or liabilities of any other series of the Trust. If any creditor or shareholder in a
Fund asserted against a
Fund a valid claim with respect to its indebtedness or Shares, the creditor or shareholder would only be able to recover money from that
particular Fund and its assets. Accordingly, the debts, liabilities, obligations and expenses, or collectively, claims, incurred, contracted for or
otherwise existing solely with respect to a particular Fund are enforceable only against the assets of that Fund, and not against any other series of
the Trust or the Trust generally, or any of their respective assets. The assets of each Fund include only those funds and other assets that are paid
to, held by or distributed to a Fund on account of and for the benefit of that Fund, including, without limitation, funds delivered to the Trust for
the purchase of Shares or Creation Units in a Fund. This limitation on liability is referred to as the "Inter-Series Limitation on Liability." The
Inter-Series Limitation on Liability is expressly provided for under the DSTA, which provides that if certain conditions (as set forth in
Section 3804(a)) are met, then the debts of any particular series will be enforceable only against the assets of such series and not against the
assets of any other series of the Trust or the Trust generally.
The Trustee
Wilmington Trust Company, a Delaware trust company, is the sole Trustee of the Trust. The rights
and duties of the Trustee and the
Sponsor with respect to the offering of the Shares and Fund management and the shareholders are governed by the provisions of the DSTA
and
by the Trust Agreement. The Trustee will accept service of legal process on the Trust in the State of Delaware and will make certain filings
under the DSTA. The Trustee does not owe any other duties to the Trust, the Sponsor or the shareholders of a Fund. The Trustee's principal
offices are located at 1100 North Market Street, Wilmington, Delaware 19890. The Trustee is unaffiliated with the Sponsor.
The Trustee is permitted to resign upon at least sixty (60) days' notice to the Trust,
provided, that any such resignation will not be
effective until a successor Trustee is appointed by the Sponsor. The Trustee is compensated by the Funds, as appropriate,
and is indemnified by
the Funds, as appropriate, against any expenses it incurs relating to or arising out of the formation, operation or termination of such Fund, as
appropriate, or the performance of its duties pursuant to the Trust Agreement, except to the extent that such expenses result from the gross
negligence or willful misconduct of the Trustee. The Sponsor has the discretion to replace the Trustee.
Only the assets of the Trust and the Sponsor are subject to issuer liability under the federal securities laws for the information contained in
this Prospectus and under federal securities laws with respect to the issuance and sale of the Shares. Under such laws, neither the Trustee, either
in its capacity as Trustee or in its individual capacity, nor any director, officer or controlling person of the Trustee is, or has any liability as, the
issuer or a director, officer or controlling person of the issuer of the Shares. The Trustee's liability in connection with the issuance and sale of
the Shares is limited solely to the express obligations of the Trustee set forth in the Trust Agreement.
Under the Trust Agreement, the Sponsor has exclusive management and control of all aspects of the Trust's business. The Trustee has no
duty or liability to supervise the performance of the Sponsor, nor will the Trustee have any liability for the acts or omissions of the Sponsor. The
shareholders have no voice in the day-to-day management of the business and operations of the Funds and the Trust, other than certain limited
voting rights as set forth in the Trust Agreement. In the course of its management of the business and affairs of the Funds and the Trust, the
Sponsor may, in its sole and absolute discretion, appoint an affiliate or affiliates of the Sponsor as additional sponsors and retain such persons,
including affiliates of the Sponsor, as it deems necessary to effectuate and carry out the purposes, business and objectives of the Trust.
Because the Trustee has no authority over the Trust's operations, the Trustee itself is not
registered in any capacity with the CFTC.
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The Sponsor
ProShare Capital Management LLC is the Sponsor of the Trust, the Funds and the other series of
the Trust. As noted above, the Sponsor
has exclusive management and control of all aspects of the business of the Funds. The Trustee has no duty or liability to supervise
the
performance of the Sponsor, nor will the Trustee have any liability for the acts or omissions of the Sponsor.
The Sponsor serves as the Trust's commodity pool operator.
Specifically, with respect to the Trust, the Sponsor:
•
selects the Funds' service providers;
•
negotiates various agreements and fees;
•
performs such other services as the Sponsor believes that the Trust may require from time to time;
•
selects the FCM and Financial Instrument counterparties, if
any;
•
manages the Funds' portfolio of other assets, including
cash equivalents; and
•
manages the Funds with a view toward achieving the Funds'
investment objectives.
The Shares are not deposits or other obligations of the
Sponsor, the Trustee or any of their respective subsidiaries or affiliates or any other
bank, are not guaranteed by the Sponsor, the Trustee or any of their respective
subsidiaries or affiliates or any other bank and are not insured by
the Federal Deposit Insurance Corporation ("FDIC") or any other governmental agency. An
investment in the Shares of the Funds offered
hereby is speculative and involves a high degree of risk.
The principal office of the Sponsor is located at 7272 Wisconsin Avenue, 21
st
Floor, Bethesda, Maryland 20814. The telephone number
of the Sponsor is (240) 497-6400.
Background and Principals
The Sponsor currently serves as the commodity pool operator of the Trust and the Funds, and previously also served as the commodity
trading advisor to the Trust and the Funds. The Sponsor is registered as a commodity pool operator with the CFTC and is a member in good
standing of the NFA. The Sponsor's membership with the NFA was originally approved on June 11, 1999. It withdrew its membership with the
NFA on August 31, 2000 but later re-applied and had its membership subsequently approved on January 8, 2001. Its membership with the NFA
is currently effective. The Sponsor's registration as a commodity trading advisor was approved on June 11, 1999. On February 17, 2013, the
Sponsor's commodity trading advisor registration was withdrawn. The Sponsor's registration as a commodity pool operator was originally
approved on June 11, 1999. It withdrew its registration as a commodity pool operator on August 30, 2000 but later re-applied and had its
registration subsequently approved on November 28, 2007. Its registration as a commodity pool operator is currently effective. As a registered
commodity pool operator, with respect to the Trust, the Sponsor must comply with various regulatory requirements under the CEA, and the rules
and regulations of the CFTC and the NFA, including investor protection requirements, antifraud prohibitions, disclosure requirements, and
reporting and recordkeeping requirements. The NFA approved the Sponsor as a Swaps Firm on January 4, 2013. The Sponsor is also subject to
periodic inspections and audits by the CFTC and NFA. Its principal place of business is 7272 Wisconsin Avenue, 21
st
Floor, Bethesda,
Maryland 20814 and its telephone number is (240) 497-6400. The registration of the Sponsor with the CFTC and its membership in the NFA
must not be taken as an indication that either the CFTC or the NFA has recommended or approved the Sponsor, the Trust and the Funds.
In its capacity as a commodity pool operator, the Sponsor is an organization which operates or
solicits funds for commodity pools; that is,
an enterprise in which funds contributed by a number of persons are combined for the purpose of trading futures contracts. For
past performance
of commodity pools operated by the Sponsor, see the section entitled "
Performance of the Offered Commodity Pools Operated by the
Commodity
Pool Operator" beginning on page
70
and the section entitled
"Performance of the Other Commodity Pools Operated by the
Commodity Pool Operator
" beginning on page
99
.
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Executive Officers of the Trust and Principals and Significant Employees of the Sponsor
Name
Position
Michael L. Sapir
Chief Executive Officer and Principal of the Sponsor
Louis M. Mayberg
Principal of the Sponsor
William E. Seale
Principal of the Sponsor
Sapir Family Trust
Principal of the Sponsor
Northstar Trust
Principal of the Sponsor
Timothy N. Coakley
Chief Financial Officer and Principal of the Sponsor
Edward J. Karpowicz
Principal Financial Officer of the Trust and Principal of the Sponsor
Todd B. Johnson*
Principal Executive Officer of the Trust and Chief Investment Officer
and Principal of the Sponsor
Hratch Najarian
Director, Portfolio Management and Principal of the Sponsor
Alexander Ilyasov
Senior Portfolio Manager of the Sponsor
James Linneman
Portfolio Manager and Principal of the Sponsor
Benjamin McAbee
Portfolio Manager and Principal of the Sponsor
Victor M. Frye
Principal of the Sponsor
*
Denotes principal of the Sponsor who supervises persons who participate in making trading decisions for
the Funds.
The
following is a biographical summary of the business experience of the executive officers of the Trust and the principals and
significant employees of the
Sponsor.
ProFund Advisors LLC ("PFA") and ProShare Advisors LLC
("PSA") are investment advisors registered under the Investment Advisers
Act of 1940 (the "Advisers Act") and commodity pool operators registered
under the CEA. PFA is also a commodity trading advisor registered
under the CEA.
Michael L. Sapir, Co-Founder, Chief Executive Officer and a listed principal of the Sponsor since August 14, 2008; Co-Founder, Chief
Executive Officer and a member of PFA since April 1997, and a listed principal of PFA since November 26, 2012; and Co-Founder, Chief
Executive Officer and a member of PSA since January 2005 and a listed principal of PSA since January 14, 2014. As Chief Executive Officer of
the Sponsor, PFA and PSA, Mr. Sapir's responsibilities include oversight of all aspects of the Sponsor, PFA and PSA, respectively.
Louis M. Mayberg, a member and a listed principal of the Sponsor since June 9, 2008; a member of PFA since April 1997 and a listed
principal of PFA since November 26, 2012; and a member of PSA since January 2005 and a listed principal of PSA since January 14, 2014. Mr.
Mayberg served as Principal Executive Officer of the Trust from June 2008 to December 2013. Mr. Mayberg no longer has oversight
responsibilities with respect to the operation of the Sponsor, PFA or PSA.
William E. Seale, Ph.D., a listed principal of the Sponsor since June 11, 1999; a member of PFA since April 1997 and a listed principal of
PFA since November 8, 2013; and a member of PSA since April 2005 and a listed principal of PSA since January 14, 2014. He served as Chief
Investment Officer of PFA from January 2003 to July 2005 and from October 2006 to June 2008 and as Director of Portfolio from January 1997
to January 2003. He served as Chief Investment Officer of PSA from October 2006 to June 2008. In these roles, Dr. Seale's responsibilities
included oversight of the investment management activities of the respective entities. Dr. Seale no longer has oversight responsibilities with
respect to the operation of the Sponsor, PFA or PSA. Dr. Seale is a former commissioner of the CFTC.
Sapir Family Trust, a listed principal of the Sponsor. The Sapir Family Trust has an ownership interest in the Sponsor and PSA. The Sapir
Family Trust has a passive ownership interest in the Sponsor and exercises no management authority over the Funds.
Northstar Trust, a listed principal of the Sponsor. Northstar Trust has an ownership interest in
the Sponsor and PFA. Northstar Trust has a
passive ownership interest in the Sponsor and exercises no management authority over the Funds.
Timothy N. Coakley, Chief Financial Officer and a listed principal of the Sponsor since March 7,
2014; Chief Financial Officer and a
listed principal of PFA since March 11, 2014; and Chief Financial Officer and a listed principal of PSA since March 11, 2014. As Chief
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Financial Officer of the Sponsor, Mr. Coakley's
responsibilities include oversight of the financial matters of the Sponsor. Prior to becoming a
listed principal of the Sponsor, Mr. Coakley has served as Chief Financial
Officer of the Sponsor and PFA since January of 2000 and PSA since
October of 2005.
Edward J. Karpowicz, Principal Financial Officer of the Trust since July 2008 and a listed principal of the Sponsor since September 18,
2013. Mr. Karpowicz has been employed by PFA since July 2002 and PSA since its inception as Vice President of Financial Administration.
Todd B. Johnson, Principal Executive Officer of the Trust since January 2014; Chief Investment
Officer of the Sponsor since
February 27, 2009, a registered swap associated person of the Sponsor from January 4, 2013 to January 29, 2021, a registered associated person
of the Sponsor since January 29, 2010, and a listed principal of the Sponsor since January 16, 2009. As Principal Executive Officer of the Trust,
Mr. Johnson's responsibilities include oversight of the operations of the Trust. As Chief Investment Officer of the Sponsor, Mr. Johnson's
responsibilities include oversight of the investment management activities of the Sponsor. Mr. Johnson has served as Chief Investment Officer
of PFA and PSA since December 2008 and has been registered as an associated person of PFA since December 5, 2012 and listed as a principal
of PFA since November 26, 2012. In addition, Mr. Johnson has been listed as a principal and associated person of PSA since January 14, 2014.
Mr. Johnson served from 2002 to December 2008 at World Asset Management (a financial services firm), working as President and Chief
Investment Officer from January 2006 to December 2008, and as Managing Director and Chief Investment Officer of Quantitative Investments
of Munder Capital Management, an asset management firm, from January 2002 to December 2005.
Hratch Najarian, Director, Portfolio Management of the Sponsor since August 2013 and a listed principal of the Sponsor since
October 15, 2013. In these roles, Mr. Najarian's responsibilities include oversight of the investment management activities of the Sponsor. Mr.
Najarian also has served as Director, Portfolio Management of PFA and PSA since August 2013, and is listed as a principal of PFA since
January 8, 2014 and a principal of PSA since January 14, 2014. Mr. Najarian served as Senior Portfolio Manager of PSA from December 2009
through September 2013. He also served as Senior Portfolio Manager of PFA from December 2009 through September 2013, as Portfolio
Manager of PFA from May 2007 through November 2009, and as Associate Portfolio Manager of PFA from November 2004 through April
2007. Mr. Najarian served as an NFA associated Member, associated person and swap associated person for PSA from January 2014 through
February 2021.
Alexander Ilyasov, Senior Portfolio Manager of the Sponsor since August 22, 2016. In this role,
Mr. Ilyasov's responsibilities include
oversight of the investment management activities as well as the day-to-day portfolio management of the Funds and certain
other series of the
Trust. Mr. Ilyasov also has served as a Senior Portfolio Manager of PFA since October 2013 and has served as Portfolio Manager of PSA since
October 2013.
James
Linneman, Principal of the Sponsor since February 1, 2021, has served as a swap associated person of the Sponsor since
January 25, 2021, a registered associated person and
an NFA associate member of the Sponsor since August 11, 2015 and a Portfolio Manager
of the Sponsor since April 2019. In these roles, Mr. Linneman's responsibilities
include day-to-day portfolio management of the Funds and
certain other series of the Trust. Mr. Linneman also serves as a principal of PSA since February 1, 2021, a
Portfolio Manager of PSA since April
2019, and a swap associated person, a registered associated person and an NFA associated member of PSA since January 25, 2021. Mr.
Linneman also serves as a registered associated person and an NFA associate member of PFA since January 25, 2021. In addition, Mr.
Linneman served as an Associate Portfolio Manager of the Sponsor and PSA from August 2016 to April 2019 and served as a Portfolio Analyst
of the Sponsor and PSA from February 2014 to August 2016.
Benjamin McAbee, Principal of the Sponsor since February 1, 2021, has served as a swap associated person of the Sponsor since
January 29, 2021, Portfolio Manager of the Sponsor since August 22, 2016, a registered associated person of the sponsor since December 16,
2010, and an NFA associate member of the Sponsor since December 16, 2010. In these roles, Mr. McAbee's responsibilities include day-to-day
portfolio management of certain other series of the Trust. Since February 1, 2021, Mr. McAbee also serves as a principal, swap associated
person, NFA associated member, and registered associated person of PSA. Additionally, he has served as a Portfolio Manager of PSA since
August 2016. In addition, Mr. McAbee has been registered as a registered associated person and an NFA associated member of PFA since
December 5, 2012. Mr. McAbee also has served as a Portfolio Manager of PFA since August 2016 and has served as an Associate Portfolio
Manager from December 2011 to August 2016.
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Victor Frye, a listed principal of the Sponsor since December 2, 2008, a listed principal of PFA since November 26, 2012, and a listed
principal of PSA since January 14, 2014. Mr. Frye's responsibilities include the review and approval of advertising material of the Sponsor. Mr.
Frye has been employed as Chief Compliance Officer of PFA since October 2002 and of PSA since December 2004.
Duties of the Sponsor
The general fiduciary duties which would otherwise be imposed on the Sponsor (which would make its operation of the Trust as
described herein impracticable due to the strict prohibition imposed by such duties on, for example, conflicts of interest on behalf of a fiduciary
in its dealings with its beneficiaries), are replaced by the terms of the Trust Agreement (to which terms all shareholders, by subscribing to the
Shares, are deemed to consent).
The Trust Agreement provides that the Sponsor and its affiliates shall have no liability to the Trust or to any shareholder for any loss
suffered by the Trust arising out of any action or inaction of the Sponsor or its affiliates or their respective directors, officers, shareholders,
partners, members, managers or employees (the "Sponsor Related Parties"), if the Sponsor Related Parties, in good faith, determined that such
course of conduct was in the best interests of the Funds and such course of conduct did not constitute gross negligence or willful misconduct by
the Sponsor Related Parties. The Trust has agreed to indemnify the Sponsor Related Parties against claims, losses or liabilities based on their
conduct relating to the Trust, provided that the conduct resulting in the claims, losses or liabilities for which indemnity is sought did not
constitute gross negligence or willful misconduct and was done in good faith and in a manner reasonably believed to be in the best interests of
the Funds.
Under
Delaware law, a beneficial owner of a statutory trust (such as a shareholder of a Fund) may, under certain circumstances, institute
legal action on behalf of himself and
all other similarly situated beneficial owners (a "class action") to recover damages for violations of
fiduciary duties, or on behalf of a statutory trust (a
"derivative action") to recover damages from a third party where there has been a failure or
refusal to institute proceedings to recover such damages. In
addition, beneficial owners may have the right, subject to certain legal requirements,
to bring class actions in federal court to enforce their rights under the federal
securities laws and the rules and regulations promulgated
thereunder by the SEC. Beneficial owners who have suffered losses in connection with the purchase or sale of
their beneficial interests may be
able to recover such losses from the Sponsor where the losses result from a violation by the Sponsor of the anti-fraud provisions of the
federal
securities laws.
Under certain circumstances, shareholders also have the right to institute a reparations proceeding before the CFTC against the Sponsor (a
registered commodity pool operator), an FCM, as well as those of their respective employees who are required to be registered under the CEA,
and the rules and regulations promulgated thereunder. Private rights of action are conferred by the CEA. Investors in futures and in commodity
pools may, therefore, invoke the protections provided thereunder.
The foregoing summary describing in general terms the remedies available to shareholders under federal law is based on statutes, rules
and decisions as of the date of this Prospectus. As this is a rapidly developing and changing area of the law, shareholders who believe that they
may have a legal cause of action against any of the foregoing parties should consult their own counsel as to their evaluation of the status of the
applicable law at such time.
Ownership or Beneficial Interest in the Funds
As of the date of this Prospectus, the Sponsor does not own any Shares of ProShares
VIX Mid-Term Futures ETF, the Natural Gas Funds,
the UltraShort Gold Fund, the UltraShort Silver Fund, the UltraShort Australian Dollar Fund, the Ultra Euro Fund, the
Short Euro Fund, the
UltraShort Euro Fund, the Ultra Yen Fund or the UltraShort Yen Fund. As of the date of this Prospectus, the principals of the Sponsor do not
own more than a de minimis amount of shares in any Fund.
Although the Sponsor and its trading principals (
i.e
., those principals that are responsible for or oversee the Funds' trading decisions) do
not
currently trade or hold commodity interests that could be held by the Funds for their own accounts as of the date of this Prospectus, the
Sponsor and its principals
reserve the right to trade commodity interests for their own accounts. Fund investors will not be permitted to inspect
the records of such person's trades or any
written policies related to such trading.
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Management; Voting by Shareholders
The shareholders of the Funds take no part in the management or control, and have no voice in the
Trust's operations or business.
The Sponsor has the right unilaterally to
amend the Trust Agreement as it applies to the Funds provided that the shareholders have the
right to vote only if expressly required under Delaware or federal law or
rules or regulations of the Exchange, or if submitted to the shareholders
by the Sponsor in its sole discretion. No amendment affecting the Trustee shall be binding upon
or effective against the Trustee unless consented
to by the Trustee in writing.
Recognition of the Trust and the Funds in Certain
States
A number of states do not have "statutory trust" statutes such as that under which the Trust has been formed in the State of Delaware. It is
possible, although unlikely, that a court in such a state could hold that, due to the absence of any statutory provision to the contrary in such
jurisdiction, the shareholders, although entitled under Delaware law to the same limitation on personal liability as stockholders in a private
corporation for profit organized under the laws of the State of Delaware, are not so entitled in such state.
Possible Repayment of Distributions Received by Shareholders
The Shares are limited liability investments; investors may not lose more than the amount that they invest plus any profits recognized on
their investment. However, shareholders of the Funds could be required, as a matter of bankruptcy law, to return to the estate of a Fund any
distribution they received at a time when such Fund was in fact insolvent or in violation of the Trust Agreement.
Shares Freely Transferable
The Shares of each Fund are listed for trading on the Exchange and provide institutional and retail investors with direct access to each
Fund. Each Fund's Shares may be bought and sold on the Exchange like any other exchange-listed security.
Book-Entry Form
Individual certificates will not be issued for the Shares. Instead, global certificates are deposited by the Trust with DTC and registered in
the name of Cede & Co., as nominee for DTC. The global certificates evidence all of the Shares outstanding at any time. Under the Trust
Agreement, shareholders are limited to (1) participants in DTC such as banks, brokers, dealers and trust companies ("DTC Participants"), (2)
those who maintain, either directly or indirectly, a custodial relationship with a DTC Participant ("Indirect Participants"), and (3) those banks,
brokers, dealers, trust companies and others who hold interests in the Shares through DTC Participants or Indirect Participants. The Shares are
only transferable through the book-entry system of DTC. Shareholders who are not DTC Participants may transfer their Shares through DTC by
instructing the DTC Participant holding their Shares (or by instructing the Indirect Participant or other entity through which their Shares are
held) to transfer the Shares. Transfers are made in accordance with standard securities industry practice.
Reports to Shareholders
The Sponsor will furnish an annual report of the Funds in the manner required by the rules and regulations of the SEC as well as any
reports required by the CFTC and the NFA, including, but not limited to, annual audited financial statements of the Funds examined and
certified by independent registered public accountants and any other reports required by any other governmental authority that has jurisdiction
over the activities of the Funds. Monthly account statements conforming to CFTC and NFA requirements are posted on the Sponsor's website at
www.ProShares.com. Shareholders of record will also be provided with appropriate information to permit them to file U.S. federal and state
income tax returns with respect to Shares held. Additional reports may be posted on the Sponsor's website at the discretion of the Sponsor or as
required by regulatory authorities.
The Sponsor will notify shareholders of any change in the fees paid by the Trust or of any material changes to the Funds by filing with the
SEC a supplement to this Prospectus and a Form 8-K, as applicable, which will be publicly available at www.sec.gov and at the Sponsor's
website at www.ProShares.com. Any such notification will include a description of shareholders' voting rights.
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Net Asset Value
("NAV")
The NAV in respect of a Fund means the total assets of that Fund including, but not limited to, all cash and cash equivalents or other debt
securities less total liabilities of such Fund, consistently applied under the accrual method of accounting. In particular, the NAV includes any
unrealized profit or loss on Financial Instruments, and any other credit or debit accruing to a Fund but unpaid or not received by a Fund. The
NAV per Share of a Fund is computed by dividing the value of the net assets of such Fund
(
i.e
., the value of its total assets less total liabilities)
by its total number of Shares outstanding. Expenses and fees are accrued daily and taken into account for purposes of determining the NAV.
Each Fund's NAV is calculated on each day other than a day when the Exchange is closed for regular trading. The Funds compute their NAV
only once each trading day as of the times set forth below (the "NAV Calculation Time"), or an earlier time as set forth on www.ProShares.com.
For example, a Fund may calculate its NAV as of an earlier time if the Exchange or other exchange material to the valuation or operation of such
Fund closes early.
Fund
NAV Calculation Time
ProShares VIX Mid-Term Futures ETF
4:00 p.m. (Eastern Time)
ProShares Ultra Bloomberg Natural Gas
2:30 p.m. (Eastern Time)
ProShares UltraShort Bloomberg Natural Gas
2:30 p.m. (Eastern Time)
ProShares UltraShort Silver
1:25 p.m. (Eastern Time)
ProShares UltraShort Gold
1:30 p.m. (Eastern Time)
ProShares UltraShort Australian Dollar
4:00 p.m. (Eastern Time)
ProShares Ultra Euro
4:00 p.m. (Eastern Time)
ProShares Short Euro
4:00 p.m. (Eastern Time)
ProShares UltraShort Euro
4:00 p.m. (Eastern Time)
ProShares Ultra Yen
4:00 p.m. (Eastern Time)
ProShares UltraShort Yen
4:00 p.m. (Eastern Time)
In calculating the NAV of a Fund, futures contracts traded on a U.S. exchange are valued at their then-current market value, which
typically is based upon the settlement price or the last traded price before the NAV time for that particular futures contract. The value of a
Fund's non-exchange traded Financial Instruments typically is determined by applying the then-current disseminated levels for the benchmark to
the terms of such Fund's non-exchange traded Financial Instruments. A swap counterparty may have the right to close out a Fund's position due
to the occurrence of certain events (for example, if the counterparty is unable to hedge its obligations to the Fund, or if the Fund defaults on
certain terms of the swap agreement, or if there is a material decline in the Fund's benchmark on a particular day) and request immediate
payment of amounts owed by the Fund under the agreement. If the level of a Fund's benchmark undergoes a dramatic intraday move, the terms
of the swap agreement may permit the counterparty to immediately close out a transaction with the Fund at a price determined in good faith by
the counterparty. Swap agreements terminated in this manner may be valued using factors and considerations known only to the counterparty at
the time of the swap's termination.
In certain circumstances (
e.g
., if the Sponsor believes market quotations do not accurately reflect the fair value of a Fund investment, or a
trading halt closes an exchange or market early), the Sponsor may, in its sole discretion, choose to determine a fair value price as the basis for
determining the market value of such investment. Such fair value prices would generally be determined based on available inputs about the
current value of the underlying Reference Assets and would be based on principles that the Sponsor deems fair and equitable.
The Funds may use a variety of money market instruments to invest excess cash. Money market
instruments used in this capacity
generally will be valued using market prices or at amortized cost.
Indicative Optimized Portfolio Value ("IOPV")
The IOPV is an indicator of the value of a Fund's net assets at the time the IOPV is disseminated. The IOPV is calculated and
disseminated every 15 seconds throughout the trading day. The IOPV is generally calculated using the prior day's closing net assets of a Fund as
a base and updating throughout the trading day changes in the value of the Financial Instruments held by a Fund. The IOPV should not be
viewed as an actual real time update of the NAV because NAV is calculated only once at the end of each trading day. The IOPV also should not
be viewed as a precise value of the Shares. Because the market price per Share may differ from the IOPV, the price at which an investor may be
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able to sell Shares at any time, and especially in times
of market volatility, may be significantly less than the IOPV at the time of sale. Neither
the Funds nor the Sponsor are liable for any errors in the calculation of IOPV
or any failure to disseminate IOPV.
The Exchange disseminates the IOPV. In addition,
the IOPV is published on the Exchange's website and is available through on-line
information services such as Bloomberg Finance L.P. and/or Reuters.
Termination Events
The Trust, or, as the case may be, a Fund, may be terminated at any time and for any reason by the Sponsor without advance notice to
the shareholders.
DISTRIBUTIONS
The Sponsor does not expect to make distributions. Depending on a Fund's performance and an investor's own tax situation, an investor's
income tax liability for his, her or its allocable share of such Fund's net ordinary income or loss and capital gain or loss may exceed the capital
gains an investor may realize from selling his, her or its Shares of such Fund in a taxable year.
THE ADMINISTRATOR
The Trust, on behalf of itself and on behalf of the Funds, has appointed BNYM as the Administrator of the Funds and BNYM has entered
into an administration and accounting agreement (the "Administration and Accounting Agreement") with the Trust (for itself and on behalf of
the Funds) in connection therewith. In addition, BNYM provides certain accounting services to the Funds pursuant to the Administration and
Accounting Agreement.
The Administrator's fees are paid on behalf of the Funds by the Sponsor.
Pursuant to the terms of the Administration and Accounting Agreement and under the supervision
and direction of the Sponsor, BNYM
prepares and files certain regulatory filings on behalf of the Funds. BNYM may also perform other services for the Funds pursuant to the
Administration and Accounting Agreement as mutually agreed to from time to time.
The Administrator and any of its affiliates may from time to time purchase or sell Shares for their own account, as agent for their
customers and for accounts over which they exercise investment discretion.
The Sponsor, on behalf of the Funds, is expected to retain the services of one or more additional service providers to assist with certain
tax reporting requirements of the Funds and their shareholders.
BNYM is authorized to conduct a commercial banking business in accordance with the provisions of New York State Banking Law, and
is subject to regulation, supervision, and examination by the New York State Department of Financial Services and the Board of Governors of
the Federal Reserve System.
THE CUSTODIAN
BNYM serves as the Custodian of the Funds and has entered into a custody agreement (the "Custody Agreement") with the Trust (for
itself and on behalf of the Funds) in connection therewith. Pursuant to the terms of the Custody Agreement, BNYM is responsible for the
holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions
delivered to BNYM by the Funds. The Custodian's fees are paid on behalf of the Funds by the Sponsor.
THE TRANSFER AGENT
BNYM serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a
transfer agency and service
agreement (the "Transfer Agency and Service Agreement"). Pursuant to the terms of the Transfer Agency and Service Agreement, BNYM
is
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responsible for processing purchase and redemption orders and maintaining records of the ownership of the Funds. The Transfer
Agent fees are
paid on behalf of the Funds by the Sponsor.
THE DISTRIBUTOR
SEI serves as the Distributor of the Funds and assists the Sponsor and the Administrator with functions and duties relating to distribution
and marketing, which include the following: taking creation and redemption orders, and consulting with the marketing staff of the Sponsor and
its affiliates with respect to compliance matters in connection with marketing efforts.
SEI retains all marketing materials separately for the Funds, at the offices of SEI, One Freedom Valley Drive, Oaks, Pennsylvania 19456;
and its telephone number is (610) 676-1000.
The Sponsor pays SEI for performing its duties on behalf of the Funds.
Description of SEI
SEI is a wholly owned subsidiary of SEI Investments Company, which is a public company and a global provider of investment
processing, fund processing, and investment management business outsourcing solutions.
THE SECURITIES DEPOSITORY; BOOK-ENTRY ONLY SYSTEM; GLOBAL SECURITY
DTC acts as securities depository for the Shares. DTC is a limited purpose trust company organized under the laws of the State of New
York, a member of the Federal Reserve System, a "clearing corporation" within the meaning of the New York Uniform Commercial Code, and a
"clearing agency" registered pursuant to the provisions of section 17A of the 1934 Act. DTC was created to hold securities of DTC Participants
and to facilitate the clearance and settlement of transactions in such securities among the DTC Participants through electronic book-entry
changes. This eliminates the need for physical movement of securities certificates. DTC Participants include securities brokers and dealers,
banks, trust companies, clearing corporations and certain other organizations, some of whom (and/or their representatives) own DTC. Access to
the DTC system is also available to others such as banks, brokers, dealers and trust companies that clear through or maintain a custodial
relationship with a DTC Participant, either directly or indirectly. DTC has agreed to administer its book-entry system in accordance with its rules
and bylaws and the requirements of law.
Individual certificates will not be issued for the Shares. Instead, global certificates are signed by the Sponsor on behalf of the Funds,
registered in the name of Cede & Co., as nominee for DTC, and deposited with the Trust on behalf of DTC. The global certificates evidence all
of the Shares of the Funds outstanding at any time. The representations, undertakings and agreements made on the part of the Funds in the global
certificates are made and intended for the purpose of binding only the Funds and not the Trustee or the Sponsor individually.
Upon the settlement date of any creation, transfer or redemption of Shares, DTC credits or
debits, on its book-entry registration and
transfer system, the amount of the Shares so created, transferred or redeemed to the accounts of the appropriate DTC
Participants. The Sponsor
and the Authorized Participants designate the accounts to be credited and charged in the case of creation or redemption of Shares.
Beneficial ownership of the Shares is limited to DTC Participants, Indirect Participants and
persons holding interests through DTC
Participants and Indirect Participants. Owners of beneficial interests in the Shares are shown on, and the transfer of ownership is
effected only
through, records maintained by DTC (with respect to DTC Participants), the records of DTC Participants (with respect to Indirect Participants)
and the records of Indirect Participants (with respect to shareholders that are not DTC Participants or Indirect Participants). Shareholders are
expected to receive from or through the DTC Participant maintaining the account through which the shareholder has purchased their Shares a
written confirmation relating to such purchase.
Shareholders that are not DTC Participants may transfer the Shares through DTC by instructing the DTC Participant or Indirect
Participant through which the shareholders hold their Shares to transfer the Shares. Shareholders that are DTC Participants may transfer the
Shares by instructing DTC in accordance with the rules of DTC. Transfers are made in accordance with standard securities industry practice.
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DTC may decide to discontinue providing
its service with respect to Creation Units and/or the Shares of the Funds by giving notice to the
Trust and the Sponsor. Under such circumstances, the Sponsor will either
find a replacement for DTC to perform its functions at a comparable
cost or, if a replacement is unavailable, terminate the Funds.
The rights of the shareholders generally must be exercised by DTC Participants acting on their
behalf in accordance with the rules and
procedures of DTC. Because the Shares can only be held in book-entry form through DTC and DTC Participants, investors must rely on
DTC,
DTC Participants and any other financial intermediary through which they hold the Shares to receive the benefits and exercise the rights
described in this section. Investors should consult with their broker or financial institution to find out about procedures and requirements for
securities held in book-entry form through DTC.
Any participant of the Euroclear System that holds shares of a Fund in the Euroclear System will be deemed to have represented to and
agreed with the applicable Fund and Euroclear Bank as a condition to such Fund shares being in the Euroclear System to furnish to the Euroclear
Bank (a) its tax identification number, (b) notice of whether it is (i) a person who is not a United States person, (ii) a foreign government, an
international organization or any wholly owned agency or instrumentality of either of the foregoing or (iii) a tax exempt identity, and (c) such
other information as the Euroclear Bank may request from time to time in order to comply with its United States tax reporting obligations. If a
participant in the Euroclear System fails to provide such information, Euroclear Bank may, amongst other courses of action, block trades in such
Fund shares and related income distributions of such participant.
SHARE SPLITS OR REVERSE SPLITS
If the Sponsor believes that the per Share price of a Fund in the secondary market has fallen outside a desirable trading price range, the
Sponsor may direct the Trust to declare a split or reverse split in the number of Shares outstanding and, if necessary in the Sponsor's opinion, to
make a corresponding change in the number of Shares of a Fund constituting a Creation Unit.
CONFLICTS OF INTEREST
Sponsor
In the course of providing services, the Sponsor may simultaneously recommend the sale of a
particular investment position for one
account while recommending the purchase of the same investment position for another account if such recommendations are consistent
with
each client's investment strategies. The Sponsor also may recommend the purchase or sale of investment positions that may also be
recommended by ProShare Advisors LLC and/or ProFund Advisors LLC, affiliates of the Sponsor.
The Sponsor, its principals, officers and employees (and members of their families) and affiliates may participate directly or indirectly as
investors in the Sponsor's clients, such as the Funds. Thus, the Sponsor may recommend to clients the purchase or sale of investment positions
in which it, or its officers, employees or related persons have a financial interest. The Sponsor may give advice and take actions in the
performance of its duties to its clients that differ from the advice given or the timing and nature of actions taken, with respect to other clients'
accounts and/or employees' accounts that may invest in some of the same investment positions recommended to clients.
In addition, the Sponsor, its affiliates and principals may trade for their own accounts.
Consequently, non-customer and proprietary trades
may be executed and cleared through any FCM or prime broker utilized by clients. It is possible that the Sponsor,
including its officers and
employees may buy or sell investment positions or other instruments that the Sponsor has recommended to, or purchased for, its clients and may
engage in transactions for their own accounts in a manner that is inconsistent with the Sponsor's recommendations to a client. Personal
transactions by the Sponsor, including its officers and employees, may raise potential conflicts of interest when such persons trade in an
investment position that is owned by, or considered for purchase or sale for, a client, including conflicts that would arise if such proprietary
accounts were to trade ahead of client accounts, place trades that are opposite to the trades of client accounts (such as the Funds), or receive
preferential treatment in terms of allocation of resources or of investment opportunities. The Sponsor has adopted policies and procedures
designed to detect and prevent such conflicts of interest and, when they do arise, to ensure that it effects transactions for clients in a manner that
is consistent with any fiduciary duty owed by the Sponsor to its clients and in accordance with applicable law.
FCMs
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An FCM or its affiliates may own stock in, or have some other form of ownership interest in, one or more U.S. or foreign exchanges or
swap execution facilities (each, a "Trading Facility") or CFTC-registered derivatives clearinghouses (each, a "Clearinghouse") where the Funds'
transactions in futures, options on futures, swaps (as defined in the CEA), forwards or other commodity derivatives ("Contracts") may be
executed and/or cleared. As a result, an FCM or its affiliates may receive financial or other benefits related to its ownership interest when
Contracts are executed on a given Trading Facility or cleared through a given Clearinghouse, and the FCM would, in such circumstances, have
an incentive to cause Contracts to be executed on that Trading Facility or cleared by that Clearinghouse. In addition, employees and officers of
an FCM or its affiliates may also serve on the board of directors or on one or more committees of a Trading Facility or Clearinghouse.
In addition, Trading Facilities and Clearinghouses may from time to time have in place other
arrangements that provide their members or
participants with volume, market-making or other discounts or credits, may call for members or participants to pre-pay fees
based on volume
thresholds, or may provide other incentive or arrangements that are intended to encourage market participants to trade on or direct trades to that
Trading Facility or Clearinghouse. An FCM or its affiliates may participate in and obtain financial benefits from such incentive programs.
When providing execution services to the Funds (either in conjunction with clearing services or
in an execution-only capacity), an FCM
may direct orders to affiliated or unaffiliated market-makers, other executing firms, individual brokers or brokerage groups for
execution. When
such affiliated or unaffiliated parties are used, they may, where permitted, agree to price concessions, volume discounts or refunds, rebates or
similar payments in return for receiving such business. Likewise, where permitted by law and the rules of the applicable Trading Facility, an
FCM may solicit a counterparty to trade opposite your order or enter into transactions for its own account or the account of other counterparties
that may, at times, be adverse to your interests in a Contract. In such circumstances, that counterparty may make payments and/or pay a
commission to the FCM in connection with that transaction. The results of the Funds' transactions may differ from the results achieved by the
FCM for its own account, its affiliates, or for other customers.
In addition, where permitted by applicable law (including, where applicable, the rules of the applicable Trading Facility), an FCM, its
directors, officers, employees and affiliates may act on the other side of a Fund's order or transaction by the purchase or sale for an account, or
the execution of a transaction with a counterparty, in which the FCM or a person affiliated with the FCM has a direct or indirect interest, or may
effect any such order with a counterparty that provides the FCM or its affiliates with discounts related to fees for Contracts or other products. In
cases where an FCM has offered a Fund a discounted commission or clearing fee for Contracts executed through the FCM as agent or with the
FCM or its affiliate acting as counterparty, the FCM or its affiliates may be doing so because of the enhanced profit potential resulting from
acting as executing broker or counterparty.
An FCM or its affiliates may act as, among other things, an investor, research provider, placement agent, underwriter, distributor,
remarketing agent, structurer, securitizer, lender, investment manager, investment adviser, commodity trading advisor, municipal advisor,
market maker, trader, prime broker or clearing broker. In those and other capacities, an FCM, its directors, officers, employees and affiliates
may take or hold positions in, or advise other customers and counterparties concerning, or publish research or express a view with respect to, a
Contract or with a related financial instrument that may not be consistent with, or may be contrary to, the Funds' interests. Unless otherwise
disclosed in writing, an FCM is not necessarily acting in the Funds' best interest and are not assessing the suitability for the Fund' of any
Contract or related financial instrument. Acting in one or more of the capacities noted above may give an FCM or its affiliates access to
information relating to markets, investments and products. An FCM and its affiliates are under no duty to make any such information available
to the Sponsor, except to the extent the FCM has agreed in writing or as may be required under applicable law.
MATERIAL CONTRACTS
Administration and Accounting Agreement
BNYM serves as the Funds' Administrator pursuant to the terms of the Administration and Accounting Agreement between the Trust, on
behalf of itself and on behalf of the Funds, and the Administrator. The Administrator performs or supervises the performance of services
necessary for the operation and administration of the Funds (other than making investment decisions or providing services provided by other
service providers), including the NAV calculations, accounting and other fund administrative services.
The Administration and Accounting Agreement has an initial term of three years and, after the initial term, will continue in effect for
additional one-year terms unless earlier terminated. Notwithstanding the foregoing, beginning in the second year of the Administration and
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Accounting Agreement, the Trust may terminate the
Administration and Accounting Agreement on at least ninety (90) days' prior written notice
to the Administrator, and either party may terminate the Administration
and Accounting Agreement at any time upon thirty (30) days' prior
written notice to the other party if the other party is adjudged bankrupt or insolvent, or there
shall be commenced against such party a case under
any applicable bankruptcy, insolvency or other similar law. In its capacity as Administrator, BNYM is indemnified under
the Administration and
Accounting Agreement.
Transfer Agency and Service Agreement
BNYM serves as the Funds' Transfer Agent. Pursuant to the Transfer Agency and Service
Agreement among the Trust, on behalf of itself
and on behalf of the Funds, and the Transfer Agent, the Transfer Agent serves as the Funds' transfer agent and agent
in connection with certain
other activities as provided under the Transfer Agency and Service Agreement. Under the Transfer Agency and Service Agreement, the Transfer
Agent's services include, among other things, assisting the Funds with the issuance and redemption of Creation Units to and from Authorized
Participants, recording the issuance of Creation Units and maintaining a record of the total number of Creation Units that are authorized, issued
and outstanding based upon data provided to the Transfer Agent by the Funds or the Sponsor.
The Transfer Agency and Service Agreement has an initial term of three years and, after the initial term, will continue in effect for
additional one-year terms unless earlier terminated. Notwithstanding the foregoing, beginning in the second year of the Transfer Agency and
Service Agreement, the Trust may terminate the Transfer Agency and Service Agreement on at least ninety (90) days' prior written notice to the
Transfer Agent, and either party may terminate the Transfer Agency and Service Agreement at any time upon thirty (30) days' prior written
notice to the other party if the other party is adjudged bankrupt or insolvent, or there shall be commenced against such party a case under any
applicable bankruptcy, insolvency or other similar law. In its capacity as Transfer Agent, BNYM is indemnified under the Transfer Agency and
Service Agreement.
Custody Agreement
BNYM serves as the Funds' Custodian. Pursuant to the Custody Agreement between the Trust, on its own behalf and on behalf of the
Funds, and the Custodian, the Custodian serves as custodian of all securities and cash at any time delivered to the Custodian by the Funds during
the term of the Custody Agreement and has authorized the Custodian to hold its securities in its name or the names of its nominees. Pursuant to
the terms of the Custody Agreement, the Custodian may deposit and/or maintain the investment assets of the Funds in a securities depository
and may appoint a subcustodian to hold investment assets of the Funds. The Custodian establishes and maintains one or more securities accounts
and cash accounts for the Funds pursuant to the Custody Agreement. The Custodian maintains separate and distinct books and records
segregating the assets of the Funds.
The Custody Agreement has an initial term of three years and, after the initial term, will continue in effect for additional one-year terms
unless earlier terminated. Notwithstanding the foregoing, beginning in the second year of the Custody Agreement, the Trust may terminate the
Custody Agreement on at least ninety (90) days' prior written notice to the Custodian, and either party may terminate the Custody Agreement at
any time upon thirty (30) days' prior written notice to the other party if the other party is adjudged bankrupt or insolvent, or there shall be
commenced against such party a case under any applicable bankruptcy, insolvency or other similar law.
Upon termination of the Custody Agreement, the parties agree to cooperate in the execution of documents and performance of other
actions necessary or desirable in order to facilitate the succession of a new custodian. Upon the date set forth in such notice, the Custodian shall
deliver directly to the successor custodian all Funds' assets. In its capacity as Custodian, BNYM is indemnified under the Custody Agreement.
Distribution Agreement
Pursuant to the Distribution Agreement between the Trust and SEI, SEI assists the Sponsor and the Administrator with certain functions
and duties relating to distribution and marketing of Shares including reviewing and approving marketing materials.
The Distribution Agreement became effective on the date of the offering of the Shares of the
Funds and the Distribution Agreement will
continue until December 19, 2014, continuing automatically for successive periods of three years. The Distribution Agreement may
be
terminated by either party at the end of the initial term or the end of any renewal term on ninety (90) days' prior written notice. Notwithstanding
the foregoing, either party may terminate the Distribution Agreement in the event of a material breach of the agreement by the other party, upon
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forty-five (45) days' prior written notice, if
such breach is not cured. The Distribution Agreement will automatically terminate in the event of a
termination of the Trust.
PURCHASES BY EMPLOYEE BENEFIT PLANS
General
The following section sets forth certain consequences under the Employee Retirement Income Security Act of 1974, as amended
("ERISA") and the Code, which a fiduciary of an "employee benefit plan" as defined in and subject to ERISA or of a "plan" as defined in and
subject to Section 4975 of the Code who has investment discretion should consider before deciding to invest the plan's assets in a Fund (such
"employee benefit plans" and "plans" being referred to herein as "Plans," and such fiduciaries with investment discretion being referred to
herein as "Plan Fiduciaries"). The following summary is not intended to be complete, but only to address certain questions under ERISA and the
Code which are likely to be raised by the Plan Fiduciary's own counsel.
In general, the terms "employee benefit plan" as defined in and subject to Title I of ERISA and "plan" as defined in and subject to
Section 4975 of the Code together refer to any plan or account of various types which provide retirement benefits or welfare benefits to an
individual or to an employer's employees and their beneficiaries. Such plans and accounts include, but are not limited to, corporate pension and
profit-sharing plans, "simplified employee pension plans," plans for self-employed individuals (including partners), individual retirement
accounts described in Section 408 of the Code and medical plans.
Each Plan Fiduciary must give appropriate consideration to the facts and circumstances that are relevant to an investment in a Fund,
which may include, among other things, the role that such an investment would play in the Plan's overall investment portfolio. Each Plan
Fiduciary, before deciding to invest in a Fund, must be satisfied that such investment is prudent for the Plan; that the investments of the Plan,
including the investment in a Fund, are diversified so as to minimize the risk of large losses to the extent required by ERISA or other applicable
law; that an investment in a Fund complies with the Plan documents; and that the purchase will not result in any non-exempt prohibited
transaction under ERISA or Section 4975 of the Code.
EACH PLAN FIDUCIARY CONSIDERING ACQUIRING SHARES ON BEHALF OF A PLAN MUST CONSULT WITH ITS OWN
LEGAL AND TAX ADVISORS BEFORE DOING SO. AN INVESTMENT IN A FUND IS SPECULATIVE AND INVOLVES A HIGH
DEGREE
OF RISK. NONE OF THE FUNDS IS INTENDED AS A COMPLETE INVESTMENT PROGRAM.
"Plan Assets"
ERISA and a regulation issued thereunder by the U.S. Department of Labor contain rules for determining when an investment by a Plan
in an equity interest of an entity will result in the underlying assets of such entity being considered to constitute assets of the Plan for purposes of
ERISA and Section 4975 of the Code (
i.e
., "plan assets"). Those rules provide that assets of an entity will not be considered assets of a Plan
which purchases an equity interest in the entity if one or more exceptions apply, including (1) an exception applicable if the equity interest
purchased is a "publicly offered security" (the "Publicly Offered Security Exception"), and (2) an exception applicable if equity interests
purchased by a plan are not "significant."
The Publicly Offered Security Exception applies if the equity interest is a security that is (1) "freely transferable," (2) part of a class of
securities that is "widely held," and (3) either (a) part of a class of securities registered under Section 12(b) or 12(g) of the 1934 Act, or (b) sold
to the Plan as part of a public offering pursuant to an effective registration statement under the 1933 Act and the class of which such security is a
part is registered under the 1934 Act within 120 days (or such later time as may be allowed by the SEC) after the end of the fiscal year of the
issuer in which the offering of such security occurred.
The Trust expects that the Publicly Offered Security Exception should apply with respect to the Shares of each Fund.
Ineligible Purchasers
Among other considerations, Shares generally may not be purchased with the assets of a Plan if the Sponsor, the FCMs or any of their
respective affiliates, any of their respective employees or any employees of their respective affiliates: (1) has investment discretion with respect
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to the investment of such plan assets; (2) has authority
or responsibility to give or regularly gives investment advice with respect to such plan
assets, for a fee, and pursuant to an agreement or understanding that such advice
will serve as a primary basis for investment decisions with
respect to such plan assets and that such advice will be based on the particular investment needs of the Plan;
or (3) is an employer maintaining or
contributing to such Plan. A party that is described in clause (1) or (2) of the preceding sentence would be a fiduciary under ERISA
and/or the
Code (as applicable) with respect to the Plan, and unless an exemption applies, any such purchase might result in a "prohibited transaction"
under ERISA and the Code.
Governmental, Church and Non-US Plans
While U.S. Federal, state and local governmental plans, non-U.S. plans, and so-called
"non-electing" church plans are not subject to
ERISA or Section 4975 of the Code, the laws applicable to these plans may contain fiduciary and prohibited
transaction requirements similar to
those under ERISA and the Code. Accordingly, fiduciaries of such plans, in consultation with their advisers, should consider the impact
of their
respective laws and regulations on an investment in a Fund and the considerations discussed above, if applicable.
Form 5500 Reporting Requirements
Plan Fiduciaries of ERISA Plans are required to file Form 5500 annual returns/reports with the
U.S. Department of Labor and the
U.S. Internal Revenue Service that set forth the current value and other information with respect to the assets of such ERISA Plans. The
Sponsor
believes that the annual reports of the Funds will provide sufficient information to permit Plan Fiduciaries to provide an annual valuation of Plan
investments as required for this purpose; however, fiduciaries should note that they have the ultimate responsibility for providing such valuation.
Certain ERISA Plans may further be required to report certain compensation paid by the Funds (or by third parties) to the Funds' service
providers as "indirect compensation" on Schedule C to Form 5500. To the extent any compensation arrangements described herein constitute
indirect compensation that meets the definition of "eligible indirect compensation," as defined in the Instructions for Schedule C to Form 5500,
the descriptions herein of those compensation arrangements are intended to satisfy the alternative reporting option for "eligible indirect
compensation" under such Instructions.
Except as otherwise set forth, the foregoing statements regarding the consequences under ERISA and the Code of an investment in Shares
of the Funds are based on the provisions of ERISA and the Code as currently in effect, and the existing administrative and judicial interpretations
thereunder. No assurance can be given that administrative, judicial or legislative changes will not occur that will not make the foregoing
statements incorrect or incomplete.
ACCEPTANCE OF INVESTMENTS ON BEHALF OF PLANS IS IN NO RESPECT A REPRESENTATION BY THE SPONSOR OR
ANY OTHER PARTY RELATED TO THE FUNDS THAT AN INVESTMENT IN A FUND MEETS THE RELEVANT LEGAL
REQUIREMENTS
WITH RESPECT TO INVESTMENTS BY ANY PARTICULAR PLAN OR THAT SUCH AN INVESTMENT IS
APPROPRIATE FOR ANY PARTICULAR PLAN. THE PERSON WITH INVESTMENT DISCRETION SHOULD CONSULT
WITH HIS
OR HER ATTORNEY AND FINANCIAL ADVISORS AS TO THE PROPRIETY OF AN INVESTMENT IN SHARES IN LIGHT OF THE
CIRCUMSTANCES OF THE PARTICULAR PLAN AND CURRENT TAX LAW.
PLAN OF DISTRIBUTION
Buying and Selling Shares
Most investors buy and sell Shares in secondary market transactions through brokers. Shares of
the Funds trade on the Exchange under
the ticker symbols listed in this Prospectus. Shares are bought and sold throughout the trading day like other publicly traded
securities. When
buying or selling Shares through a broker, most investors incur customary brokerage commissions and charges.
Authorized Participants
The Funds continuously offer Shares in Creation Units to Authorized Participants. Shares of the Funds are to be offered to Authorized
Participants in Creation Units at each Fund's respective NAV.
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Authorized Participants may offer to the public, from time to time, Shares of a Fund from any Creation Units
they create. Shares of a
Fund offered to the public by Authorized Participants are offered at a per Share market price that varies depending on, among other factors, the
trading price of the Shares of each Fund on its Exchange, the NAV per Share and the supply of and demand for the Shares at the time of the
offer. Shares initially comprising the same Creation Unit but offered by Authorized Participants to the public at different times may have
different offering prices. Additionally, the price at which an Authorized Participant sells a Share may be higher or lower than the price paid by
such Authorized Participant in connection with the creation of such Share in a Creation Unit. Authorized Participants do not receive from any
Fund, the Sponsor or any of their affiliates, any fee or other compensation in connection with their sale of Shares to the public, although
investors are expected to be charged a customary commission by their brokers in connection with the purchase and sale of Shares that varies
from investor to investor. Investors are encouraged to review the terms of their brokerage accounts for applicable charges.
As of the date of this Prospectus, ABN AMRO Clearing Chicago LLC, Barclays Capital Inc.,
BofA/Merrill Lynch Professional Clearing,
BNP Paribas Securities Corp., Citigroup Global Markets, Inc., Citadel Securities LLC, Cowen, Credit Suisse Securities (USA) LLC,
Deutsche
Bank Securities Inc., Goldman, Sachs & Co., Jane Street Capital, LLC, Jefferies LLC, J.P. Morgan Securities Inc., Mizuho Securities USA Inc.,
RBC Capital Markets, LLC, SG Americas Securities, LLC, Timber Hill LLC-Interactive Brokers, UBS Securities LLC, Virtu Financial BD LLC
and Wedbush Morgan Securities, Inc. have each executed an Authorized Participant Agreement and are the only Authorized Participants.
Likelihood of Becoming a Statutory Underwriter
Each Fund issues Shares in Creation Units to Authorized Participants from time to time generally in exchange for cash. Because new
Shares can be created and issued on an ongoing basis at any point during the life of each Fund, a "distribution," as such term is used in the 1933
Act, will be occurring. An Authorized Participant, other broker-dealer firm or its client could be deemed a statutory underwriter, and thus would
be subject to the prospectus delivery and liability provisions of the 1933 Act, if it purchased a Creation Unit from each Fund, broke the Creation
Unit down into the constituent Shares and sold the Shares to its customers; or if it chose to couple the creation of a supply of new Shares with an
active selling effort involving solicitation of secondary market demand for the Shares. A determination of whether one is an underwriter must
take into account all the facts and circumstances pertaining to the activities of the broker-dealer or its client in the particular case, and the
examples mentioned above should not be considered a complete description of all the activities that would lead to categorization as an
underwriter. Authorized Participants, other broker-dealers and other persons are cautioned that some of their activities may result in their being
deemed participants in a distribution in a manner which would render them statutory underwriters and subject them to the prospectus delivery
and liability provisions of the 1933 Act.
Dealers who are neither Authorized Participants nor "underwriters" but are participating in a distribution (as contrasted to ordinary
secondary trading transactions), and thus dealing with Shares that are part of an "unsold allotment" within the meaning of section 4(3)(C) of the
1933 Act, would be unable to take advantage of the prospectus delivery exemption provided by section 4(3) of the 1933 Act.
General
Retail investors may purchase and sell Shares through traditional brokerage accounts. Investors who purchase Shares through a
commission/fee based brokerage account may pay commissions/fees charged by the brokerage account. Investors are encouraged to review the
terms of their brokerage accounts for applicable charges.
The offering of Creation Units is being made in compliance with FINRA Rule 2310. Accordingly, the Authorized Participants may not
make any sales to any account over which they have discretionary authority without the prior written approval of a purchaser of Shares. In any
event, the maximum amount of all items of value, including compensation paid from the offering proceeds and in the form of "trail
commissions," to be paid to FINRA members, including to SEI and PDI, in connection with the offering of the Shares by a Fund will not exceed
10% of gross offering proceeds.
LEGAL MATTERS
Morgan, Lewis & Bockius LLP has advised the Sponsor in connection with the Shares being offered. Morgan, Lewis & Bockius LLP also
advises the Sponsor with respect to its responsibilities as sponsor of, and with respect to matters relating to, the Trust and the Funds. Morgan,
Lewis & Bockius LLP has prepared the sections "Material U.S. Federal Income Tax Considerations" with respect to U.S. federal income tax
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laws and "Purchases By Employee Benefit
Plans" with respect to ERISA. Morgan, Lewis & Bockius LLP has not represented, nor will it
represent, the Trust, the Funds or the shareholders in matters
relating to the Trust or the Funds and no other counsel has been engaged to act on
their behalf.
Richards, Layton & Finger, P.A. has represented the Trust in connection with the legality of
the Shares being offered hereby.
Certain opinions of counsel have been filed with
the SEC as exhibits to the Registration Statement of which this Prospectus is a part.
EXPERTS
The combined financial statements of ProShares Trust II, the individual financial statements of each of the funds comprising ProShares
Trust II, management's assessment of the effectiveness of internal control over financial reporting of ProShares Trust II, and management's
assessment of the effectiveness of internal control over financial reporting of each of the individual funds comprising ProShares Trust II (which
are included in Management's Report on Internal Control over Financial Reporting) incorporated in this Prospectus by reference to the Annual
Report on Form 10-K for the year ended December 31, 2020 have been so incorporated in reliance on the report of
PricewaterhouseCoopers LLP, an independent registered public accounting firm, given on the authority of said firm as experts in auditing
and accounting.
WHERE INVESTORS CAN FIND MORE INFORMATION
The Trust has filed a Registration Statement on Form S-1 with the SEC under the 1933 Act. This Prospectus constitutes part of the
Registration Statement filed by the Trust for itself and on behalf of each Fund. Additionally, as further discussed under "Incorporation by
Reference of Certain Documents," we have incorporated by reference certain historical information. This Prospectus does not contain all of the
information set forth in such Registration Statement, certain portions of which have been omitted pursuant to the rules and regulations of the
SEC, including, without limitation, certain exhibits thereto (for example, the form of the Authorized Participant Agreement).
The descriptions contained herein of agreements included as exhibits to the Registration
Statement are necessarily summaries and may
not be complete; the exhibits themselves may be inspected without charge at the Public Reference Room maintained by the SEC at
100 F Street,
NE, Washington, DC 20549, and copies of all or part thereof may be obtained from the SEC upon payment of the prescribed fees. Investors may
obtain information on the operation of the Public Reference Room by calling the SEC at 1-800-SEC-0330. The SEC maintains a website that
contains reports, proxy and information statements and other information regarding registrants that file electronically with the SEC. The address
of such site is www.sec.gov.
RECENT FINANCIAL INFORMATION AND ANNUAL REPORTS
You should read the financial statements and the notes to those financial statements in the Trust's Annual Report on Form 10-K for the
year ended December 31, 2020, along with any amendments thereto, which have been incorporated by reference into this Prospectus and,
subsequent to the date of this Prospectus, future filings with the SEC will be automatically deemed incorporated into this Prospectus, including
subsequent financial statements, data and related notes with respect to all of the Funds. Please refer to the section entitled "Incorporation by
Reference of Certain Documents" in Part Two of this Prospectus.
The Sponsor will furnish an annual report of the Funds in the manner required by the rules and regulations of the SEC as well as with
those reports required by the CFTC and the NFA, including, but not limited to, annual audited financial statements of the Funds examined and
certified by independent registered public accountants and any other reports required by any other governmental authority that has jurisdiction
over the activities of the Funds. Monthly account statements conforming to CFTC and NFA requirements, as well as the current annual and
quarterly reports and other filings made with the SEC, are posted on the Sponsor's website at www.ProShares.com. Shareholders of record will
also be provided with appropriate information to permit them to file U.S. federal and state income tax returns with respect to Shares held.
Additional reports may be posted on the Sponsor's website at the discretion of the Sponsor or as required by regulatory authorities.
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PRIVACY
POLICY
The Trust's Commitment to Investors
The Sponsor and the Trust are committed to respecting the privacy of personal information investors entrust to the Trust in the course of
doing business.
The Information the Trust Collects About Investors
The Sponsor, on behalf of the Trust, collects non-public personal information from various sources. For instance, forms may include
names, addresses, and social security numbers. The Funds receive information from transactions in investors' accounts, including account
balances, and from correspondence between investors and the Funds or third parties, such as the Funds' service providers. The Sponsor, on
behalf of the Funds, uses such information provided by investors or their representative to process transactions, to respond to inquiries from
investors, to deliver reports, products, and services, and to fulfill legal and regulatory requirements.
How the Trust Handles Investors' Personal Information
The Sponsor does not disclose any non-public personal information about investors to anyone unless permitted by law or approved by the
affected investor. The Sponsor may share information about investors with certain third parties who are not affiliated with the Trust to process or
service a transaction that investors have requested or as permitted by law. For example, sharing information with non-affiliated third parties that
maintain or service investors' accounts for the Funds is essential.
The Sponsor may also share information with companies that perform administrative or marketing services for the Funds including
research firms. When the Funds enter into such a relationship, such third parties' use of customer's information is restricted and they are
prohibited from sharing it or using it for any purposes other than those for which they were hired. The Sponsor also requires service providers to
maintain physical, electronic and procedural safeguards that comply with federal standards to guard investors' non-public personal information.
How the Trust Safeguards Investors' Personal Information
The Sponsor maintains physical, electronic, and procedural safeguards to protect investors' personal information. Within the Funds,
access to personal information is restricted to those employees who require access to that information in order to provide products or services to
customers such as processing transactions and handling inquiries. Use of customer information is restricted and customer information is required
to be held in strict confidence.
The Sponsor will adhere to the policies and practices described in this notice for both current and former customers of the Funds.
INCORPORATION BY REFERENCE OF CERTAIN DOCUMENTS
The SEC allows the Trust to "incorporate by reference" into this Prospectus certain
information that the Trust files with the SEC, meaning
it can disclose important information to an investor by referring to those documents on file with the
SEC.
The information that the Trust incorporates by reference is an important part
of this Prospectus and later information that we will file with
the SEC will automatically update and supersede some of this information. We incorporate by reference any
future filings we make with the
SEC pursuant to Section 13(a), 13(c), 14 or 15(d) of the 1934 Act. The Trust also incorporates by reference the documents listed
below:
•
The Trust's Annual Report on Form 10-K for the year ended December 31, 2020; and
•
The Trust's Quarterly Report on Form 10-Q for the quarterly
period ended March 31, 2021;
•
The Trust's current report on Form 8-K filed on May 11, 2021;
•
The Trust's Quarterly Report on Form 10-Q for the quarterly
period ended June 30, 2021;
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•
The Trust's Quarterly Report on Form 10-Q for the quarterly
period ended September 30, 2021;
•
The Trust's current report on Form 8-K filed on December 23, 2021;
•
All other reports filed pursuant to Section 13(a) or 15(d) of the 1934 Act since December 31, 2020, including all information
filed on Form 8-K other than Furnished Information (as defined below).
The Trust may furnish to the SEC certain material non-public information, including (i) information regarding its results of operations or
financial condition for a completed quarterly or annual fiscal period under Item 2.02 of Form 8-K, (ii) in order to comply with SEC Regulation
FD prohibiting selective disclosure of material information under Item 7.01 of Form 8-K, and (iii) any other information that may be permitted
in the future to be furnished as a result of changes in SEC regulations (all such information, together with any exhibits filed on Form 8-K that
are related to such disclosure, "Furnished Information"). Furnished Information is not incorporated herein by reference unless we expressly
state otherwise.
Any statement contained in a document that is incorporated by reference will be modified or
superseded for all purposes to the extent that
a statement contained in this Prospectus (or in any other document that is subsequently filed with the SEC and incorporated
by reference)
modifies or is contrary to that previous statement. Any statement so modified or superseded will not be deemed a part of this Prospectus except
as so modified or superseded.
The Trust also incorporates by reference any future filings, other than Furnished Information unless we expressly state otherwise, made
with the SEC pursuant to Sections 13(a), 13(c), 14 or 15(d) of the 1934 Act, in each case, other than those documents or the portions of those
documents deemed to be furnished and not filed in accordance with SEC rules, until the offering of the securities under the registration statement
of which this Prospectus forms a part is terminated or completed. Information in such future filings updates and supplements the information
provided in this Prospectus. Any statements in any such future filings will be deemed to modify and supersede any information in any document
we previously filed with the SEC that is incorporated or deemed to be incorporated herein by reference to the extent that statements in the later
filed document modify or replace such earlier statements.
Because the Trust is incorporating by reference future filings with the SEC, this Prospectus is continually updated and later information
filed with the SEC may update and supersede some of the information included or incorporated by reference in this Prospectus. This means that
you must look at all of the SEC filings that we incorporate by reference to determine if any of the statements in this Prospectus or in any
document previously incorporated by reference have been modified or superseded.
The Trust will provide to you a copy of the filings that have been incorporated by reference in this Prospectus upon your request, at no
cost. In addition, the Trust will also provide you with information regarding the other series of the Trust upon your request, at no cost. Any
request may be made by writing or calling at the following address or telephone number:
ProShares Trust II
c/o ProShare Capital Management
LLC
7272 Wisconsin Avenue
21
st
Floor
Bethesda, Maryland 20814
Telephone: (240) 497-6400
These documents may also be accessed through the web at
www.ProShares.com
or as described under "
Where Investors Can Find More
Information
." The information and other content contained on or linked from the website are not incorporated by reference in this Prospectus
and should not be considered a part of this Prospectus.
Annual, quarterly and current reports and other information are on file with the SEC. The SEC maintains an internet site at
www.sec.gov
that contains reports, proxy and information statements and other information regarding the Trust and the Funds.
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FUTURES COMMISSION
MERCHANTS
Each Fund intends to use BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX,
UBSS, GS, and GSI, in its capacity as a registered FCM,
as its FCM. Each of BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX, UBSS, GS, and GSI, in its capacity as a
registered FCM, serves as a
clearing broker to the Trust and the Funds and certain other funds of the Trust and as such arranges for the execution and clearing of the
Funds'
futures transactions. Each of BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX, UBSS, GS, and GSI acts as clearing broker for many other
funds and individuals. A variety of executing brokers may execute futures transactions on behalf of the Funds. The executing brokers will give
up all such transactions to BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX, UBSS, GS, or GSI as applicable.
Investors should be advised that none of BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX, UBSS, GS, or GSI is affiliated with or
acts as a supervisor of the Funds or the Funds' commodity pool operators, commodity trading advisors, investment managers, trustees, general
partners, administrators, transfer agents, registrars or organizers, as applicable. Additionally, none of BofAS, RBC, BCI, DBSI, Man, SGAS,
CSS, StoneX, UBSS, GS, or GSI, in its capacity as a registered FCM, is acting as an underwriter or sponsor of the offering of any Shares or
interests in the Funds or has passed upon the merits of participating in this offering.
None of BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX, UBSS, GS, or GSI has passed upon the adequacy of this Prospectus or on
the accuracy of the information contained herein. Additionally, none of BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX, UBSS, GS, or
GSI provides any commodity trading advice regarding the Funds' trading activities. Investors should not rely upon BofAS, RBC, BCI, DBSI,
Man, SGAS, CSS, StoneX, UBSS, GS, or GSI in deciding whether to invest in the Funds or retain their interests in the Funds. Investors should
also note that the Funds may select additional clearing brokers or replace BofAS, RBC, BCI, DBSI, Man, SGAS, CSS, StoneX, UBSS, GS,
and/or GSI as the Funds' clearing broker.
Litigation and Regulatory Disclosure Relating to FCMs
BofA Securities, Inc.
BofA Securities, Inc. (the "Company" or "BofAS"), a Delaware corporation,
is registered with the U.S. Commodity Futures Trading
Commission ("CFTC") as a Futures Commission Merchant ("FCM"). The Company is a clearing
member of the Chicago Board of Trade, and
the Chicago Mercantile Exchange, and is either a clearing member or member of all other principal U.S. futures and futures
options exchanges.
With regard to those domestic futures and futures options exchanges of which it is not a clearing member, the Company has entered into third
party brokerage relationships with FCMs that are clearing members of those exchanges. The Company maintains its principal place of business
at One Bryant Park, New York, NY10036.
Bank of America Corporation (the "Corporation" or "Bank of America"), the
Company's ultimate parent (the "Parent") makes all
required disclosures in its Annual Reports on Form 10-K and Quarterly Reports on Form 10-Q, which may
be updated by Current Reports on
Form 8-K, all of which are filed with the Securities and Exchange Commission ("SEC") ("Regulatory Filings"). The
Company makes all
required disclosures in its Form BD and ADV filings ("Form BD and ADV Filings") with the Financial Industry Regulatory Authority
("FINRA"). Those Regulatory Filings and Form BD and ADV Filings include disclosures of Regulatory Inquiries as required by federal law and
applicable regulations. The Regulatory Filings are publicly available on the SEC's website at www.sec.gov. The Form BD Filings are publicly
available on the FINRA BrokerCheck system at http://brokercheck.finra.org/. The Form ADV filings are publicly available on the SEC's
Investment Adviser Search website at: http://www.adviserinfo.sec.gov/IAPD/default.aspx. Additional concluded actions can be found at
http://www.nfa.futures.org/basicnet/welcome.aspx. This link will take you to the Welcome Page of the NFA's Background Affiliation Status.
Information Center ("BASIC"). At this page, there is a box where you can enter the NFA ID of BofA Securities, Inc. (0500214) and then click
"Go". You will be transferred to the NFA's information specific to BofAS. Under the heading "Regulatory Actions", click "View All Actions"
and you will be directed to the full list of regulatory actions brought by the CFTC and exchanges.
In the ordinary course of business, the Company is occasionally a defendant in or party to
pending and threatened legal actions and
proceedings. In view of the inherent difficulty of predicting the outcome of such litigation and regulatory matters, particularly
where the
claimants seek unspecified or very large or indeterminate damages or where the matters present novel legal theories or involve a large number of
parties, the Company cannot predict what the eventual outcome of the pending matters will be, what the timing of the ultimate resolution of
these matters will be, or what the eventual loss, fines or penalties related to each pending matter may be.
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In accordance with applicable
accounting guidance, the Company establishes an accrued liability for litigation and regulatory matters
when those matters present loss contingencies that are both
probable and estimable. In such cases, there may be an exposure to loss in excess of
any amounts accrued. As a matter develops, the Company, in conjunction with any
outside counsel handling the matter, evaluates on an ongoing
basis whether such matter presents a loss contingency that is probable and estimable. Once the loss
contingency related to a matter is deemed to
be both probable and estimable, the Company will establish an accrued liability. The Company continues to monitor the matter
for further
developments that could affect the amount of the accrued liability that has been previously established.
In some of the matters described below, loss contingencies are not both probable and estimable in
the view of management, and
accordingly, an accrued liability has not been established for those matters. Information is provided below regarding the nature of all these
contingencies and, where specified, the amount of the claim associated with these loss contingencies. Based on current knowledge, management
does not believe that loss contingencies arising from pending matters, including the matters described herein, will have a material adverse effect
on the Company's consolidated financial position or liquidity. However, in light of the inherent uncertainties involved in these matters, some of
which are beyond the Company's control, and the very large or indeterminate damages sought in some of these matters, an adverse outcome in
one or more of these matters could be material to the Company's results of operations or cash flows for any particular reporting period.
On May 13, 2019, BofAS acquired the Global Banking and Markets ("GBAM") assets of
Merrill Lynch, Pierce, Fenner & Smith
Incorporated ("MLPF&S"), then an affiliated futures commission merchant. BofAS deems it appropriate to disclose
certain MLPF&S litigation
and regulatory matters arising from the GBAM business acquired from MLPF&S that would otherwise have been required to be disclosed under
CFTC Rule 1.55(k)(7) prior to the transfer of the business to BofAS.
The actions against the Company, and those arising from the GBAM business acquired from MLPF&S include, but are not limited to,
the following:
Mortgage-Backed Securities ("MBS") Litigation
MLPF&S and certain of its affiliates have been named as defendants in a number of cases relating to their various roles as issuer,
originator, seller, depositor, sponsor, and/or underwriter in MBS offerings, pursuant to which the MBS investors were entitled to a portion of the
cash flow from the underlying pools of mortgages. These cases generally include actions by individual MBS purchasers and governmental
actions. Although the allegations vary by lawsuit, these cases generally allege that the registration statements, prospectuses and prospectus
supplements for securities issued by securitization trusts contained material misrepresentations and omissions, in violation of the Securities Act
and/or state securities laws and other state statutory and common laws.
These cases generally involve allegations of false and misleading statements regarding: (i) the process by which the properties that served
as collateral for the mortgage loans underlying the MBS were appraised; (ii) the percentage of equity that mortgage borrowers had in their
homes; (iii) the borrowers' ability to repay their mortgage loans; (iv) the underwriting practices by which those mortgage loans were originated;
(v) the ratings given to the different tranches of MBS by rating agencies; and (vi) the validity of each issuing trust's title to the mortgage loans
comprising the pool for the securitization (collectively, "MBS Claims"). Plaintiffs in these cases generally seek unspecified compensatory
damages, unspecified costs and legal fees and, in some instances, seek rescission. A number of other entities threatened legal actions against
MLPF&S concerning MBS offerings.
Tutor Perini Corp. v. Banc of America Securities LLC and Bank of America, N.A.
Tutor Perini Corporation filed an action on May 18, 2011 in the U.S. District Court for the District of Massachusetts entitled
Tutor Perini
Corporation v. Banc of America Securities LLC, now known
as Merrill Lynch, Pierce, Fenner & Smith Incorporated, successor by merger, and
Bank of America, N.A.
The complaint alleges that Defendants failed to disclose material facts about the market for auction-rate securities
("ARS") that Tutor Perini purchased from BAS in late 2007 and early 2008. The complaint alleges that auctions for those ARS failed beginning
in February 2008, allegedly preventing Tutor Perini from liquidating its ARS at par value in the auctions, and that Tutor Perini subsequently sold
its ARS on the secondary market at a loss. The complaint asserts federal securities-fraud, Massachusetts Uniform Securities Act ("MUSA"),
Massachusetts Unfair and Deceptive Trade Practices Act ("UDTPA"), common-law fraud, unsuitability, and intentional-and negligent-misrepresentation
claims. Plaintiff seeks damages in excess of $100M.
On August 12, 2015, the District Court granted defendants summary judgment dismissing all claims.
On November 21, 2016, the
U.S. Court of Appeals for the First Circuit affirmed the District Court's decision with respect to all claims against BANA and as to
Perini's
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unsuitability, common-law fraud, and intentional misrepresentation claims against BAS, but vacated and remanded for further
proceedings on
the federal securities-fraud, MUSA, UDTPA, and negligent-misrepresentation claims against BAS. The parties resolved the matter for $37
million and the case was dismissed with prejudice on June 6, 2017.
SEC 15(c)(3) Order 6/23/2016
On June 23, 2016, the SEC issued an administrative order in which it found that MLPF&S and
Merrill Lynch Professional Clearing Corp.
("MLPro") had willfully violated Section 15(c)(3) of the Securities Exchange Act of 1934 ("Exchange Act")
and Rule 15c3-3 thereunder and
Section 17(a)(1) of the Exchange Act and Rules 17a-3(a)(10) and 17a-5(a) thereunder, and that MLPF&S willfully violated Section 17(a)(1)
of
the Exchange Act and Rules 17a-5(d)(3) (as it existed prior to amendments to Rule 17a-5 in 2014), 17a-5(d)(2)(ii), 17a-5(d)(3) and 17a-11(e)
thereunder, and Exchange Act Rule 21F-17. Specifically, the order found that (i) MLPF&S and MLPro engaged in a series of complex trades
that allowed it to use customer cash to finance firm inventory, (ii) MLPF&S allowed certain of its clearing banks to hold liens on customer
securities, and (iii) MLPF&S used language in certain of its policies, procedures, and agreements with employees that unduly limited the
disclosure of confidential information. In determining to accept MLPF&S's and MLPro's offer, the SEC considered remedial acts promptly
undertaken by MLPF&S and MLPro and substantial cooperation afforded the SEC staff during the course of its investigation. In the order, (i)
MLPF&S and MLPro were censured, (ii) MLPF&S was ordered to cease and desist from committing or causing any violations and any future
violations of Sections 15(c)(3) and 17(a)(1) of the Exchange Act and Rules 15c3-3, 17a-3(a)(10), 17a-5(a), 17a-5(d)(2)(ii), 17a-5(d)(3),
17a-11(e) and 21F-17 thereunder, (iii) MLPro was ordered to cease and desist from committing or causing any violations and any future
violations of Sections 15(c)(3) and 17(a)(1) of the Exchange Act and Rules 15c3-3, 17a-3(a)(10) and 17a-5(a) thereunder, (iv) MLPF&S and
MLPro were ordered to pay disgorgement of $50,000,000 and prejudgment interest in the amount of $7,000,000, and (v) MLPF&S was ordered
to pay a civil monetary penalty of $358,000,000.
SEC Market Access Rule Order 9/26/2016
On September 26, 2016, MLPF&S entered into a settlement with the SEC resulting in the SEC issuing an Order. MLPF&S consented to
the entry of the order (the "Order") that finds that it violated Section 15(c)(3) of the Exchange Act and Rule 15c3-5 thereunder (the "Market
Access Rule"). The Order finds that MLPF&S violated the Market Access Rule by failing to establish, document, and maintain a system of risk
management controls and supervisory procedures reasonably designed to manage the financial, regulatory, and other risks of its market access
activity. In particular, MLPF&S failed to establish pre-trade risk management controls reasonably designed to prevent the entry of erroneous
orders, to establish pre-trade risk management controls reasonably designed to prevent the entry of orders that would exceed pre-set credit or
capital limits for several of its trading desks, to establish required controls and procedures for fixed income securities, to review adequately the
effectiveness of its risk management controls and supervisory procedures require by the Market Access Rule, particularly for preventing the
entry of erroneous orders, and to comply with the Market Access Rule's CEO certification requirements. Without admitting or denying any of
the findings or conclusions in the order, MLPF&S consented to the imposition of the following sanctions: (i) to be censured, (ii) to cease and
desist from committing or causing any violations and any future violations of Section 15(c)(3) of the Exchange Act and Rule 15c3-5 thereunder,
and (iii) to pay a civil monetary penalty of $12,500,000.
CFTC Order 9/22/2017
On September 22, 2017, the Commodity Futures Trading Commission announced that MLPF&S agreed
to the entry of an order that
alleged that the CFTC had reason to believe that MLPF&S (a) violated Regulation 166.3, 17 C.F.R. § 166.3 (2016), under the Commodity
Exchange Act (CEA) in connection with its alleged failure to supervise diligently MLPF&S's response to the investigation by the CME
Group Inc.'s Market Regulation Department regarding recordkeeping and execution practices with respect to block trades; (b) violated
Regulation 166.3, 17 C.F.R. § 166.3 (2016), under the CEA in connection with its alleged inadequate procedures for preparing and maintaining
records for block trades executed by the Swaps Desk, including procedures for recording accurate block trade execution times and not being
diligent in ensuring that its existing procedures for preparing and maintaining records for block trades were being implemented; and (c) violated
Section 4g of the CEA, 7 U.S.C. § 6g (2012) and Regulations 1.31 and 1.35 under the CEA, 17 C.F.R. §§ 1.31 and 1.35 (2016) in connection
with the alleged failure to maintain certain books and records regarding the execution of block trades. Without admitting or denying any of the
findings or conclusions in the order, MLPF&S consented to the imposition of the following sanctions: (1) to cease and desist from violating
Section 4g of the CEA and Regulations 1.31, 1.35 and 166.3 thereunder, (2) to pay a civil monetary penalty in the amount of $2,500,000, and (3)
to comply with certain undertakings.
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SEC Section 17(A) Order 12/21/2017
On December 21, 2017, the SEC announced that public administrative and cease-and-desist proceedings we instituted pursuant to
Section 15(b) and 21C of the Exchange Act and Section 203(E) of the Advisers Act against MLPF&S. MLPF&S, in addition to offering its
customers the ability to buy and sell securities, offered its customers other services in brokerage accounts, such as ATM cash deposits, wires,
journal-entry transfers, check writing, ATM withdrawals, cash advances and ACH transfers. By offering these additional services, MLPF&S
was susceptible to risks of money laundering and other illicit financial activity associated with these services. During the relevant period,
MLPF&S primarily used a system called "Mantas" for the automated monitoring of retail brokerage accounts to detect potential money
laundering activity related to money movements. Mantas alerted on transactions that fit within the parameters of specific scenarios selected by
MLPF&S. MLPF&S had other methods of detecting suspicious movements of funds in accounts, but those methods were primarily manual, or
only alerted on certain types of activity.
MLPF&S also used a separate automated surveillance systems to conduct trade surveillance and referred to the alerts produced by its
anti-money laundering (AML) detection channels as "Events." MLPF&S also used a system called "Event Processor," or "EP," which grouped
Mantas events and events produced by other firm detection channels and assigned points to the event groups. From 2006 through January 2012,
MLPF&S did not investigate Mantas events that were not grouped with an Event from one of the other detection channels, such an employee
referral, a government subpoena, or an Event related to a wire transfer or ATM transaction that had been routed through a consumer bank before
being debited or credited to an MLPF&S customer's retail brokerage account. EP used a number of systems and techniques to group Events
arising from related retail brokerage accounts. However, EP inadvertently did not link related accounts that involved customers who had both
U.S. Dollar-denominated and foreign currency-denominated accounts. Accordingly, certain Event groups did not meet the risk-based threshold
and became an investigation for further review as rapidly as they otherwise would have, if at all. MLPF&S did not have adequate policies and
procedures for filing what were commonly known as "Continuing Activity" or "Ongoing Activity" Suspicious Activity Reports (SARS).
MLPF&S had AML policies and procedures that were not reasonably designed to account for the
additional risk associated with the
additional services offered by certain of its retail brokerage accounts. Once an AML case was opened, the platform used by
MLPF&S' AML
investigators during part of the relevant period did not provide sufficient visibility into transactions occurring in an account, causing the
investigators sometimes unduly to limit their review to the specific events that triggered the Event and not to review the account more broadly to
determine whether the risk associated with that event warranted additional investigation or reporting. Because of the deficiencies in its AML
policies and procedures MLPF&S failed to adequately monitor for, detect, and report certain suspicious activity related to transaction or pattern
of transactions in its customers' accounts. By failing to file SARS with Financial Crimes Enforcement Network (FINCEN) as required by the
BSA with respect to certain of its customers' activity as described above, MLPF&S wilfully violated Section 17(A) of the Exchange Act and
Rule 17A-8 thereunder. Without admitting or denying any of the findings or conclusions in the order, MLPF&S consented to the imposition of
the following sanctions: (1) cease and desist from committing or causing any violations and any future violations of Exchange Act Section 17(a)
or Rule 17a-8 promulgated thereunder, (2) to be censured, and (3) to pay a civil monetary penalty in the amount of $13,000,000.
SEC ATS (Masking) Settlement 6/19/2018 (Attorney General of the State of New York 3.22.2018)
On June 19, 2018, the SEC issued an administrative proceeding against MLPF&S concerning
MLPF&S's sustained efforts to hide its
practice of routing certain institutional customer orders to other broker-dealers (ELPs), including proprietary trading
firms and wholesale market
makers, for execution. MLPF&S configured a number of internal/external trade reporting systems so that institutional customer orders that
were
executed at ELPs instead appeared to institutional customers to have been executed at MPF&S. MLPF&S similarly misreported ELP executions
in reports provided to institutional customers and in billing invoices. When responding to institutional customer questionnaires and in other
communications, MLPF&S specifically omitted ELPs from lists of venues to which institutional customer orders were routed. MPF&S referred
to this practice internally as masking. MLPF&S masked the ELP executions of MLPF&S's DSA institutional customers, typically financial
institutions such as asset managers, mutual fund investment advisers, and public pension funds. As a result, these institutional customers' orders
received unwanted executions against entities with which they believed their orders would not interact. Because of masking, these institutional
customers did not know that MLPF&S violated their instructions. MLPF&S's efforts to mask the correct trading venues, including by altering
trade reporting programs, operated as a fraud or deceit upon its institutional customers. As a result, MLPF&S willfully violated sections 17(a)(2)
and 17(a)(3) of the Securities Act. MLPF&S was censured and ordered to (i) cease and desist from committing or causing any violations and any
future violations of Sections 17(a)(2) and 17(a)(3) of the Securities Act; and (ii) pay a civil money penalty in the amount of $42,000,000.
Additionally, based on the same conduct, the Attorney General of the State of New York ("NYAG") Investor Protection Bureau alleged that
Bank of America Corporation and MLPF&S (1) concealed from its institutional clients that orders were routed and executed by "electronic
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liquidity providers" (2) misstated the composition
of orders and trades in its dark pool, and (3) did not accurately describe its use of a proprietary
"venue ranking" analysis, in violation of the Martin Act
and Executive Law § 63(12). NYAG similarly settled the matter for a penalty in the
amount of $42,000,000.
SEC Order Conflict of Interest 8/20/2018
On August 20, 2018, MLPF&S entered into a settlement with the SEC resulting in the SEC
issuing an order. MLPF&S consented to the
entry of the order (the "Order") that finds that it failed to disclose that the portfolio manager evaluation
process employed in connection with a
January 2013 termination recommendation for over fifteen hundred of its retail advisory accounts was exposed to a conflict of
interest involving
other business interests. The Order finds that this undisclosed conflict of interest in MLPF&S' decision-making process violated Advisers Act
Section 206(2). MLPF&S also violated Advisers Act Section 206(4) and Rule 206(4)-7 promulgated thereunder. Without admitting or denying
any of the findings or conclusions in the order, MLPF&S consented to the imposition of the following sanctions: (1) cease and desist from
committing or causing any violations and any future violations of Sections 206(2) and 206(4) of the Advisers Act and Rule 206(4)-7
promulgated thereunder, (2) to be censured, and (3) to pay disgorgement of $4,032,871.89, prejudgment interest of $806,981.03, and a civil
money penalty in the amount of $4,032,871.89.
SEC ADR Settlement 3/22/2019
The SEC deemed it appropriate and in the public interest that public administrative proceedings
be instituted pursuant to Section 15(b)(4)
of the Securities Exchange Act of 1934 ("Exchange Act"), against MLPF&S ("MLPF&S" or
"Respondent"). The SEC found that these
proceedings arose out of MLPF&S's improper practices with respect to securities lending transactions
involving pre-released American
Depositary Receipts ("ADRs"). ADR facilities, which provide for the issuance of ADRs, are established by a depositary bank
("Depositary")
pursuant to a deposit agreement ("Deposit Agreement"). Typically, a Depositary issues ADRs to a market participant that
contemporaneously
delivers the corresponding number of foreign securities to the Depositary's foreign custodian ("Custodian"). However, in certain
situations,
Deposit Agreements may provide for "pre-release" transactions in which a market participant can obtain newly issued ADRs from the
Depositary before delivering ordinary shares to the custodian. Only brokers (or other market participants) that have entered into pre-release
agreements with a depositary ("Pre-Release Agreements") can obtain pre-released ADRs from the Depositary. The Pre-Release Agreements,
consistent with the Deposit Agreements, require the broker receiving the pre-released ADRs ("Pre-Release Broker"), or its customer on whose
behalf the Pre-Release Broker is acting, to beneficially own the ordinary shares represented by the ADRs, and to assign all beneficial rights, title,
and interest to those ordinary shares to the Depositary while the pre-release transaction is outstanding. In effect, the Pre-Release Broker or its
customer becomes the temporary custodian of the ordinary shares that would otherwise have been delivered to the Custodian. From at least June
2012 until approximately November 2014, MLPF&S received pre-released ADRs from Pre-Release Brokers that had been issued by
Depositaries where neither the Pre-Release Brokers nor MLPF&S had taken reasonable steps to satisfy the Pre-Release Brokers' obligations
under the Pre-Release Agreements. MLPF&S, which was not a Pre-Release Broker, understood that the ADRs that MLPF&S borrowed from
Pre-Release Brokers may have been sourced from Depositaries pursuant to Pre-Release Agreements. MLPF&S also understood that the
beneficial ownership and other representations that Pre-Release Brokers were required to make to depositaries in order to obtain pre-released
ADRS. MLPF&S also understood the conduit nature of Pre-Release Brokers' securities lending business, which under the circumstances should
have indicated that the Pre-Release Brokers did not own underlying ordinary shares. MLPF&S's associate persons on its securities lending desk,
by obtaining ADRs from Pre-Release Brokers in circumstances where they should have known that such ADRs likely had been pre-released
without compliance with the Pre-Release Brokers' obligations under the Pre-release Agreements, violated Section 17(a)(3) of the Securities Act
of 1933 ("Securities Act"). MLPF&S's supervisory policies and procedures were not reasonably designed and implemented to provide sufficient
oversight of associated persons to prevent and detect their violations of Section 17(a)(3) of the Securities Act. As a result, MLPF&S failed
reasonably to supervise its associated persons within the meaning of Section 15(b)(4)(e) of the Exchange Act. MLPF&S submitted an offer of
settlement (the "Offer") which the SEC has determined to accept. MLPF&S failed reasonably to fulfill its supervisory responsibilities within the
meaning of Section 15(b)(4)(e) of the Exchange Act. Solely for the purpose of settling these proceedings, MLPF&S consented to the order
without admitting or denying the findings in the order, except as to the SEC's jurisdiction over it and the subject matter. The SEC ordered that
MLPF&S is censured and shall pay disgorgement of $4,448,291.52 together with prejudgment interest of $724,795.40 and a civil money penalty
of $2,891,389.48.
CFTC Order 9/10/2019
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The CFTC found that for nearly three
years, MLPF&S, at that time a registered Futures Commission Merchant, failed to promptly
produce reliable audit trail data requested by the Division of Enforcement,
and failed to develop and diligently administer adequate procedures
for responding to routine regulatory requests in violation of Section 4g of the Commodity Exchange Act
and Regulations 1.31, 1.35 and 166.3.
In addition to imposing a $300,000 civil monetary penalty, the order notes that MLPF&S had already taken steps to revise its
internal process
for responding to regulatory data requests, including, but not limited to, designating personnel to: (1) interpret regulatory data requests, the
source of the information, and the timing for the response; (2) locate and provide the data; and (3) independently assess the data extraction
process and results.
Included by the Sponsor from the NFA Website and not provided by BofAS
Pursuant to an offer of settlement in which BofA Securities, Inc. neither admitted nor denied the
rule violation upon which the penalty is
based, on October 15, 2020, the Clearing House Risk Committee found that BofA Securities, Inc. violated CBOT Rule 971.A. BofA
Securities Inc. was fined $75,000, effective October 16, 2020.
CBOT Case #: 20-1343-BC. Pursuant to an offer of settlement in which BofA Securities, Inc. ("BofAS") neither admitted nor denied the
rule violation or factual findings upon which the penalty is based, on May 18, 2021, a Panel of the Chicago Board of Trade ("CBOT") Business
Conduct Committee ("Panel") found that on March 19, 2020, and May 4, 2020, BofAS executed certain Exchange for Related Position
("EFRP") transactions in the June 2020 Ultra U.S. Treasury Bond futures, June 2020 Five Year Treasury Note futures, June 2020 Ten Year
Treasury Note futures, and June 2020 U.S. Treasury Bond futures contracts that were contingent upon the execution of other EFRP transactions.
The Panel further found that BofAS executed these transactions simultaneously and without incurring material market risk. The Panel concluded
that BofAS thereby violated CBOT Rule 538.C. In accordance with the settlement offer, the Panel ordered BofAS to pay a fine of $55,000. This
action became final on May 18, 2021 and effective May 20, 2021.
CBOT Case #: 21-CH-2102. Pursuant to an offer of settlement in which BofA Securities, Inc. neither admitted nor denied the rule
violations upon which the penalty is based, on June 10, 2021, the Clearing House Risk Committee found that BofA Securities, Inc. violated
CBOT Rules 930.E.1., 930.E.2., 930.E.3., 930.F., and 971.A. In accordance with the settlement offer, the Committee imposed a $75,000 fine.
Effective Date: 06/11/2021.
RBC Capital Markets LLC ("RBC" or the "Company")
RBC Capital Markets, LLC ("RBC Capital"), is a large broker dealer subject to many different complex legal and regulatory
requirements. As a result, certain of RBC Capital's regulators may from time to time conduct investigations, initiate enforcement proceedings
and/or enter into settlements with RBC Capital with respect to issues raised in various investigations. RBC Capital complies fully with its
regulators in all investigations being conducted and in all settlements it reaches. In addition, RBC Capital is and has been subject to a variety of
civil legal claims in various jurisdictions, a variety of settlement agreements and a variety of orders, awards and judgments made against it by
courts and tribunals, both in regard to such claims and investigations. RBC Capital complies fully with all settlements it reaches and all orders,
awards and judgments made against it.
RBC Capital has been named as a defendant in various legal actions, including arbitrations, class actions and other litigation including
those described below, arising in connection with its activities. Certain of the actual or threatened legal actions include claims for substantial
compensatory and/or punitive damages or claims for indeterminate amounts of damages. RBC Capital is also involved, in other reviews,
investigations and proceedings (both formal and informal) by governmental and self-regulatory agencies regarding RBC Capital's business,
including among other matters, accounting and operational matters, certain of which may result in adverse judgments, settlements, fines,
penalties, injunctions or other relief.
RBC Capital contests liability and/or the amount of damages as appropriate in each pending matter. In view of the inherent difficulty of
predicting the outcome of such matters, particularly in cases where claimants seek substantial or indeterminate damages or where investigations
and proceedings are in the early stages, RBC Capital cannot predict the loss or range of loss, if any, related to such matters; how or if such
matters will be resolved; when they will ultimately be resolved; or what the eventual settlement, fine, penalty or other relief, if any, might be.
Subject to the foregoing, RBC Capital believes, based on current knowledge and after consultation with counsel, that the outcome of such
pending matters will not have a material adverse effect on the consolidated financial condition of RBC Capital.
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On April 27, 2017, pursuant to an offer
of settlement, a Panel of the Chicago Board of Trade Business Conduct Committee ("Panel")
found that RBC Capital engaged in EFRP transactions which failed to
satisfy the Rules of the Chicago Board of Trade (the "Exchange") in one
or more ways. Specifically, the Panel found that RBC Capital traders entered into EFRP
trades in which RBC Capital accounts were on both
sides of the transactions. While the purpose of the transactions was to transfer positions between the RBC Capital
accounts, the Panel found that
the manner in which the trades occurred violated the Exchange's prohibition on wash trades. The Panel found that RBC Capital thereby
violated
CBOT Rules 534 and (legacy) 538.B. and C. In accordance with the settlement offer, the Panel ordered RBC Capital to pay a $175,000 fine. On
October 1, 2019, the CFTC issued an order filing and settling charges against RBCCM for the above activity, as well as related charges. The
order required that RBCCM cease and desist from violating the applicable regulations, pay a $5 million civil monetary penalty, and comply with
various conditions, including conditions regarding public statements and future cooperation with the Commission.
On June 18, 2015, in connection with the Municipalities Continuing Disclosure Cooperation
initiative of the U.S. Securities and
Exchange Commission ("SEC"), the SEC commenced and settled an administrative proceeding against RBC Capital for willful
violations of
Sections 17(a)(2) of the Securities Act of 1933, as amended ("1933 Act") after the firm self-reported instances in which it conducted inadequate
due diligence in certain municipal securities offerings and as a result, failed to form a reasonable basis for believing the truthfulness of certain
material representations in official statements issued in connection with those offerings. RBC Capital paid a fine of $500,000.
RBC Capital and certain affiliates were named as defendants in a lawsuit relating to their role
in transactions involving investments made
by a number of Wisconsin school districts in certain collateralized debt obligations. These transactions were also the subject
of a regulatory
investigation, which was resolved in 2011. RBC Capital reached a final settlement with all parties in the civil litigation, and the civil action
against RBC Capital was dismissed with prejudice on December 6, 2016.
Various regulators are conducting inquiries regarding potential violations of
antitrust law by a number of banks and other entities,
including the Company and RBC, regarding foreign exchange trading. Beginning in 2015, putative class actions were
brought against RBC
Capital and/or Royal Bank of Canada in the U.S., Canada and Israel. These actions were each brought against multiple foreign exchange dealers
and allege, among other things, collusive behavior in foreign exchange trading. Various regulators are also conducting inquiries regarding
potential violations of law by a number of banks and other entities, including RBC Capital, regarding foreign exchange trading. In August 2018,
the U.S. District Court entered a final order approving RBC Capital's pending settlement with class plaintiffs. In November 2018, certain
institutional plaintiffs who had previously opted-out of participating in the settlement filed their own lawsuit in the U.S. District Court. In May
2020, the U.S. District Court dismissed RBC from the opt-out action, but granted the plaintiffs' motion to amend the complaint. The Canadian
class actions remain pending and the Company has reached a settlement for an immaterial amount with respect to an action brought by a class of
indirect purchasers. Based on the facts currently known, it is not possible at this time for us to predict the ultimate outcome of these
investigations or proceedings or the timing of their resolution.
On April 13, 2015, RBC Capital's affiliate, Royal Bank of Canada Trust Company (Bahamas) Limited (RBC Bahamas), was charged in
France with complicity in tax fraud. RBC Bahamas believes that its actions did not violate French law and contested the charge in the French
court. The trial of this matter has concluded and a verdict was delivered on January 12, 2017, acquitting the company and the other defendants
and on June 29, 2018, the French appellate court affirmed the acquittals. The acquittals are being appealed.
Various regulators and competition and enforcement authorities around the world, including in
Canada, the United Kingdom, and the
U.S., are conducting investigations related to certain past submissions made by panel banks in connection with the setting of the U.S.
dollar
London interbank offered rate (LIBOR). These investigations focus on allegations of collusion between the banks that were on the panel to make
submissions for certain LIBOR rates. Royal Bank of Canada, RBC Capital's indirect parent, is a member of certain LIBOR panels, including the
U.S. dollar LIBOR panel, and has in the past been the subject of regulatory requests for information. In addition, Royal Bank of Canada and
other U.S. dollar panel banks have been named as defendants in private lawsuits filed in the U.S. with respect to the setting of LIBOR including
a number of class action lawsuits which have been consolidated before the U.S. District Court for the Southern District of New York. The
complaints in those private lawsuits assert claims against us and other panel banks under various U.S. laws, including U.S. antitrust laws, the
U.S. Commodity Exchange Act, and state law. On February 28, 2018, the motion by the plaintiffs in the class action lawsuits to have the class
certified was denied in relation to Royal Bank of Canada. As such, unless that ruling is reversed on appeal, Royal Bank of Canada is no longer a
defendant in any pending class action. Royal Bank of Canada is still a party to the various individual LIBOR actions.
In addition to the LIBOR actions, in January 2019, a number of financial institutions, including
RBC and RBC Capital Markets LLC,
were named in a purported class action in New York alleging violations of the U.S. antitrust laws and common law principles of unjust
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enrichment in the setting of LIBOR after the
Intercontinental Exchange took over administration of the benchmark interest rate from the British
Bankers' Association in 2014 (the ICE LIBOR action). On March 26,
2020 the defendants' motion to dismiss the matter was granted. On
April 24, 2020, the Plaintiffs filed a notice of appeal. Based on the facts currently known, it is
not possible at this time for us to predict the
ultimate outcome of these investigations or proceedings or the timing of their resolution.
Thornburg Mortgage Inc. (now known as "TMST") and RBC Capital were parties to a
master repurchase agreement executed in
September 2003 whereby TMST financed its purchase of residential mortgage-backed securities. Upon TMST's default during the
financial
crisis, RBC Capital valued TMST's collateral at allegedly deflated prices. After TMST's bankruptcy filing, TMST's trustee brought suit against
RBC Capital in 2011 for breach of contract. In 2015, TMST was awarded more than $45 million in damages. RBC Capital has appealed. The
appeals court set a briefing schedule and simultaneously ordered the parties to participate in a mediation. The parties subsequently reached an
agreement to settle the matter; a motion to approve the settlement was filed with the bankruptcy court on January 10, 2016 and granted on
February 27, 2017.
On October 14, 2014, the Delaware Court of Chancery (the "Court of Chancery") in a
class action brought by former shareholders of
Rural/Metro Corporation, held RBC Capital liable for aiding and abetting a breach of fiduciary duty by three Rural/Metro
directors, but did not
make an additional award for attorney's fees. A final judgment was entered on February 19, 2015 in the amount of US$93 million plus post
judgment interest. RBC Capital appealed the Court of Chancery's determination of liability and quantum of damages, and the plaintiffs
cross-appealed the ruling on additional attorneys' fees. On November 30, 2015, the Delaware Supreme Court affirmed the Court of Chancery
with respect to both the appeal and cross-appeal. RBC Capital is cooperating with an investigation by the SEC relating to this matter. In
particular, the SEC contended that RBC Capital caused materially false and misleading information to be included in the proxy statement that
Rural filed to solicit shareholder approval for the sale in violation of section 14(A) of the Exchange Act and Rule 14A-9 thereunder. On
August 31, 2016, RBC Capital was ordered by the SEC to cease and desist and paid $500,000 in disgorgement, plus interest of $77,759 and a
civil penalty of $2 million.
Case 19-47 CFTC Administrative Action, September 30, 2019 (included by the Sponsor from the NFA website and not provided by RBC
Capital Markets LLC)
CFTC Orders RBC Capital Markets, LLC to Pay $5 Million for Supervisory Failures Resulting in
Illegal Trades and Other Violations
Washington, DC – The U.S. Commodity
Futures Trading Commission today announced the agency issued an order on Monday,
September 30, 2019, filing and setting charges against RBC Capital Markets, LLC (RBCCM), a
registered futures commission merchant (FCM),
for failing to meet its supervisory obligations, which resulted in hundreds of unlawful trades and other violations over the
period of at least late
2011 through May 2017.
The order requires RBCCM to cease and desist from future violations, pay a $5 million civil monetary penalty, and for a period of three
years to expeditiously and completely cooperate with the Commission and any other governmental agency in all future investigations or
inquiries involving the factual and legal subject matters of this action.
"The CFTC will vigorously enforce the rules requiring our registrants to properly supervise their business activities. Where those
supervision failures are accompanied by other violations, we will pursue those violations as well," said CFTC Director of Enforcement
James McDonald.
The
order finds that between December 2011 and October 2015, RBCMM engaged in at least 385 noncompetitive, fictitious, exchange
for physical wash transactions (Wash EFPs). The
order finds that RBCCM engaged in Wash EFPs in order to move positions internally between
RBCCM accounts, which was less costly and administratively burdensome than other
options to manage risk, and because it was believed that
the exchange allowed it. RBCCM personnel checked with the appropriate compliance officer on whether the trades
were appropriate but the
officer did not respond, follow up with the exchange, or provide any formal training until at least May 2015.
Notably, as the order finds, 217 of the Wash EFPs occurred after the entry of a consent order in
December 2014, which resolved a CFTC
enforcement action against RBCCM's parent, the Royal Bank of Canada (RBC), for wash sales and fictitious transactions. [See
Release No.
7086-14] The order finds that RBCCM had actual notice of the December 2014 injunction against RBC prohibiting wash trading, yet the Wash
EFPs continued at RBCCM. The order also finds that RBC delegated execution and surveillance of the bank's futures transactions on exchanges
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in the United States to RBCCM, but that they failed to
adequately implement a reasonable supervisory system overseeing its futures
transactions, and failed to detect at least 385 Wash EFPs.
The order further finds that RBCCM failed to prepare and timely file Risk Exposure Reports,
disclose material non-compliance issues to
the CFTC, and maintain and promptly produce required records to the CFTC.
The order also finds other supervisory failures. For example, all RBC affiliates, including
RBCCM, must follow company-wide policies
and procedures, but RBCCM failed to implement several of those policies and procedures, which resulted in the various violations
set forth in
the order. To wit, RBCCM did not have a system to ensure employees reviewed the compliance manual; the compliance manual did not
adequately address the requirements of EFPs; there was no formal training on EFPs; and RBCCM failed to adequately monitor for potential
futures wash trades.
The order additionally finds that RBCCM disclosed the Wash EFPs to the CFTC shortly before
formally disclosing it in its required 2015
Chief Compliance Officer report. RBCCM, however, failed to timely and fully respond to document requests and subpoenas issued
by CFTC
staff and attempted to dissuade them from inquiring into RBC's involvement with the Wash EFPs, even from a supervisory perspective. These
actions were taken despite the inter-relationship between RBCCM and RBC, as well as the prior consent order, which required cooperation of
RBC in any investigation by the Division of Enforcement related to the subject matter of this action. As a result, the order finds that the CFTC
expended considerable resources trying to obtain information and timely compliance with its subpoenas from RBC and RBCCM.
Please see RBC's Form BD, which is available on the FINRA BrokerCheck program, for more
details.
CME Case #20-CH-2008. For violations of CME's Rule 971.A-Segregation,
Secured and Cleared Swaps Customer Account
Requirements - the Clearing House Risk Committee assessed a fine of $50,000 effective August 21, 2020.
CME Case #18-CH-1804. For violations of CME's Rule 971.A-Segregation, Secured and Cleared
Swaps Customer Account
Requirements - the Clearing House Risk Committee assessed a fine of $50,000 effective June 29, 2018.
Included by the Sponsor from the NFA Website and not provided by RBC
NYME Case #: 20-1311-BC. Pursuant to an offer of settlement in which RBC Capital Markets, LLC
("RBC") neither admitted nor denied
the rule violations upon which the penalty is based, on July 22, 2021, a Panel of the NYMEX Business Conduct Committee
("BCC Panel")
found that on multiple occasions during March 2020, RBC submitted block trades in Crude Oil and Natural Gas futures to the Exchange outside
the reporting time requirements and submitted inaccurate block trade execution times to the Exchange on one or more occasions. RBC also
failed to properly advise and train its brokers as to relevant Exchange rules and Market Regulation Advisory Notices ("MRANs") in a manner
sufficient to ensure compliance with the Exchange's block trade reporting rules. The Panel found that as a result of the foregoing, RBC violated
Rules 432.W., 526.F. and 526. In accordance with the settlement offer, the BCC Panel ordered RBC to pay a $45,000 fine. This action became
final on July 22, 2021 and effective July 26, 2021.
CBOT Case #: RSRH-21-6332. During the month of August 2021, RBC Capital Markets, LLC inaccurately reported long positions
eligible for delivery in the September 2021 CBT KC Wheat, 10-Year, 5-Year, and 2-Year Treasury Note futures contracts. On September 15,
2021, pursuant to Rule 512, a fine in the amount of $2,000 was assessed against RBC Capital Markets, LLC for its violation of Rule 807.
Effective date: October 7, 2021
Barclays Capital Inc. ("BCI")
Barclays Capital Inc. ("BCI") is engaged in various legal and
regulatory matters in a number of jurisdictions. BCI is subject to legal
proceedings by and against BCI which arise from time to time and also subject to enquiries and
examinations, requests for information, audits,
investigations and legal and other proceedings by regulators, governmental and other public bodies in connection with areas
of banking and
business activities in which BCI is or has been engaged.
Information relating to legal and regulatory risks is set out in the Legal, Competition and Regulatory matters note to Barclays financial
statements in our most recent Annual Report or Interim Results Announcement (as applicable). If a Barclays quarterly Results Announcement
has been released since the most recent Annual Report or Interim Results Announcement, this may contain additional information relating to
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such matters. In between Results Announcements, Barclays
may from time to time make Regulatory News Service announcements containing
information relating to a specific legal, competition or regulatory matter. Copies of Barclays
Annual Report, Results Announcements, and
Regulatory News Service Announcements are available on the Barclays Investor Relations website in sections headed 'annual
reports', 'results'
and 'regulatory news' respectively: https://www.home.barclays/barclays-investor-relations.html. Additional Information
relating to legal and
regulatory risks is set out in the firm's Statement of Financial Condition (Audited) as of December 31, 2020, available at:
https://www.investmentbank.barclays.com/disclosures/barclays-capital-inc-financial-reporting.html.
Additionally, a FINRA BrokerCheck Report,
detailing proceedings the Firm has been involved in, is available at: http://www.finra.org/Investors/ToolsCalculators/BrokerCheck/.
Investigations into LIBOR and Other Benchmarks and Related Civil
Actions
Regulators and law enforcement agencies, including certain competition
authorities, from a number of governments have conducted
investigations relating to Barclays Bank PLC's involvement in allegedly manipulating certain financial
benchmarks, such as LIBOR. The
Serious Fraud Office closed its investigation with no action to be taken against the Group. Various individuals and corporates in a range of
jurisdictions have threatened or brought civil actions against the Group and other banks in relation to the alleged manipulation of LIBOR and/or
other benchmarks.
USD LIBOR Civil Actions
The majority of the USD LIBOR cases, which have been filed in various US jurisdictions, have been
consolidated for pre-trial purposes
in the US District Court in the Southern District of New York (SDNY).
The complaints are substantially similar and allege, among other things, that Barclays PLC,
Barclays Bank PLC, the Company and other
financial institutions individually and collectively violated provisions of the US Sherman Antitrust Act (Antitrust Act), the US
Commodity
Exchange Act (CEA), the US Racketeer Influenced and Corrupt Organizations Act (RICO), the Securities Exchange Act of 1934 and various
state laws by manipulating USD LIBOR rates.
Putative class actions and individual actions seek unspecified damages with the exception of three lawsuits, in which the plaintiffs are
seeking a combined total of approximately $900 million in actual damages and additional punitive damages against all defendants, including
Barclays Bank PLC. Some of the lawsuits also seek trebling of damages under the Antitrust Act and RICO. The Group has previously settled
certain claims. Two class action settlements where the Group has respectively paid $7.1 million and $20 million, have received final
court approval.
Sterling LIBOR Civil Action
In 2016, two putative class actions filed in the SDNY against Barclays Bank PLC,
the Company and other Sterling LIBOR panel banks
alleging, among other things, that the defendants manipulated the Sterling LIBOR rate in violation of the Antitrust Act,
CEA and RICO, were
consolidated. The defendants' motion to dismiss the claims was granted in 2018. The plaintiffs have appealed the dismissal.
Japanese Yen LIBOR Civil Actions
In 2012, a putative class action was filed in the SDNY against Barclays Bank PLC and other Japanese Yen LIBOR panel banks by a lead
plaintiff involved in exchange-traded derivatives and members of the Japanese Bankers Association's Euroyen Tokyo Interbank Offered Rate
(Euroyen TIBOR) panel. The complaint alleges, among other things, manipulation of the Euroyen TIBOR and Yen LIBOR rates and breaches of
the CEA and the Antitrust Act. In 2014, the court dismissed the plaintiff's antitrust claims and, in 2020, the court dismissed the plaintiff's
remaining CEA claims. The plaintiff has appealed the lower court's dismissal of such claims.
In 2015, a second putative class action, making similar allegations to the above class action, was filed in the SDNY against Barclays PLC,
Barclays Bank PLC and the Company. The plaintiffs filed an amended complaint in 2020, and the defendants have filed a motion to dismiss.
SIBOR/SOR Civil Action
In 2016, a putative class action was filed in the SDNY against Barclays PLC, Barclays Bank PLC, the Company and other defendants,
alleging manipulation of the Singapore Interbank Offered Rate (SIBOR) and Singapore Swap Offer Rate (SOR). In 2018, the court dismissed all
claims against Barclays PLC, Barclays Bank PLC and the Company. The plaintiffs have appealed the dismissal.
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ICE LIBOR Civil
Actions
In 2019, several putative class actions were filed in the SDNY against
Barclays PLC, Barclays Bank PLC, the Company, other financial
institution defendants and Intercontinental Exchange Inc. and certain of its affiliates (ICE), asserting
antitrust claims that defendants manipulated
USD LIBOR through defendants' submissions to ICE. These actions have been consolidated. The defendants' motion to
dismiss was granted in
2020. The plaintiffs have appealed the dismissal. In August 2020, an ICE LIBOR related action was filed in the US District Court for the
Northern District of California on behalf of individual borrowers and consumers of loans and credit cards with variable interest rates linked to
USD ICE LIBOR.
Non-US Benchmarks Civil Actions
Legal proceedings have been brought or threatened against Barclays Bank PLC (and, in certain cases, Barclays Bank UK PLC) in the UK
in connection with alleged manipulation of LIBOR, EURIBOR and other benchmarks. Proceedings have also been brought in a number of other
jurisdictions in Europe and Israel. Additional proceedings in other jurisdictions may be brought in the future.
Foreign Exchange Investigations and Related Civil Actions
In 2015, the Group reached settlements totalling approximately $2.38 billion with various US federal and state authorities and the FCA in
relation to investigations into certain sales and trading practices in the Foreign Exchange market. Under the related plea agreement with the US
Department of Justice (DoJ), which received final court approval in January 2017, the Group agreed to a term of probation of three years, which
expired in January 2020. The Group also continues to provide relevant information to certain authorities.
The European Commission is one of a number of authorities still conducting an investigation into certain trading practices in Foreign
Exchange markets. The European Commission announced two settlements in May 2019 and the Group paid penalties totalling approximately
€210 million ($258 million). In June 2019, the Swiss Competition Commission announced two settlements and the Group paid penalties
totalling approximately CHF 27 million ($31 million). The financial impact of the ongoing matters is not expected to be material to the Group's
operating results, cash flows or financial position.
Various individuals and corporates in a range of jurisdictions have threatened or brought civil actions against the Group and other banks
in relation to alleged manipulation of Foreign Exchange markets.
FX Opt Out Civil Action
In 2018, Barclays Bank PLC and the Company settled a consolidated action filed in the SDNY, alleging manipulation of Foreign
Exchange markets (Consolidated FX Action), for a total amount of $384 million. Also in 2018, a group of plaintiffs who opted out of the
Consolidated FX Action filed a complaint in the SDNY against Barclays PLC, Barclays Bank PLC, the Company and other defendants. Some of
the plaintiff's claims were dismissed in 2020.
Retail Basis Civil Action
In 2015, a putative class action was filed against several international banks, including Barclays PLC and the Company, on behalf of a
proposed class of individuals who exchanged currencies on a retail basis at bank branches (Retail Basis Claims). The SDNY has ruled that the
Retail Basis Claims are not covered by the settlement agreement in the Consolidated FX Action. The Court subsequently dismissed all Retail
Basis Claims against the Group and all other defendants. The plaintiffs have filed an amended complaint.
State Law FX Civil Action
In 2017, the SDNY dismissed consolidated putative class actions brought under federal and various state laws on behalf of proposed
classes of (i) stockholders of Exchange Traded Funds and others who purportedly were indirect investors in FX instruments, and (ii) investors
who traded FX instruments through FX dealers or brokers not alleged to have manipulated Foreign Exchange Rates. Barclays Bank PLC and the
Company have settled the claim, which has received final court approval. The settlement was understood to be in the amount of $1,781,080. The
financial impact of the settlement is not material to the Barclays Bank Group's operating results, cash flows or financial position.
Non-US FX Civil Actions
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Legal proceedings have been brought or
are threatened against Barclays PLC, Barclays Bank PLC, the Company and Barclays Execution
Services Limited (BX) in connection with alleged manipulation of Foreign
Exchange in the UK, a number of other jurisdictions in Europe, Israel
and Australia and additional proceedings may be brought in the future.
These include two purported class actions filed against Barclays PLC, Barclays Bank PLC, BX, the
Company and other financial
institutions in the UK Competition Appeal Tribunal in 2019 following the settlements with the European Commission described above. Also in
2019, a separate claim was filed in the UK in the High Court of Justice by various banks and asset management firms against Barclays Bank
PLC and other financial institutions alleging breaches of European and UK competition laws related to FX trading.
Metals Investigations and Related Civil Actions
Barclays Bank PLC previously provided information to the DoJ, the US Commodity Futures Trading Commission and other authorities in
connection with investigations into metals and metals-based financial instruments.
A number of US civil complaints, each on behalf of a proposed class of plaintiffs, have been consolidated and transferred to the SDNY.
The complaints allege that Barclays Bank PLC and other members of The London Gold Market Fixing Ltd. manipulated the prices of gold and
gold derivative contracts in violation of the Antitrust Act and other federal laws. This consolidated putative class action remains pending. A
separate US civil complaint by a proposed class of plaintiffs against a number of banks, including Barclays Bank PLC, the Company and BX,
alleging manipulation of the price of silver in violation of the CEA, the Antitrust Act and state antitrust and consumer protection laws, has been
dismissed as against the Group entities. The plaintiffs have the option to seek the court's permission to appeal.
Civil actions have also been filed in Canadian courts against Barclays PLC, Barclays Bank PLC,
Barclays Capital Canada Inc. and the
Company on behalf of proposed classes of plaintiffs alleging manipulation of gold and silver prices
Residential Mortgage-backed Securities Civil Action
The Company has been party to a number of lawsuits filed by purchasers of US residential
mortgage-backed securities (RMBS)
sponsored and/or underwritten by the Group between 2005 and 2008. As a general matter, these lawsuits alleged, among other things, that
the
RMBS offering materials contained materially false and misleading statements and/or omissions and generally demanded rescission and
recovery of the consideration paid for the RMBS and/or recovery of monetary losses arising out of their ownership. The Company has resolved
its legacy RMBS securities civil actions, including the action that was dismissed in Washington state court in April 2020.
In 2020, a civil litigation claim was filed in the New Mexico First Judicial District Court by
the State of New Mexico against seven banks,
including the Company, on behalf of two New Mexico state pension funds and the New Mexico State Investment Council relating to
legacy
RMBS purchases. As to the Company, the complaint alleges that the funds purchased approximately $22 million in RMBS underwritten by the
Company. The plaintiffs have asserted claims under New Mexico state law, which provides for the ability to claim treble damages and
civil penalties.
Government and Agency Securities Civil Actions and Related Matters
Certain governmental authorities have conducted investigations into activities relating to the trading of certain government and agency
securities in various markets. The Group provided information in cooperation with such investigations.
Treasury Auction Securities Civil Actions
Consolidated putative class action complaints filed in US federal court against Barclays Bank PLC, the Company and other financial
institutions under the Antitrust Act and state common law allege that the defendants (i) conspired to manipulate the US Treasury securities
market and/or (ii) conspired to prevent the creation of certain platforms by boycotting or threatening to boycott such trading platforms. The
defendants have filed a motion to dismiss.
In addition, certain plaintiffs have filed a related, direct action against the Company and certain other financial institutions, alleging that
defendants conspired to fix and manipulate the US Treasury securities market in violation of the Antitrust Act, the CEA and state common law.
Supranational, Sovereign and Agency bonds civil actions
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Civil antitrust actions have been filed
in the SDNY and Federal Court of Canada in Toronto against Barclays Bank PLC, the Company,
BX, Barclays Capital Securities Limited and, with respect to the civil action
filed in Canada only, Barclays Capital Canada, Inc. and other
financial institutions alleging that the defendants conspired to fix prices and restrain competition in the
market for US dollar-denominated
Supranational, Sovereign and Agency bonds.
In one of the actions filed in the SDNY, the court granted the defendants' motion to dismiss the plaintiffs' complaint, which the plaintiffs
have appealed. The plaintiffs have voluntarily dismissed the other SDNY action.
Variable Rate Demand Obligations Civil Actions
Civil actions have been filed against Barclays Bank PLC, the Company and other financial institutions alleging the defendants conspired
or colluded to artificially inflate interest rates set for Variable Rate Demand Obligations (VRDOs). VRDOs are municipal bonds with interest
rates that reset on a periodic basis, most commonly weekly. Two actions in state court have been filed by private plaintiffs on behalf of the states
of Illinois and California. Two putative class action complaints, which have been consolidated, have been filed in the SDNY. In the SDNY class
action, certain of the plaintiff's claims were dismissed in November 2020.
Government bond civil actions
In a putative class action filed in the SDNY in 2019, plaintiffs alleged that the Company and certain other bond dealers conspired to fix
the prices of US government sponsored entity bonds in violation of US antitrust law. The Company agreed to a settlement of $87 million, which
received final court approval in 2020. Separately, various entities in Louisiana, including the Louisiana Attorney General and the City of Baton
Rouge, have commenced litigation against Barclays Bank PLC, the Company, and other financial institutions making similar allegations as the
SDNY class action plaintiffs.
In 2018, a separate putative class action against various financial institutions including Barclays PLC, Barclays Bank PLC, the Company,
Barclays Bank Mexico, S.A., and certain other subsidiaries of the Group was consolidated in the SDNY. The plaintiffs asserted antitrust and
state law claims arising out of an alleged conspiracy to fix the prices of Mexican Government bonds. Barclays PLC has settled the claim for $5.7
million, which is subject to final court approval.
Odd-lot corporate bonds antitrust class action
In 2020, the Company, together with other financial institutions, were named as
defendants in a putative class action. The complaint
alleges a conspiracy to boycott developing electronic trading platforms for odd-lots and price-fixing. Plaintiffs
demand unspecified money
damages. The defendants have filed a motion to dismiss.
Interest rate swap and credit default swap US civil actions
Barclays PLC, Barclays Bank PLC and the Company, together with other financial institutions that act as market makers for interest rate
swaps (IRS) are named as defendants in several antitrust class actions which were consolidated in the SDNY in 2016. The complaints allege the
defendants conspired to prevent the development of exchanges for IRS and demand unspecified money damages.
In 2018, trueEX LLC filed an antitrust class action in the SDNY against a number of financial institutions including Barclays PLC,
Barclays Bank PLC and the Company based on similar allegations with respect to trueEX LLC's development of an IRS platform. In 2017, Tera
Group Inc. filed a separate civil antitrust action in the SDNY claiming that certain conduct alleged in the IRS cases also caused the plaintiff to
suffer harm with respect to the Credit Default Swaps market. In 2018 and 2019, respectively, the court dismissed certain claims in both cases for
unjust enrichment and tortious interference but denied motions to dismiss the federal and state antitrust claims, which remain pending.
Shareholder Derivative Action
A purported Barclays shareholder filed a putative derivative action in New York state court against the Company and a number of current
and former members of the Board of Directors of Barclays PLC and senior executives or employees of the Barclays Group. The shareholder
filed the claim on behalf of Barclays PLC, alleging that the individual defendants harmed the company through breaches of their duties under the
Companies Act 2006. The plaintiff seeks damages for the losses that Barclays PLC allegedly suffered.
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General
The Company and the Group are engaged in various other legal, competition and regulatory matters
in the US and a number of overseas
jurisdictions, including those which arise in the ordinary course of business from time to time.
The Company and the Group are also subject to enquiries and examinations, requests for
information, audits, investigations and legal and
other proceedings by regulators, governmental and other public bodies in connection with its business. The Company and
the Group as
applicable are cooperating with the relevant authorities and keeping all relevant agencies briefed as appropriate in relation to these matters and
others described in this note on an ongoing basis.
At the present time, the Company does not expect the ultimate resolution of any of these other matters to have a material adverse effect on
its financial position.
Included by the Sponsor from the NFA Website and not provided by BCI
CBOE Case #: USFI-1050-09. From in or about August 2019 through in or about January 2020, Barclays Capital Inc. transferred VX
futures positions between it and Barclays Bank PLC, an affiliated but separate legal entity, on four occasions, in violation of CFE Rule 420.
From on or about January 10, 2020 through on or about January 13, 2020, Barclays Capital Inc. misreported open interest related to the Oct'20
VX futures contract that impacted the applicable product's overall open interest, in violation of CFE Rule 410A. Finally, despite receiving
directives from CFE Staff in 2011 and 2016 that it could only transfer positions pursuant to the limited circumstances provided in CFE Rule 420
and the restrictions in its written supervisory procedures, Barclays Capital Inc. failed to establish, maintain and administer reasonable written
supervisory procedures to ensure it complied with CFE Rule 420. Action Type: Books and Records Violation Fine: $75,000. Effective Date:
06/23/2021
assigning trades inaccurate Customer Type Indicator (CTI) Codes. On June 30, 2021, Barclays Capital, Inc., pursuant to Rule 512 ("Reporting
Infractions"), was issued a $1,000 fine for its violation of Rule 536.D. Effective Date: 07/20/2021
CBOT Case #: DQA-21-0643. During the period of January 1, 2021, to March 31, 2021, Barclays Capital, Inc. violated
Rule 576 by failing to maintain current and accurate information in the Exchange Fee System. On September 9, 2021,
Barclays Capital Inc., pursuant to Rule 512 ("Reporting Infractions") was collectively issued a $4,000 fine for its
violations for Rule 576 (includes NYMEX Case DQA-21-0643). The allocation of the fine across exchanges is based on
the activity at each Designated Contract Market. Effective Date: September 24, 2021
CBOT
Case #: DQA-21-0684. During the period of May 1, 2021 to May 31, 2021, Barclays Capital, Inc. violated Rule 536.D by
Deutsche Bank Securities Inc. ("DBSI")
Legal Contingencies
The Corporation operates in a legal and regulatory environment that exposes it to significant
legal risks. As a result, the Corporation is
involved in litigation, arbitration and regulatory proceedings in the ordinary course of business that claim substantial
damages.
In accordance with ASC 450, Loss Contingencies, the Corporation will accrue
a liability when it is probable that a liability has been
incurred and the amount of the loss can be reasonably estimated. In many lawsuits, regulatory proceedings and
arbitrations, it is not possible to
determine whether a liability has been incurred or to estimate the ultimate or minimum amount of that liability until the matter is
close to
resolution, in which event no accrual is made until that time. In view of the inherent difficulty of predicting the outcome of such matters,
particularly in cases in which claimants seek substantial or indeterminate damages, the Corporation cannot determine the probability or estimate
what the eventual loss or range of loss related to such matters will be. Subject to the foregoing, the Corporation continues to assess such matters
and believes, based on information available, that the resolution of these matters will not have a material adverse effect on the financial
condition of the Corporation.
For the Corporation's significant matters where an estimate can be made, the Corporation currently estimates that, as of June 30, 2019,
the aggregate future loss, which is considered to be reasonably possible, is approximately $216 million.
This figure includes contingent liabilities on matters where the Corporation's potential liability is joint and several and where the
Corporation expects any such liability to be paid by a third party.
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This estimated possible loss, as well as any provisions taken, is based upon currently available information and
is subject to significant
judgment and a variety of assumptions, variables and known and unknown uncertainties. These uncertainties may include inaccuracies in or
incompleteness of the information available to the Corporation, particularly at the preliminary stages of matters, and assumptions by the
Corporation as to future rulings of courts or other tribunals or the likely actions or positions taken by regulators or adversaries may prove
incorrect. Moreover, estimates of possible loss for these matters are often not amenable to the use of statistical or other quantitative analytical
tools frequently used in making judgments and estimates, and are subject to even greater degrees of uncertainty than in many other areas where
the Corporation must exercise judgment and make estimates.
The matters for which the Corporation determines that the possibility of a future loss is more than remote will change from time to time,
as will the matters as to which an estimate can be made and the estimated possible loss for such matters. Actual results may prove to be
significantly higher or lower than the estimate of possible loss in those matters where such an estimate was made. In addition, loss may be
incurred in matters with respect to which the Corporation believed the likelihood of loss was remote. In particular, the estimated aggregate
possible loss does not represent the Corporation's potential maximum loss exposure for those matters.
The Corporation may settle litigation or regulatory proceedings or investigations prior to a
final judgment or determination of liability. It
may do so for a number of reasons, including to avoid the cost, management efforts or negative business, regulatory or
reputational
consequences of continuing to contest liability, even when the Corporation believes it has valid defenses to liability. It may also do so when the
potential consequences of failing to prevail would be disproportionate to the costs of settlement. Furthermore, the Corporation may, for similar
reasons, reimburse counterparties for their losses even in situations where it does not believe that it is legally compelled to do so.
The actions against the Corporation as of June 30, 2019 include, but are not limited to, the
following (listed in alphabetical order):
Corporate Securities Matters
The Corporation regularly acts in the capacity of underwriter and sales agent for debt and equity securities of corporate issuers and is
from time to time named as a defendant in litigation commenced by investors relating to those securities.
The Corporation, along with numerous other financial institutions, is a defendant in a consolidated putative class action lawsuit pending
in the United States District Court for the District of New Jersey. The complaint asserts claims against the Corporation under Sections 11 and 12
of the Securities Act for alleged misstatements and omissions in the offering documents attendant to Valeant Pharmaceuticals International,
Inc.'s (Valeant) issuance of senior notes in January 2015 and March 2015 (the Note Offerings), as well as Valeant's secondary offering of
common stock in March 2015 (the Stock Offering). The Corporation acted as one of several initial purchasers of the Note Offerings and as one
of several underwriters of the Stock Offering. On April 28, 2017, the court partially granted and partially denied a motion to dismiss filed by the
Corporation and other bank defendants; the claims relating to the Note Offerings were dismissed, but the claims relating to the Stock Offering
were allowed to proceed. The matter is currently in discovery. The Corporation and other financial institutions are also defendants in a class
action lawsuit pending in the Superior Court of Quebec asserting statutory and civil claims against the Corporation for misrepresentations in
primary market disclosures. The matter is currently in discovery. On January 2, 2018, several pension funds filed an additional suit in the
District of New Jersey against Valeant and others, including the Corporation, asserting a negligent misrepresentation claim against the
Corporation and another financial institution in connection with the March 2015 Note Offering. On September 26, 2018, the court dismissed the
sole claim against the Corporation, subject to plaintiff's appellate rights. On January 4, 2018, a hedge fund and related entities filed suit in the
Southern District of New York against Valeant and others, including the Corporation. The complaint asserts claims under Sections 11 and 12 of
the Securities Act of 1933 in connection with the March 2015 Stock Offering. The action was later transferred to the District of New Jersey, and
on September 14, 2018, the court denied the underwriter group's partial motion to dismiss the complaint. The matter is currently in discovery. In
connection with its role as an initial purchaser in the Note Offerings and an underwriter in the Stock Offering, the Corporation received a
customary indemnification agreement from Valeant as issuer.
The Corporation, along with numerous other underwriters of various securities offerings by SunEdison, Inc. and its majority-owned
affiliate TerraForm Global, Inc., is named in nine putative securities class and individual actions filed beginning in October 2015 in state and
federal courts. The complaints all allege violations of the federal securities laws, and several of the individual actions also variously assert
claims under state securities laws and for common law negligent misrepresentation with respect to various offerings by SunEdison or
TerraForm. The actions were transferred for pre-trial proceedings to a multi-district litigation (MDL) pending in the Southern District of New
York. The issuer and plaintiffs entered into an agreement to resolve the class action based on TerraForm's initial public offering as to all
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defendants without contribution from the underwriters.
The parties submitted the settlement and received preliminary approval in December
2017, and a final approval hearing that was scheduled for April 2018 was adjourned
without a date because certain larger institutional class
members opted out of the settlement, prompting TerraForm to exercise its termination right. The direct cases and
causes of actions arising
exclusively out of Terraform offerings were dismissed with prejudice in late December 2017 and early January 2018. On March 6, 2018,
defendants' motion to dismiss the class action based on the SunEdison offering was granted as to certain alleged misstatements and omissions
and denied as to others. On March 1, 2019, four of the individual cases were dismissed with prejudice. Following the ruling on the motion to
dismiss in the class action, the parties stipulated to have the court's motion to dismiss decision in the class action apply to certain individual
plaintiffs' amended complaints and incorporate these plaintiffs into discovery. On July 11, 2019, the parties in the class action executed a
settlement agreement, which was preliminarily approved by the Court on July 16, 2019. On August 6, 2019, these individuals plaintiffs
requested leave to file amended complaints. The underwriters, including the Corporation, received customary indemnification from SunEdison
and Terraform in connection with the offerings, but the availability of indemnification from SunEdison was adversely impacted when
SunEdison filed for bankruptcy protection on April 21, 2016 in the U.S. Bankruptcy Court for the Southern District of New York.
The Corporation was also named as a defendant in a lawsuit filed in the Superior Court of the
State of California, County of San
Francisco arising out of its role as an arranger of a term B/second lien loan to SunEdison, Inc. The complaint asserts state common law
claims
based on allegations that the Corporation misrepresented or failed to disclose to the second lien lenders certain facts about SunEdison's financial
condition, including that SunEdison did not have sufficient liquidity. The Corporation removed the case to the United States District Court for
the Northern District of California, and sought transfer to a multi-district litigation (MDL) related to SunEdison pending in the Southern District
of New York. On April 3, 2019, the case was transferred to the MDL over plaintiff's objection. On April 18, 2019, the MDL Court referred the
case to the Bankruptcy Court for consideration with SunEdison's chapter 11 bankruptcy proceedings. On April 24, 2019, plaintiff filed a motion
to remand. The Bankruptcy Court remanded the case to California state court on June 3, 2019, and the case was returned to California state
court. The Corporation filed a demurrer and motion to stay the action pending the resolution of DBSI's appeal of the remand order on July 15,
2019, which plaintiff opposes. Meanwhile, the Corporation filed an appeal of the remand order, and its opening brief was filed on August 16,
2019.
The Corporation, along with numerous other financial institutions, has been named as a defendant
in a putative consolidated class action
lawsuit pending in the United States District Court for the Northern District of Texas regarding the initial public offering of
Santander Consumer
USA Holdings Inc. The Consolidated Complaint asserts claims against the Corporation under Sections 11 and 12 of the Securities Act for
alleged misstatements and omissions in the offering documents issued by Santander Consumer in connection with Santander Consumer's
August 26, 2014 initial public offering. The Corporation acted as one of the underwriters on that initial public offering with other bank
defendants. Jointly with the other bank defendants, the Corporation filed a motion to dismiss the Consolidated Complaint on December 18,
2015. On June 13, 2016, the court denied the issuer and underwriters' motions to dismiss. The plaintiffs' motion for class certification is
currently pending before the court. In connection with its role as an underwriter of the initial public offering, the Corporation received a
customary indemnification agreement from Santander Consumer as issuer.
Employment Litigation
The Corporation has been named as respondent in an arbitration proceeding brought by two former
Managing Directors for breach of
contract, unjust enrichment and violation of New York Labor Law for the failure to pay alleged formulaic bonuses based on an alleged oral
promise. The Corporation answered the statement of claim on January 17, 2019. The hearing is scheduled to be held December 3 through
December 13, 2019.
Interbank and Dealer Offered Rates
The Corporation is, along with various other financial institutions, a defendant in multiple actions alleging that it conspired to manipulate
U.S. Dollar LIBOR that have been coordinated as part of a multidistrict litigation (the U.S. Dollar LIBOR MDL) in the Southern District of New
York. On December 20, 2016, the district court in the U.S. Dollar LIBOR MDL issued a ruling dismissing certain antitrust claims while
allowing others to proceed. The district court's ruling indicated that antitrust claims brought against the Corporation by plaintiff Salix Capital
US Inc., on its own behalf and as assignee of the FrontPoint Funds, could proceed, and that claims brought against the Corporation by plaintiffs
Principal Funds, Inc. and related companies remained dismissed. On February 2, 2017, the court entered an order holding that claims against
affiliates of LIBOR panel banks should be dismissed, and directed that the parties meet and confer to identify the particular entities to be
dismissed as a result of this holding. Certain plaintiffs have appealed the district court's December 20, 2016 ruling; briefing of the appeal is
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complete and oral argument was heard on May 24, 2019. On
July 8, 2019, plaintiffs Principal Funds, Inc., Principal Financial Group, Inc., and
related companies filed revised amended complaints.
Also coordinated as part of the U.S. Dollar LIBOR MDL is a putative class action brought by
plaintiffs who allegedly traded
exchange-listed Eurodollar futures and options (the exchange-based plaintiffs) and claim that defendants coordinated to make artificial USD
LIBOR submissions. As is relevant to the Corporation, on April 15, 2016, the court denied the exchange-based plaintiffs leave to add the
Corporation as a defendant, on the basis that their proposed claims were untimely. On July 13, 2017, DBAG, the Corporation, and DB Group
Services (UK) Limited entered into an agreement with plaintiffs to settle this action. The settlement agreement is subject to further review and
approval by the court.
On January 12, 2018, a putative class action lawsuit was filed in the U.S. District Court for the Southern District of New York relating to
the Canadian Dealer Offered Rate (CDOR), a Canadian dollar denominated interest rate benchmark, against numerous financial institutions
including the Corporation. Plaintiff filed an amended complaint on March 20, 2018, which alleged that the defendants, members of the panel of
banks that provided CDOR submissions and their affiliates, suppressed their CDOR submissions in order to benefit their positions in
CDOR-referencing financial instruments. On March 14, 2019, the court granted defendants' motions to dismiss the amended complaint,
dismissing all claims against the Corporation. The plaintiff filed a notice of appeal; however, on July 25, 2019, the plaintiff and defendants filed
a stipulation withdrawing the appeal with prejudice.
In January and March 2019, plaintiffs filed three putative class action complaints in the U.S. District Court for the Southern District of
New York against numerous financial institutions, including DBAG and the Corporation. The complaints allege that the defendants, members of
the panel of banks that provided U.S. Dollar LIBOR submissions, the organization that administers LIBOR, and their affiliates, conspired to
suppress USD LIBOR submissions from February 1, 2014 through the present. These actions have been consolidated, and on July 1, 2019, the
plaintiffs filed a consolidated amended complaint. On August 30, 2019, the defendants moved to dismiss the consolidated amended complaint.
DBAG has previously entered into settlements with U.S. and foreign government entities to resolve
investigations into misconduct
concerning the setting of certain interbank offered rates. The Corporation is not a named party to these settlements; however, the
settlements
may have an impact on the Corporation's ability to defend against the litigations.
Interest Rate Swaps (IR Swaps) Market
On October 5, 2016, the CFTC issued a subpoena to DBAG and its affiliates, including the
Corporation, seeking documents and
information concerning the trading and clearing of IR Swaps. DBAG is cooperating fully in response to the subpoena and requests
for information.
DBAG and the Corporation are defendants, along with numerous other IR Swaps dealer banks, in a
multi-district antitrust civil class
action filed in the United States District Court for the Southern District of New York involving class and competitor claims. The
class action
plaintiffs are consumers of IR Swaps. Competitor trading platforms TeraExchange, Javelin and TrueEx have also filed individual lawsuits. All
of the cases have been consolidated for pretrial purposes. The plaintiffs filed second consolidated amended complaints on December 9, 2016
alleging that the banks conspired with TradeWeb and ICAP to prevent the establishment of exchange-traded IR Swaps. On July 28, 2017,
defendants' motions to dismiss the second consolidated amended complaints were granted in part and denied in part. Class plaintiffs filed the
Third Consolidated Amended Class Action Complaint on May 30, 2018. On August 7, 2018, TrueEx filed an amended complaint, which
defendants moved to dismiss on August 28, 2018. On November 20, 2018, the court granted in part and denied in part defendant's motion to
dismiss the amended TrueEx complaint. Class plaintiffs filed the Fourth Consolidated Amended Class Action complaint on March 22, 2019.
Fact discovery in all cases closed on April 10, 2019 and the parties are currently briefing class certification issues. The class plaintiffs served a
motion to certify a class on February 20, 2019. The defendants filed an opposition to plaintiffs' motion for class certification on June 18, 2019,
and the motion is scheduled to be fully briefed on October 1, 2019.
Mortgage-Related and Asset Backed Securities Matters and Investigation
Regulatory and Governmental Matters. The Corporation, along with certain affiliates (collectively referred to in these paragraphs as
Deutsche Bank), received subpoenas and requests for information from certain regulators and government entities, including members of the
Residential Mortgage Backed Securities Working Group of the U.S. Financial Fraud Enforcement Task Force, concerning its activities regarding
the origination, purchase, securitization, sale, valuation and/or trading of mortgage loans, residential mortgage-backed securities (RMBS),
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commercial mortgage-backed securities (CMBS),
collateralized debt obligations (CDOs), other asset-backed securities and credit derivatives.
Deutsche Bank cooperated fully in response to those subpoenas and requests
for information. On January 17, 2017, Deutsche Bank executed a
settlement with the DOJ to resolve potential claims related to its RMBS business conducted from 2005 to
2007. Under the settlement, Deutsche
Bank paid a civil monetary penalty of $3.1 billion and agreed to provide $4.1 billion in consumer relief.
In September 2016, Deutsche Bank received administrative subpoenas from the Maryland Attorney
General (Maryland AG) seeking
information concerning Deutsche Bank's RMBS and CDO businesses from 2002-2009. On June 1, 2017, Deutsche Bank and the Maryland AG
executed a settlement to resolve the matter for $15 million in cash and $80 million in consumer relief to be allocated from the overall $4.1
billion consumer relief obligation agreed to as part of Deutsche Bank's settlement with the DOJ.
Deutsche Bank has recorded provisions with respect to some of the outstanding regulatory investigations, a portion of which relate to the
consumer relief being provided under the DOJ settlement.
Issuer and Underwriter Civil Litigation. Deutsche Bank has been named as defendant in numerous civil litigations brought by private
parties in connection with its various roles, including issuer or underwriter, in offerings of RMBS and other asset-backed securities. These cases,
described below, allege that the offering documents contained material misrepresentations and omissions, including with regard to the
underwriting standards pursuant to which the underlying mortgage loans were issued, or assert that various representations or warranties relating
to the loans were breached at the time of origination.
Deutsche Bank is a defendant in a putative class action relating to its role as underwriter of six RMBS issued by Novastar Mortgage
Corporation. No specific damages are alleged in the complaint. The lawsuit was brought by plaintiffs representing a class of investors who
purchased certificates in those offerings. The parties reached a settlement agreement to resolve the matter for a total of $165 million, a portion of
which was paid by Deutsche Bank. On August 30, 2017, The Federal Housing Finance Agency and The Federal Home Loan Mortgage
Corporation (together, "FHFA") filed an objection to the settlement and shortly thereafter appealed the district court's denial of their request to
stay settlement approval proceedings, which appeal was ultimately resolved against FHFA. The court overruled FHFA's objection and approved
the settlement following a hearing on March 7, 2019. FHFA filed an appeal on June 28, 2019.
Deutsche Bank is a defendant in three actions related to RMBS offerings brought by the Federal Deposit Insurance Corporation (FDIC) as
receiver for: (a) Colonial Bank (alleging no less than $213 million in damages against all defendants), (b) Guaranty Bank (alleging no less than
$901 million in damages against all defendants), and (c) Citizens National Bank and Strategic Capital Bank (alleging an unspecified amount in
damages against all defendants). In each of these actions, the appellate courts have reinstated claims previously dismissed on statute of
limitations grounds and petitions for rehearing and certiorari to the U.S. Supreme Court were denied. In the case concerning Colonial Bank, a
settlement was fully executed on July 2, 2019. Deutsche Bank was fully indemnified and did not make a monetary contribution to the settlement.
In the case concerning Guaranty Bank, on September 14, 2017, the court granted in part Deutsche Bank's motion for summary judgment
regarding the proper method of calculating pre-judgment interest. The parties engaged in mediation on November 27, 2018 and June 3, 2019. No
settlement was reached during the mediation. Trial is scheduled to begin on October 28, 2019. In the case concerning Citizens National Bank
and Strategic Capital Bank, on July 31, 2017, the FDIC filed a second amended complaint, which defendants moved to dismiss on September
14, 2017. The case is stayed pending resolution of defendants' motion to dismiss.
Deutsche Bank is a defendant in an action brought by Royal Park Investments (Royal Park) (as purported assignee of claims of a
special-purpose vehicle created to acquire certain assets of Fortis Bank) alleging common law claims related to the purchase of RMBS. The
complaint did not specify the amount of damages sought. On April 17, 2017, the court dismissed the complaint, and on February 13, 2018, it's
the plaintiff filed its appeal. On October 9, 2018, the dismissal was affirmed by the appellate court. Plaintiff filed a motion for leave to appeal to
the New York Court of Appeals on November 8, 2018. Defendants filed an opposition on November 21, 2018, which completed the briefing. On
January 15, 2019, the New York Court of Appeals denied the motion.
In the actions against Deutsche Bank solely as an underwriter of other issuers' RMBS offerings, Deutsche Bank has contractual rights to
indemnification from the issuers, but those indemnity rights may in whole or in part prove effectively unenforceable where the issuers are now,
or may in the future be, in bankruptcy or otherwise defunct.
Precious Metals Investigations and Litigations
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Deutsche Bank received inquiries from
certain regulatory and law enforcement authorities, including requests for information and
documents, pertaining to investigations of precious metals trading and related
conduct. Deutsche Bank is cooperating with these investigations.
On January 29, 2018, Deutsche Bank entered into a $30 million settlement with the U.S. Commodity Futures
Trading Commission (CFTC)
concerning spoofing, and manipulation and attempted manipulation in precious metals futures and of stop loss orders.
Deutsche Bank is a defendant in two consolidated class action lawsuits pending in the U.S.
District Court for the Southern District of New
York. The suits allege violations of U.S. antitrust law, the U.S. Commodity Exchange Act and related state law arising out
of the alleged
manipulation of gold and silver prices through participation in the Gold and Silver Fixes. Deutsche Bank reached agreements to settle the Gold
action for $60 million and the Silver action for $38 million, which remain subject to final court approval.
Deutsche Bank is a defendant in Canadian class action proceedings in the provinces of Ontario and
Quebec concerning gold and silver.
Each of the proceedings seeks damages for alleged violations of the Canadian Competition Act and other causes of action. Deutsche Bank
has
reached agreements to settle these actions which were approved by the Ontario court on May 29, 2019 and the Quebec court on June 17, 2019.
The amounts are not material to the Bank.
Recordkeeping Investigation
The Corporation has received inquiries from a regulatory authority, including requests for
information and documents, with respect to the
Corporation's archiving of records and the Corporation's compliance with and policies and procedures related to
the recordkeeping requirements
for broker-dealers. The Corporation is cooperating with this investigation.
Sovereign, Supranational and Agency Bonds (SSA) Investigations and Litigations
DBAG has received inquiries from certain regulatory and law enforcement authorities, including requests for information and documents,
pertaining to SSA bond trading. Deutsche Bank is cooperating with these investigations.
DBAG is a defendant in several putative class action complaints filed in the U.S. District Court for the Southern District of New York
alleging violations of antitrust law. On May 8, 2016, direct market participants filed class actions relating to SSA bond trading; DBAG has
reached an agreement to settle the actions by direct market participants in SSA bonds for the amount of $48.5 million, which is pending court
approval. In February 2019, alleged indirect market participants filed a class action relating to SSA bond trading, which is in its early stages. In
March 2018, alleged market participants filed a class action relating to Mexican government bond trading, which is in early stages and for which
a motion to dismiss is pending with the court. In February 2019, alleged market participants filed class actions relating to US Agency bond
trading, which were consolidated under a single case heading in April 2019; the Bank has reached a preliminary agreement to settle the action,
which is subject to agreement on all other settlement terms, and the settlement agreement is subject to further documentation and approval of
the court.
DBAG is
also a defendant in actions filed in Canada on November 7, 2017 and December 5, 2017, which relate to SSA bond trading and
which are in early stages.
Tax-Related Litigation
DBAG, along with certain affiliates, including DBTCA and the Corporation, and current and/or former employees (collectively referred
to in this section as Deutsche Bank), have collectively been named as defendants in a number of legal proceedings brought by customers in
various tax-oriented transactions that DBAG participated in between 1999 and 2002 and that are generally the subject of a non-prosecution
agreement DBAG entered into with the U.S. Department of Justice in 2010. Deutsche Bank provided financial products and services to these
customers, who were advised by various accounting, legal and financial advisory professionals. The customers claimed tax benefits as a result of
these transactions, and the U.S. Internal Revenue Service (IRS) has rejected those claims. In these legal proceedings, the customers allege that
the professional advisors, together with Deutsche Bank, improperly misled the customers into believing that the claimed tax benefits would be
upheld by the IRS. The legal proceedings are pending in state and federal courts, and claims against Deutsche Bank are alleged under both U.S.
state and federal law. All but one of these legal proceedings have been resolved and dismissed with prejudice with respect to Deutsche Bank.
The remaining proceeding, pending in state court in Illinois, is currently in the pre-trial discovery stage. Deutsche Bank has received and
resolved a number of unfiled claims as well.
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Trust Preferred Securities
DBAG and certain of its affiliates and former officers, including the Corporation, are the subject of a consolidated putative class action,
filed in the United States District Court for the Southern District of New York, asserting claims under the federal securities laws on behalf of
persons who purchased certain trust preferred securities issued by DBAG and its affiliates between October 2006 and May 2008. The court has
dismissed all claims related to four of the six offerings, and narrowed claims as to the November 2007 and February 2008 Offerings. The district
court limited claims relating to the two offerings remaining in the case to alleged failures (i) to disclose "any known trends or uncertainties that
have had or that the registrant reasonably expects will have a material favorable or unfavorable impact on net sales or revenues or income from
continuing operations" and (ii) to disclose "the most significant factors that make the offering speculative or risky" pursuant to Items 303 and
503 of Regulation S-K. Defendants served Answers denying all wrongdoing. On October 2, 2018, the district court certified a plaintiff class as
to both offerings. All discovery is completed. The parties are proceeding on a court ordered schedule for the presentation of defendants' motion
for summary judgment. Defendants' briefs were filed on July 31, 2019.
US Treasury Securities Investigations and Litigations
DBAG has received inquiries from certain regulatory and law enforcement
authorities, including requests for information and documents,
pertaining to U.S. Treasuries auctions, trading, and related market activity. DBAG is cooperating with these
investigations. The Corporation was
a defendant in several putative class actions alleging violations of U.S. antitrust law, the U.S. Commodity Exchange Act and common law
related to the alleged manipulation of the U.S. Treasury securities market. These cases have been consolidated in the Southern District of New
York. On November 15, 2017, plaintiffs filed a consolidated amended complaint, which did not name the Corporation as a defendant. On
December 11, 2017, the court dismissed the Corporation from the class action without prejudice.
ISDAFIX
On February 1, 2018, the Company entered into a settlement with the US Commodity Futures Trading
Commission (CFTC) to resolve the
CFTC's investigation concerning the Company's involvement in the setting of US Dollar ISDAFIX. The Company agreed to pay a
civil
monetary penalty of $70 million and to remedial undertakings, including maintaining systems and controls reasonably designed to prevent
potential manipulation of interest rate swaps benchmarks.
CFE 10-007, January 16, 2020
(included by Sponsor from
the NFA website and not provided by DBSI)
DBSI failed to properly report open
interest to the Options Clearing Corporation, resulting in overstatements of the February 2019 VX06
open interest for four days proximate to the contract's final
settlement date. This failure was due to a systems issue.
ED&F Man Capital Markets, Inc. (Man)
Except as indicated below, there have been no material civil, administrative, or criminal proceedings pending, on appeal, or concluded
against ED&F Man Capital Markets Inc. (the "Firm") or its principals in the past five (5) years.
United States District Court for the Southern District of New York, Civil Action No.
19-CV-8217
In a private litigation, plaintiffs allege, among other things, that the
Firm made certain fraudulent misrepresentations to them that they
relied upon in connection with a futures account carried by the Firm in its capacity as a futures
commission merchant. The plaintiffs allege
claims of common law fraud, negligence, breach of fiduciary duty, breach of contract, breach of the duty of good faith and fair
dealing and
misrepresentation/omission. The Firm has filed its Answer and Counterclaims to the Complaint and intends to vigorously defend the litigation.
Included by the Sponsor from the NFA Website and not provided by Man
NFA Case #: 21BCC0010. On June 30, 2021, the NFA's Business Conduct Committee (BCC) issued
a complaint against ED&F Man
alleging that ED&F Man failed to comply with the Qualification Testing of Associated Persons (APs). On September 16, 2021, the
NFA's BCC
issued a Decision accepting ED&F Man's settlement offer finding that ED&F Man violated NFA Compliance Rule 2-24 and ordered ED&F
Man to pay a $150,000 fine. Effective Date: October 1, 2021.
ICE Case #: 2017-066D
ED&F Man Capital Markets, Ltd. was issued
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a summary fine in the amount of $2,500 for failing to retain electronic audit trail data corresponding to four (4) orders
entered onto the electronic trading system in 2016. Effective Date: October 11, 2018
SG Americas Securities, LLC (SGAS)
In the normal course of business, SGAS, a registered broker-dealer and futures
commission merchant, and/or its principals may be named
as defendant(s) in various legal actions, including arbitrations, class actions and other proceedings, and may be
involved in reviews,
investigations and other proceedings (formal and informal) by governmental agencies, law enforcement, and self-regulatory organizations.
Information on formal regulatory proceedings involving SGAS, including fines, is available through FINRA's BrokerCheck or via the National
Futures Association's Background Affiliation Status Information Center. Certain material proceedings or other investigations involving SGAS
and/or its ultimate corporate parent Societe Generale (SG) and other affiliates can be found in SG's periodic regulatory filings with the Autorité
des marchés financiers ("AMF"), the French analogue to the Securities and Exchange Commission.
Regulatory Matters
•
In September 2016, SGAS, as successor to Newedge USA, settled,
without admitting or denying the allegations, a matter brought by the
CFTC alleging Newedge USA violated Section 4C(A) of the Commodity Exchange Act and Regulations 1.38
and 166.3 by executed and
confirming numerous exchange for physical transactions in agricultural and soft commodities for and on behalf of its clients that were for the
same contract, quantity and same or similar price with the buyer and seller for each transaction under the same common control and ownership.
The settlement included a $750,000 civil penalty and an undertaking to implement policies, procedures and training programs reasonably
designed to prevent the execution, clearing and reporting to an exchange of non-bona fide exchange of futures for physical transactions.
•
In April 2017, SGAS settled, without admitting or denying the allegations, a matter brought by the Chicago Board of Options Exchange for
failing to report, or accurately report, "reportable positions" on its large option position report in violation of Exchange Rules 4.2 and 4.13. In
connection with this matter, SGAS paid a fine of $100,000.
•
In April 2017, SGAS settled, without admitting or denying the findings, a matter brought by FINRA for failing to establish and maintain a
supervisory system reasonably designed to ensure that customers of a recently acquired firm were sent account statements, notified of availability
of statements on its customer portal, agreed to receive statements and confirmations electronically, and were sent confirmations which
contained all of the required information. The settlement included payment of a fine in the amount of $100,000.
•
In July 2017, SGAS settled, without admitting or denying the
findings, a matter with the CME Group where the CME alleged SGAS violated
CME Rules 9.70.A., 971.A.2.A., B. and C., 980.A., and 980B.1 and 2. The settlement related to two
separate CME exam findings: (1) balances
were not consistently identifiable in the general ledger and (2) procedures for resolving the general ledger suspense balances
were not
sufficient. In connection with this matter, SGAS paid a fine of $150,000.
•
In January 2018, SGAS settled, without admitting or denying the findings, four disciplinary proceedings with FINRA related to (1) incorrect
equity trade reporting; (2) incorrect capacity on customer confirmations; (3) late TRACE reporting for transactions in corporate debt securities;
(3) failure to timely report to TRACE new issue offerings in corporate debt securities. The settlement covered various review periods in
the 2010-2016 time period. The settlement included payment of a fine totaling $200,000.
•
In March 2018, SGAS settled, without admitting or denying the findings, a matter brought by FINRA in connection with SGAS's over-submissions
of shares in certain tender offers. The settlement included payment of a fine in the amount of $50,000 plus disgorgement of
profits in the amount of $469,130.
•
In September 2018, SGAS settled, without admitting or denying
the findings, a matter brought by the SEC alleging that in 2012-2015
Newedge (and then SGAS) engaged in transactions in pre-released American Depositary Receipts (ADRs)
without complying with certain
obligations of the Securities Act of 1933 and failed to supervise borrowing and lending of pre-released ADRs by its personnel in violation
of
certain provisions of the Exchange Act of 1934. The settlement included payment of a $250,000 fine, $486,672 in disgorgement, and
$82,657 in pre-judgment interest.
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•
In October 2018, SGAS settled, without admitting or denying the
findings, a matter brought by FINRA on behalf of Cboe BZX, Cboe
EDGA, Cboe EDGX, Nasdaq and Nasdaq PHLX regarding incorrect use of capacity codes on exchange orders in
2014-2016. The settlement
included payment of fines totaling $175,000.
•
In April 2019, SGAS settled, without admitting or denying the
findings, a matter brought by FINRA on behalf of NYSE Arca and Cboe
regarding deficiencies in large option position reporting at NUSA. The settlement included payment of a
fine totaling $600,000.
•
In April 2019, SGAS settled, without admitting or denying the findings, a matter brought by NYSE Regulation Enforcement which concerned
an equity trade error in 2015 allegedly improperly offset by an affiliate trade. The settlement also alleged inadequate market access
controls, testing, and supervisory failures associated with the cause of the trade error. The settlement included payment of a fine in the
amount of $380,000.
•
In May 2019, SGAS settled, without admitting or denying the
findings, a matter brought by FINRA on behalf of Cboe, Nasdaq PHLX,
NYSE American, and NYSE Arca concerning inaccurate capturing and recording of order receipt time and
order route time for certain
manual options orders sent to floor brokers. The settlement included payment of fines totaling $115,000.
•
In July 2019, SGAS settled, without admitting or denying the findings, two matters brought by the Chicago Board of Trade ("CBOT") and
the New York Mercantile Exchange ("NYMEX"), which alleged impermissible pre-hedging of block trades as well as late and inaccurate
block trade reporting in 2014-2016. The settlement included payment of fines totaling $350,000 and disgorgement of profits totaling
$152,625.
•
In October 2019, SGAS settled, without admitting or denying the
findings, a matter brought by NYSE Regulation Enforcement regarding
alleged violations of SEC Regulation SHO and trading through National Best Bid or Offer in two
instances, as well as a locate latency issue.
The settlement included payment of a fine of $325,000.
•
In December 2019, SGAS settled, without admitting or denying the findings, a matter brought by FINRA on behalf of Cboe Exchange, Inc.
concerning late submissions of options orders into Cboe's monthly pricing process for its volatility index (VIX). The settlement included
payment of a fine totaling $135,000.
•
In December 2019, SGAS settled, without admitting or denying
the findings, a matter brought by NYSE Regulation Enforcement regarding
alleged violations of NYSE Rules 132 and 7.33, by transmitting orders with discontinued account
type indicators between 2016 and 2019.
The settlement included payment of a fine totaling $100,000.
•
In April 2020, SGAS settled, without admitting or denying the findings, a matter brought by FINRA Enforcement regarding incorrect calculations
of tender offer exchanges. The settlement included payment of a fine in the amount of $35,000 plus disgorgement of $178,512.30.
•
In June 2020, SGAS settled, without admitting or denying the findings, a matter brought by FINRA and SEC concerning self-reported errors
in Blue Sheet submissions stemming from two Legacy Newedge systems, dating back to approximately November 2012. The settlement
included payment of a fine totaling $3,100,000.
•
In December 2020, SGAS settled, without admitting or denying
the findings, a matter brought by FINRA Enforcement concerning its failure
to store certain records in a manner compliant with of storage requirements of SEC Rule 17a-4.
The settlement included payment of a fine
totaling $1,000,000.
Litigation Matters
•
The Official Committee of Unsecured Creditors of Tribune
Company, et al. v. Dennis J. Fitzsimons, et al. (the "Committee Action"); Deutsche
Bank Trust Company Americas, et al. v. Adaly Opportunity Fund TD Securities
Inc., et al.; and Williams A. Niese, et al. v.
AllianceBernstein L.P., et al. (collectively, the "State Law Creditor Actions") are lawsuits arising from the
bankruptcy of the Tribune Company,
which was the subject of a leveraged buyout in 2007. The suits generally allege that the LBO left the company overleveraged, thus
leading to its bankruptcy, and seek to recover payments made to holders of Tribune shares under various federal and state law theories of
liability. The Committee Action was dismissed and is now on appeal. The State Law Creditor Actions were dismissed and affirmed on
appeal, and are now over. SGAS is defending the Committee Action.
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•
AC Scout Trading, LLC v. SG Americas Securities, LLC and Newedge USA, LLC was a FINRA arbitration filed by a former NUSA customer
alleging claims of fraud, breach of FINRA rules, breach of contract, breach of implied covenant of good faith and fair dealing, and
negligence. The allegations involved losses incurred in connection with a position in tin futures contracts traded in the London Metal
Exchange ("LME"). Claimant's claims were denied in their entirety on July 24, 2018 and the matter is now over.
•
Vega Opportunity Fund LLC v. Newedge USA, LLC was a FINRA arbitration filed by a former NUSA customer alleging claims of fraud,
deceptive trade practices, breach of fiduciary duty, breach of contract, and violation of Illinois Securities Law. NUSA was alleged to be
responsible for capital losses due to false representations of risk management by NUSA. This matter has been settled and the matter is
now over.
•
SGAS, along with other financial institutions, was named as a
defendant in several putative class actions alleging violations of US antitrust
laws and the CEA in connection with its activities as a US Primary Dealer, buying and
selling US Treasury securities. The cases were consolidated
in the US District Court in Manhattan, and lead plaintiffs' counsel was appointed. An amended
consolidated complaint was filed on
15 November 2017, and SGAS was not named as a defendant. By order dated 15 February 2018, SGAS was dropped as a defendant in an
individual "opt out" action alleging similar causes of action. There are no actions pending against SGAS in this matter.
•
Allianz Global Investors GmbH, et al. v. Bank of America Corporation, et al. is a litigation filed on behalf of entities that decided to opt out
of the class action settlement in the action In re Foreign Exchange Benchmark Rates Antitrust Litigation, which alleged conspiracy to fix
prices in the FX market beginning in 2003. SGAS has been dismissed as a defendant in this case.
•
In re ProShares Trust II Securities Litigation was a putative class action brought by investors in ProShares Short VIX Short-Term Futures
ETFs, which lost significant value in February 2018. In addition to claims against the issuer, the action asserted claims under the Securities
Act of 1933 against SGAS, Newedge, and other "Authorized Participants" who are alleged to be underwriters of ETF shares, based upon
purported misstatements or omissions by the issuer in the offering documents. The complaint was dismissed in January 2020; plaintiffs
appealed but did not file a petition for certiorari with the U.S. Supreme Court. This case is now over.
•
City of Livonia Employees' Retirement System and City of Livonia Retiree Health and Disability Benefits Plan v. Intercontinental
Exchange, Inc., et al., and Hawaii Sheet Metal Workers Health & Welfare Fund, et al. v. Intercontinental Exchange, Inc., et al. are putative
class actions concerning purported manipulation of Libor rates from February 2014 to the present brought against several financial institutions,
including SG and SGAS. The case was dismissed as to SG and SGAS (and other defendants) and is currently on appeal before the
U.S. Court of Appeals for the Second Circuit. SG and SGAS are defending the cases.
•
In re GSE Bonds Antitrust Litigation was a putative class
action asserting antitrust claims under the Sherman Act against SGAS and other
financial institutions based upon alleged anti-competitive behavior in the trading of bonds
issued by U.S. Government Sponsored Enterprises
(GSEs), i.e., Federal Home Loan Bank (FHLB), Federal Home Loan Mortgage Corporation (Freddie Mac), and Federal National
Mortgage
Association (Fannie Mae). In June 2020, a global class action settlement involving multiple banks, including SGAS, was finally approved by
the court. State of Louisiana v. Bank of America, N.A., et al.; City of Baton Rouge v. Bank of America, N.A., et al; Louisiana Asset Management
Pool v. Bank of America Corporation, et al and City of New Orleans, et al v. Bank of America Corporation et al. were pending individual
lawsuits containing similar allegations, and have been settled. The cases are now over.
•
SGAS has also been named in purported class and individual actions in connection with its role in underwriting various debt and equity securities
offerings. Currently pending matters relate to the offerings of Southwestern Energy and Altice USA. Claims in all these cases are
asserted under the Securities Act of 1933 and/or state law against SGAS in its role as a member of the underwriting syndicate and are based
upon purported misstatements or omissions by the issuers in the offering documents. SGAS is defending the cases.
•
SGAS has been named in a litigation filed by Bermuda-based hedge fund Harrington Global Opportunity Fund, Limited, which alleges a
market manipulation scheme involving spoofing and abusive naked short selling that caused Harrington to incur losses in connection with its
sale of approximately 9 million shares of Concordia International Corp. stock on Canadian and U.S. exchanges in 2016. SGAS is defending
the case.
ICE Case #2019-021/022A, October 30, 2019
(
included by Sponsor from the NFA website and not provided by
SGAS
)
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SG Americas Securities LLC was issued a summary fine in the amount of $2,500 for violating Rule 4.19(a) by failing to retain electronic
audit trail data corresponding to orders entered on various dates through 2017 and 2018.
CBOT Case #DQA-19-002, August 2, 2019
(
included by the Sponsor from the NFA website and not provided by SGAS
)
During the period of January 1, 2019 to March 31, 2019, SG Americas Securities LLC violated Rule
576 by failing to maintain current
and accurate information in the Exchange Fee System.
On July 17, 2019, SG Americas Securities LLC, pursuant to Rule 512 ("Reporting Infractions"), was issued the following fines by the
512 Committee for its violation of Rule 576: CME $3,000 CBOT $3,000 Total $6,000
CBOT Case #19-5501-3, July 2, 2019
(
included by the Sponsor from the NFA website and not provided by SGAS
)
During the month of May 2019, SG Americas Securities, LLC. inaccurately reported long positions
eligible for delivery in the May 2019
Ethanol, KC Wheat, and Wheat futures contracts. PENALTY: On June 14, 2019, the Rule 512 Committee, pursuant to Rule 512, assessed a
fine
in the amount of $1,500 against SG Americas Securities, LLC. for its violation of Rule 807.
CBOE Case # USFI-161, October 25, 2018
(
included by the Sponsor from the NFA website and not provided by SGAS
)
CFE Rule
403(a)(x) - Failure to Submit Correct CTI Code Information – Pursuant to CFE Rule 403(a)(x) all Orders entered into the CFE
System contain accurate and complete
information, including the Customer Type Indicator ("CTI") code. From February 26, 2018 to June 29,
2018 SGAS sent orders with incorrect CTI codes for 29
different accounts. The total number of orders sent with incorrect CTI codes was 33,890
or 18.9% of the 179,323 total orders from SGAS during that period. This is the
Firm's 2nd violation of Rule 403(a)(x) within a rolling twelve
(12) month period.
CBOT Case # DQA-18-9650, September 14, 2018
(
included by the Sponsor from the NFA website and not provided by
SGAS
)
During the period of January 1, 2018 to March 31, 2018, SG Americas Securities LLC violated Rule
576 by failing to maintain current
and accurate information in the Exchange Fee System.
On August 29, 2018, SG Americas Securities LLC, pursuant to Rule 512 ("Reporting Infractions"), was issued the following fines by the
512 Committee for its violation of Rule 576: CME $2,500 CBOT $2,500 Total $5,000 Effective Date: September 14, 2018
CME Case #17-9264, September 29, 2019
(
included by Sponsor from the NFA website and not provided by SGAS
)
During the period
of February 1 through April 30, 2017, SG Americas Securities, LLC violated Rule 576 by submitting Tag 50 IDs across
multiple shifts and shift changes. PENALTY: On
September 13, 2017, SG Americas Securities, LLC, pursuant to Rule 512 ("Reporting
Infractions"), was issued a $2,500 fine by the 512 Committee for its
violation of Rule 576. EFFECTIVE DATE: September 29, 2017
Included by the Sponsor from the NFA Website and not provided by SGAS
The MGEX Department of Audits and Investigations determined SGAS apparently violated the
aforementioned MGEX Rules by failing
to submit information required by the Exchange in a complete format. Specifically, SGAS failed to complete all of the components
required by
MGEX for Disaster Recovery Testing. For violations of General Conduct Rule 2.3.5, SG Americas Securities, LLC was fined $2,500, effective
January 14, 2021.
Credit Suisse Securities USA LLC
Credit Suisse Securities (USA) LLC (CSS LLC) is a broker-dealer registered with the Securities
and Exchange Commission (SEC) and a
futures commission merchant registered with the Commodity Futures Trading Commission (CFTC). CSS LLC receives inquiries and is
sometimes involved in investigations and has been involved in various judicial, regulatory and arbitration proceedings concerning matters
arising in connection with the conduct of its business. CSS LLC fully cooperates with the authorities in all such matters. CSS LLC is a member
of the Financial Industry Regulatory Authority (FINRA) and information from CSS LLC's Form BD can be viewed on FINRA's website.
CSS LLC is also an indirect, wholly owned subsidiary of Credit Suisse Group AG, which files periodic reports and other information with the
SEC, including an Annual Report on Form 20-F. For purposes of this section, the terms "Credit Suisse" and "the Group" refer to Credit Suisse
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Group AG and its consolidated subsidiaries and the term
"the Bank" refers to Credit Suisse AG, the Swiss bank subsidiary of the Group, and its
consolidated subsidiaries.
There have been no administrative, civil or criminal actions, whether pending or concluded,
against CSS LLC or any of its individual
principals during the past five years which would be considered "material" as that term is defined in Section
4.24(l)(2) of the regulations of the
CFTC, except as may be described below.
Enron-related litigation
Two Enron-related individual actions remain pending against CSS LLC and certain of its affiliates. In these actions, plaintiffs assert they
relied on Enron's financial statements, and seek to hold the defendants responsible for any inaccuracies in Enron's financial statements. In
Connecticut Resources Recovery Authority v. Lay, et al., pending in the US District Court for the Southern District of Texas (SDT), the plaintiff
seeks to recover from multiple defendants, pursuant to the Connecticut Unfair Trade Practices Act and Connecticut state common law,
approximately USD 130 million to USD 180 million in losses it allegedly suffered in a business transaction it entered into with Enron. A motion
to dismiss is pending. In Silvercreek Management Inc. v. Citigroup, Inc., et al., the plaintiff seeks to assert federal and state law claims relating
to its alleged USD 280 million in losses relating to its Enron investments. On August 9, 2011, the SDT granted plaintiffs' motion for leave to file
a third amended complaint in this matter. CSS LLC and the other defendants filed motions to dismiss this complaint on September 27, 2011. On
June 2, 2016, the Judicial Panel on Multidistrict Litigation entered an order granting plaintiffs' motion to remand the Silvercreek case to the US
District Court for the Southern District of New York for further proceedings. In Ravenswood I LLC, et al. v. Citigroup, Inc., et al., an individual
action asserting similar claims, plaintiffs as putative successors in interest sought to recover approximately USD 140 million relating to the
decline in value of certain Enron debt securities purchased by a third party from Enron. On November 29, 2011, the SDT granted the motion to
dismiss filed by CSS LLC and the remaining defendants in the case.
On March 31, 2017, the US District Court for the Southern District of New York (SDNY) presiding in the action Silvercreek
Management Inc. v. Citigroup, Inc. et al., granted in part defendants' motion to dismiss, dismissing certain claims against CSS LLC and its
affiliates. On November 10, 2017, in the Enron-related action brought by Silvercreek Management Inc. against CSS LLC and certain of its
affiliates, Deutsche Bank Securities Inc., Deutsche Bank AG, and Merrill Lynch & Co., Inc., the defendants filed motions for summary
judgment, dismissing certain claims. On September 28, 2018, the SDNY granted in part and denied in part the defendants' motions for summary
judgment, dismissing certain additional claims. On December 28, 2018, CSS LLC and its affiliates, together with Deutsche Bank Securities Inc.,
Deutsche Bank AG, and Merrill Lynch & Co., Inc. executed an agreement with the plaintiffs to settle this litigation. On January 10, 2019, the
SDNY entered an order of final judgment dismissing with prejudice all claims against those defendants. This ends the last of CSS LLC and its'
affiliates Enron-related litigation.
On September 27, 2017, following a settlement, an order of final judgment was entered by the US District Court for the Southern District
of Texas, presiding in the action brought by Connecticut Resources Recovery Authority, dismissing with prejudice all claims against Credit
Suisse Securities (USA) LLC (CSS LLC) and its affiliates.
Mortgage-related matters
Government and regulatory related matters
Various financial institutions, including CSS LLC and certain of its affiliates, have received requests for information from, and/or have
been defending civil actions by, certain regulators and/or government entities, including the US Department of Justice (DOJ) and other members
of the Residential Mortgage-Backed Securities (RMBS) Working Group of the US Financial Fraud Enforcement Task Force, regarding the
origination, purchase, securitization, servicing and trading of subprime and non-subprime residential and commercial mortgages and related
issues. CSS LLC and its affiliates are cooperating with such requests for information.
DOJ RMBS settlement
On January 18, 2017, CSS LLC and its current and former US subsidiaries and US affiliates reached a settlement with the DOJ related to
its legacy RMBS business, a business conducted through 2007. The settlement resolved potential civil claims by the DOJ related to Credit
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Suisse's packaging, marketing, structuring,
arrangement, underwriting, issuance and sale of RMBS. The settlement required the above-mentioned
entities to pay a USD 2.48 billion civil monetary penalty and, within
five years of the settlement, to provide USD 2.80 billion in
consumer relief. The civil monetary penalty under the terms of the settlement was paid to the DOJ in January
2017. The consumer relief
measures include affordable housing payments and loan forgiveness. The DOJ and Credit Suisse agreed to the appointment of an independent
monitor to oversee the completion of the consumer relief requirements of the settlement. The monitor has published reports on October 27,
2017, February 20, 2018, and August 31, 2018 noting Credit Suisse's cooperation and progress toward satisfaction of the consumer relief
requirements. As previously disclosed, Credit Suisse recorded a litigation provision of USD 2 billion in the fourth quarter of 2016 in addition to
its existing provisions of USD 550 million recorded for this matter in prior periods. The monitor has continued to publish reports periodically,
noting Credit Suisse's cooperation and progress toward satisfaction of the consumer relief requirements.
In relation to the USD 2.80 billion in consumer relief, Credit Suisse currently anticipates that
it will take much longer than the five-year
period provided in the settlement to satisfy in full its obligations in respect of these consumer relief measures and that it
may only complete them
by 2026 or later, subject to market conditions and the Group's risk appetite. In light of Credit Suisse's current plans as to how it
will satisfy
these obligations, Credit Suisse expects to incur additional costs beyond those previously anticipated in relation to satisfying those obligations.
The amount of consumer relief Credit Suisse must provide also will increase after 2021 pursuant to the original settlement by 5% per annum of
the outstanding amount due until these obligations are settled. The monitor publishes reports periodically on these consumer relief matters.
NYAG, NJAG and Virginia litigation
Following an investigation, on November 20, 2012, the New York Attorney General (NYAG), on behalf
of the State of New York, filed a
civil action in the Supreme Court for the State of New York, New York County (SCNY) against CSS LLC and affiliated entities in their
roles as
issuer, sponsor, depositor and/or underwriter of RMBS transactions prior to 2008. The complaint, which references 64 RMBS issued, sponsored,
deposited and underwritten by CSS LLC and its affiliates in 2006 and 2007, alleges that CSS LLC and its affiliates misled investors regarding
the due diligence and quality control performed on the mortgage loans underlying the RMBS at issue, and seeks an unspecified amount
of damages.
On
December 18, 2013, the New Jersey Attorney General, on behalf of the State of New Jersey (NJAG), filed a civil action in the
Superior Court of New Jersey, Chancery
Division, Mercer County (SCNJ), against CSS LLC and affiliated entities in their roles as issuer,
sponsor, depositor and/or underwriter of RMBS transactions prior to 2008.
The original complaint, which references 13 RMBS issued,
sponsored, deposited and underwritten by CSS LLC and its affiliates in 2006 and 2007, alleges that CSS LLC and its
affiliates misled investors
and engaged in fraud or deceit in connection with the offer and sale of RMBS, and seeks an unspecified amount of damages. On August 21,
2014, the SCNJ dismissed without prejudice the action brought against CSS LLC and its affiliates by the NJAG. On September 4, 2014, the
NJAG filed an amended complaint against CSS LLC and its affiliates, asserting additional allegations but not expanding the number of claims or
RMBS referenced in the original complaint. On August 21, 2019, the New Jersey Attorney General (NJAG) filed a motion for partial summary
judgment in the civil action filed on behalf of the State of New Jersey, in the Superior Court of New Jersey, Chancery Division, Mercer County
against Credit Suisse Securities (USA) LLC (CSS LLC) and affiliated entities in their roles as issuer, sponsor, depositor and/or underwriter of
RMBS transactions prior to 2008. On November 18, 2019, CSS LLC and its affiliates filed a cross-motion for partial summary judgment.
On June 17, 2021, in the civil action filed against CSS LLC and affiliated entities in the
Superior Court of New Jersey, Chancery
Division, Mercer County (SCNJ) by the New Jersey Attorney General (NJAG), on behalf of the State of New Jersey, the SCNJ entered
orders
granting the motion for partial summary judgment filed by the NJAG and denying the cross-motion for partial summary judgment filed by
CSS LLC and its affiliates.
On June 12, 2018, the New York State Court of Appeals ordered the partial dismissal of the complaint filed by the New York Attorney
General (NYAG) referencing 64 RMBS issued, sponsored, deposited, and underwritten by Credit Suisse Securities (USA) LLC (CSS LLC) and
its affiliates in 2006 and 2007. The Court of Appeals held that the NYAG's claim pursuant to New York's Martin Act was time-barred and
remanded the action to the Supreme Court of the State of New York (SCNY), New York County for further proceedings on the NYAG's claim
pursuant to New York's Executive Law. On December 21, 2018, pursuant to a settlement that resolved all claims by the NYAG against
CSS LLC and its affiliates, the NYAG filed with the SCNY a stipulation dismissing its action with prejudice. The settlement required the Credit
Suisse defendants to pay USD 10 million to the State of New York. This ends the action with the NYAG against CSS LLC and its affiliates.
Civil litigation
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CSS LLC and certain of its affiliates
have also been named as defendants in various civil litigation matters related to their roles as issuer,
sponsor, depositor and/or underwriter of RMBS transactions. These
cases include a class action lawsuit and putative class action lawsuits,
actions by individual investors in RMBS, and actions by monoline insurance companies that
guaranteed payments of principal and interest for
certain RMBS. Although the allegations vary by lawsuit, plaintiffs in the class actions and individual investor lawsuits
generally allege that the
offering documents of securities issued by various RMBS securitization trusts contained material misrepresentations and omissions, including
statements regarding the underwriting standards pursuant to which the underlying mortgage loans were issued. In addition, certain monoline
insurers have alleged that loans that collateralize RMBS they insured breached representations and warranties made with respect to the loans at
the time of securitization; and repurchase action plaintiffs allege breached representations and warranties in respect of mortgage loans and
failure to repurchase such mortgage loans as required under the applicable agreements.
The amounts disclosed below do not reflect actual realized plaintiff losses to date or anticipated future litigation exposure. Rather, unless
otherwise stated, these amounts reflect the original unpaid principal balance amounts as alleged in these actions and do not include any reduction
in principal amounts since issuance. Further, amounts attributable to an "operative pleading" for the individual investor actions are not altered
for settlements, dismissals or other occurrences, if any, that may have caused the amounts to change subsequent to the operative pleading. In
addition to the mortgage-related actions discussed below, a number of other entities have threatened to assert claims against CSS LLC and/or its
affiliates in connection with various RMBS issuances, and CSS LLC and/or its affiliates have entered into agreements with some of those
entities to toll the relevant statutes of limitations.
Individual investor actions
In other actions brought against CSS LLC and its affiliates as an RMBS issuer, underwriter and/or other participant, CSS LLC and certain
of its affiliates, along with other financial institutions, are defendants in seven separate individual actions filed by the Federal Home Loan Banks
of Seattle, San Francisco, Chicago, Indianapolis and Boston in various state courts. The claims against CSS LLC and its affiliates relate to
approximately USD 3.3 billion of the RMBS collectively at issue in those actions (approximately 9% of the USD 36 billion at issue against all
banks across all the actions and coordinated proceedings). The claims in the Seattle action against CSS LLC and its affiliates relate to
approximately USD 249 million. On May 4, 2016, the Washington state court presiding in the action granted the motion for partial summary
judgment filed by CSS LLC and its affiliates and dismissed, with prejudice, all claims related to certain RMBS, thus reducing the RMBS at issue
against CSS LLC and its affiliates in the Seattle action to approximately USD 104 million. On August 9, 2016, a stipulation of voluntary
dismissal with prejudice was filed with the Washington state court, which was entered by the court on August 10, 2016, dismissing the action
brought by the Federal Home Loan Bank of Seattle (FHLB Seattle) against CSS LLC and its affiliates, relating to approximately USD 104
million of the RMBS at issue against CSS LLC and its affiliates. On August 30, 2016, FHLB Seattle appealed, seeking reversal of the court's
order granting CSS LLC and its affiliates' motion for partial summary judgment, which reduced the RMBS at issue against CSS LLC and its
affiliates in the FHLB Seattle action from approximately USD 249 million to approximately USD 104 million. On December 11, 2017, the
Washington State Court of Appeals affirmed the trial court's May 4, 2016 order, dismissing FHLB Seattle's claims. The claims in the San
Francisco actions against CSS LLC and its affiliates relate to approximately USD 1.7 billion (approximately 18% of the USD 9.5 billion at issue
against all defendants in the operative pleadings, reduced to reflect the dismissal of certain certificates). On June 13, 2016, the California state
court presiding in the San Francisco actions dismissed with prejudice certain claims against CSS LLC and its affiliates, reducing the RMBS at
issue against CSS LLC and its affiliates in the San Francisco actions from approximately USD 1.7 billion to approximately USD 1.6 billion
(approximately 17% of the USD 9.5 billion at issue against all defendants in the operative pleadings, reduced to reflect dismissal of actions
relating to certain certificates). On June 14, 2016, the court entered an order postponing the trial from August 2016 to October 2016. In
September 16, 2016, FHLB San Francisco and CSS LLC and its affiliates reached a settlement in principle in this action with respect to the
claims against CSSL LLC and its affiliates. On September 26, 2016, the California state court removed the trial that had been scheduled to begin
in October, 2016 from the court's calendar. The claims in the Boston action against CSS LLC and its affiliates relate to approximately USD 333
million, reduced from USD 373 million following the October 27, 2015 stipulation of voluntary dismissal with prejudice of claims pertaining to
certain RMBS offerings, including RMBS offerings on which CSS LLC and its affiliates were sued (approximately 6% of the USD 5.7 billion at
issue against all defendants in the operative pleading). Trial has been scheduled to begin in March 2021. CSS LLC, and in some instances
certain of its affiliates and employees, are also among the defendants, along with other financial institutions, named in: two actions brought by
Cambridge Place Investment Management Inc. in Massachusetts state court, in which claims against CSS LLC and its affiliates relate to
approximately USD 525 million of the RMBS at issue (approximately 16% of the USD 3.3 billion at issue against all banks); one action brought
by The Charles Schwab Corporation in California state court, in which claims against CSS LLC and its affiliates relate to USD 125 million of
the RMBS at issue (approximately 9% of the USD 1.4 billion at issue against all banks); two actions brought by Massachusetts Mutual Life
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Insurance Company in Massachusetts federal court, in
which claims against CSS LLC and its affiliates and employees relate to approximately
USD 107 million of the RMBS at issue (approximately 97% of the USD 110 million at
issue against all banks); one action against CSS LLC
brought by Stichting Pensioenfonds ABP in the SCNY, in which claims against CSS LLC relate to an unstated amount of
RMBS at issue; two
actions brought by The Union Central Life Insurance Company and certain of its affiliates in the SDNY, in which claims against CSS LLC and
its affiliates and employees relate to approximately USD 71 million of RMBS at issue (approximately 36% of the USD 199 million at issue
against all banks); one action brought by the West Virginia Investment Management Board in West Virginia state court, in which claims against
CSS LLC relate to approximately USD 6 million of RMBS at issue (approximately 35% of the USD 17 million at issue against all banks); and
one action brought by the Western & Southern Life Insurance Company and certain of its affiliates in the Court of Common Pleas for Hamilton
County, Ohio, in which claims against CSS LLC and its affiliates relate to approximately USD 259 million of RMBS at issue (approximately
94% of the USD 276 million at issue against all banks). CSS LLC and certain of its affiliates are the only defendants named in: one action
commenced by Allstate Insurance Company in the SCNY related to approximately USD 232 million of RMBS at issue; and one action
commenced by IKB Deutsche Industriebank AG and certain of its affiliates in the SCNY related to approximately USD 240 million of RMBS at
issue, which is at an intermediate procedural state. CSS LLC and certain of its affiliates and employees are the only defendants named in a
separate action commenced by Stichting Pensioenfonds ABP in the SCNY related to an unstated amount of RMBS at issue. In September 2011,
the Federal Housing Finance Agency (FHFA), as conservator for Fannie Mae and Freddie Mac, filed seventeen separate complaints against
various major financial institutions concerning a total of more than USD 196 billion of RMBS issued. CSS LLC and certain of its affiliates and
employees are named as the defendants in one such action filed in the SDNY concerning approximately USD 14.1 billion of RMBS issued
and/or underwritten by Credit Suisse defendants. CSS LLC is also named as an underwriter defendant in five of the other FHFA actions filed in
September 2011, each pending in the SDNY. These claims against CSS LLC relate to approximately USD 5.5 billion of the RMBS at issue
(about 11% of the approximately USD 51 billion at issue against all banks in those actions). Unless otherwise noted, each of these actions is at
an early procedural point in the litigation. A number of other entities have threatened to assert claims against CSS LLC and/or its affiliates in
connection with various mortgage-related offerings, and CSS LLC and its affiliates have entered into agreements with some of those entities to
toll the relevant statutes of limitations.
In actions brought in connection with being an RMBS issuer, underwriter and/or other participant, CSS LLC, and in some instances
certain of its affiliates, have been named as defendants, along with other financial institutions in: two actions brought by Landesbank
Baden-Württemberg and affiliated entities, on March 8, 2012 and June 11, 2012, in the SCNY, in which claims against CSS LLC relate to
approximately USD 200 million of RMBS at issue (100% of the total amount at issue against all banks); one action brought by Watertown
Savings Bank on April 27, 2012 in the SCNY, in which claims against CSS LLC and its affiliates relate to an unstated amount of RMBS at
issue; one action brought by the Federal Deposit Insurance Corporation (FDIC), as receiver for Citizens National Bank and Strategic Capital
Bank, which, following the United States Supreme Court's denial of defendants' petition for writ of certiorari on December 4, 2017, will resume
in the SDNY, in which claims against CSS LLC and its affiliates relate to approximately USD 28 million of the RMBS at issue (approximately
20% of the USD 141 million at issue against all defendants in the operative pleading); and one action brought by Phoenix Light SF Ltd. and
affiliated entities on May 22, 2012 in the SCNY, in which claims against CSS LLC and its affiliates relate to approximately USD 466 million of
RMBS at issue (approximately 15% of the USD 3.2 billion at issue against all banks).
On June 28, 2012, the FHFA, as conservator for Fannie Mae and Freddie Mac, in an amended complaint to one of its five actions against
CSS LLC relating to an aggregate of approximately USD 5.5 billion of RMBS at issue, reduced the RMBS at issue by approximately USD 230
million; the five actions together now relate to approximately USD 5.2 billion. On July 2, 2012, IKB Deutsche Industriebank AG and affiliated
entities filed a consolidated complaint relating to their claims against CSS LLC and its affiliates, reducing the RMBS at issue by approximately
USD 143 million to approximately USD 97 million. This action is at an intermediate procedural stage.
In actions brought in connection with being an RMBS issuer, underwriter and/or other participant, CSS LLC, and in some instances
certain of its affiliates, have been named as defendants, along with other financial institutions in: one action brought by Royal Park Investments
SA/NV, on July 27, 2012, in the SCNY, in which claims against CSS LLC and its affiliates relate to approximately USD 403 million of RMBS
at issue (approximately 4% of the USD 9.1 billion at issue against all banks); one action brought by John Hancock Life Insurance Co. (U.S.A.)
and affiliated entities, on July 27, 2012, in the US District Court for the District of Minnesota, in which claims against CSS LLC relate to an
unstated amount of RMBS at issue; four actions brought by the FDIC as receiver for Colonial Bank, on August 10, 2012: one action in the
SDNY, in which claims against CSS LLC relate to approximately USD 92 million of RMBS at issue (approximately 23% of the USD 394
million at issue against all banks), one action in the US District Court for the Central District of California, in which claims against CSS LLC
relate to approximately USD 12 million of RMBS at issue (approximately 5% of the USD 259 million at issue against all banks), and two
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actions in the Circuit Court of Montgomery County,
Alabama, in which claims against CSS LLC and its affiliates relate to approximately USD
199 million of RMBS at issue (approximately 33% of the USD 594 million at issue
against all banks); one action brought by Sealink Funding
Limited, on August 23, 2012, in the SCNY, in which claims against CSS LLC and its affiliates relate to
approximately USD 180 million of
RMBS at issue (100% of the total amount at issue); one action brought by Minnesota Life Insurance Company and affiliated entities, on
September 19, 2012, in the Second Judicial District Court, Ramsey County, Minnesota, in which claims against CSS LLC and its affiliates relate
to approximately USD 43 million of RMBS at issue (100% of the total amount at issue); and one action brought by the National Credit Union
Administration Board, as liquidating agent of the US Central Federal Credit Union, Western Corporate Federal Credit Union and Southwest
Corporate Federal Credit Union, on October 4, 2012, in the US District Court for the District of Kansas, in which claims against CSS LLC and
its affiliates relate to approximately USD 715 million of RMBS at issue (100% of the total amount at issue against all banks).. On October 5,
2012, Phoenix Light SF Ltd. and affiliated entities filed a complaint relating to their claims against CSS LLC and its affiliates, reducing the
RMBS at issue by approximately USD 104 million to approximately USD 362 million (approximately 13% of the USD 2.8 billion at issue
against all banks).
In connection with being an RMBS issuer, sponsor, depositor and underwriter, CSS LLC and certain
of its affiliates have been named as
the only defendants in an action brought by The Prudential Insurance Company of America and affiliated entities, on November 21, 2012,
in the
US District Court for the District of New Jersey, in which claims against CSS LLC and its affiliates relate to approximately USD 466 million of
RMBS. On December 14, 2012, Royal Park Investments SA/NV filed a complaint relating to its claims against CSS LLC and certain of its
affiliates, reducing the RMBS at issue by approximately USD 43 million to approximately USD 360 million (approximately 4% of the USD 8.4
billion at issue against all banks). On December 21, 2012, the SDNY entered an order of discontinuance, discontinuing FHFA v. General
Electric Company, one of FHFA's five actions against CSS LLC relating to an aggregate of approximately USD 5.2 billion of RMBS, as a result
of a settlement. On January 3, 2013, the SDNY entered an order of voluntary dismissal with prejudice, dismissing Stichting Pensioenfonds ABP
v. JPMorgan Chase & Co., in which claims against CSS LLC related to an unstated amount of RMBS, as a result of a settlement. On January 11,
2013, the Indiana state court presiding in the action brought by the Federal Home Loan Bank of Indianapolis dismissed with prejudice claims
pertaining to one RMBS offering on which CSS LLC and certain of its affiliates were sued, reducing the RMBS at issue relating to claims
against CSS LLC and its affiliates by USD 165 million.
On March 29, 2013, the SDNY dismissed in its entirety the action brought against CSS LLC and its affiliates and employees by The
Union Central Life Insurance Company and affiliated entities, although plaintiffs have the ability to seek to amend their complaint within 60
days of the SDNY's decision. On April 8, 2013, the US District Court for the District of Kansas dismissed in part the action brought against
CSS LLC and its affiliates by the National Credit Union Administration Board, as liquidating agent of the US Central Federal Credit Union,
Western Corporate Federal Credit Union and Southwest Corporate Federal Credit Union, reducing the RMBS at issue for CSS LLC and its
affiliates from approximately USD 715 million to approximately USD 311 million. On April 8, 2013, the US District Court for the Central
District of California dismissed in its entirety one of the two actions pending in such court against CSS LLC brought by the Federal Deposit
Insurance Corporation, as receiver for Colonial Bank; claims in the remaining action relate to approximately USD 46 million of the RMBS at
issue (approximately 16% of the USD 283 million at issue against all defendants in the operative pleading).
On April 24, 2013, the SCNY dismissed the action brought by Phoenix Light SF Ltd. and affiliated
entities against CSS LLC and its
affiliates, although plaintiffs were granted leave to replead. On May 28, 2013, The Union Central Life Insurance Company and affiliated
entities
filed a letter motion to propose a second amended complaint in the action brought against CSS LLC and its affiliates and employees. On
May 13, 2013, following a settlement, a West Virginia state court dismissed with prejudice the action brought by West Virginia Investment
Management Board against CSS LLC. On June 20, 2013, the US District Court for the Central District of California dismissed in part the action
pending in such court against CSS LLC brought by the FDIC, as receiver for Colonial Bank. This decision was appealed to the Ninth Circuit,
but on June 8, 2016, following a settlements, the Ninth Circuit granted that stipulation withdrawing the FDIC's appeal of the CDC's dismissal
with prejudice of all claims against CSS LLC. Thus the entire action is dismissed with prejudice. The remaining claims related to approximately
USD 34 million of the RMBS at issue (approximately 12% of the USD 283 million at issue against all defendants in the operative pleading) and
the matter was subsequently transferred to the US District Court of the Middle District of Alabama. Trial had been scheduled to begin in
October 2016, however, on June 1, 2016, following a settlement, a stipulation of dismissal with prejudice was filed with the US District Court
for the Middle District of Alabama, and entered by the court on June 8, 2016. Thus, the action brought by the FDIC as receiver for Colonial
Bank relating to approximately USD 34 million of the RMBS at issue against CSS LLC has been discontinued.
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On August 6, 2013, the US District
Court for the District of New Jersey dismissed without prejudice certain claims in the action against
CSS LLC and its affiliates brought by The Prudential Insurance
Company of America and affiliated entities, reducing the RMBS at issue for
CSS LLC and its affiliates from approximately USD 466 million to approximately USD 461 million.
Following the dismissal of an earlier action
with leave to replead, on September 9, 2013, Phoenix Light SF Ltd. and affiliated entities filed an action in the SCNY against
CSS LLC and
certain of its affiliates as the only defendants in the action, in which claims against CSS LLC and its affiliates relate to approximately USD 362
million of RMBS. On September 20, 2013, the Federal Home Loan Bank of Boston filed a notice of dismissal with prejudice to discontinue
certain claims against CSS LLC and its affiliates and certain other banks, reducing the RMBS at issue for CSS LLC and its affiliates by USD 50
million. On December 8, 2020, following a settlement, the Massachusetts state court presiding in the investor action brought by the Federal
Home Loan Bank of Boston dismissed with prejudice all claims against CSS LLC and its affiliates relating to approximately USD 333 million of
RMBS at issue. On September 23, 2013, the National Credit Union Administration Board, as liquidating agent of the Southwest Corporate
Federal Credit Union and Members United Corporate Federal Credit Union, filed an action against CSS LLC and one of its affiliates in the
SDNY, in which claims against CSS LLC and its affiliate relate to approximately USD 229 million of RMBS. On April 22, 2016, the US
District Court for the Southern District of New York entered judgment without any admission of liability against CSS LLC and its affiliates in
favor of the National Credit Union Administration, as liquidating agent of the Southwest Corporate Federal Credit Union and Members United
Corporate Federal Credit Union, in the amount of USD 50.3 million (plus attorneys' fees and costs to be determined), resolving all claims
related to approximately USD 229 million of RMBS at issue. In reaction to a dismissal with leave to replead of a similar action brought by
Phoenix Light SF Ltd. that would have been applied to the action previously brought by Royal Park Investments SA/NV, on September 25,
2013, Royal Park Investments SA/NV filed a complaint in the SCNY against CSS LLC and certain of its affiliates as the only defendants in the
action, in which claims against CSS LLC and its affiliates relate to approximately USD 360 million of RMBS.
On October 29, 2013, following a settlement, CSS LLC and its affiliates and employees filed a
stipulation of discontinuance with
prejudice to discontinue claims against CSS LLC and its affiliates and employees brought by Stichting Pensioenfonds ABP in the SCNY. On
November 18, 2013, as a result of settlement, the US District Court for the SDNY entered a stipulation of voluntary dismissal with prejudice,
discontinuing Federal Housing Finance Agency v. JPMorgan Chase & Co., one of the Federal Housing Finance Agency's five actions against
CSS LLC and its affiliates and employees, and other financial institutions, relating to approximately USD 870 million of RMBS at issue against
the Credit Suisse defendants in that case. On November 26, 2013, the Indiana state court presiding in the action brought by the Federal Home
Loan Bank of Indianapolis dismissed with prejudice claims pertaining to certain defendants, including one of the RMBS offerings on which
CSS LLC and certain of its affiliates were sued, reducing the RMBS at issue relating to claims against CSS LLC and its affiliates in that case by
approximately USD 100 million. On December 5, 2013, the Washington state court presiding in the action brought by the Federal Home Loan
Bank of Chicago dismissed with prejudice one of the actions against CSS LLC and other financial institutions, reducing the RMBS at issue
relating to claims against CSS LLC by USD 20 million. On December 26, 2013, Commerzbank AG London Branch filed an action against
CSS LLC and certain of its affiliates and other financial institutions in the SCNY, relating to approximately USD 148 million of the RMBS at
issue (approximately 6% of the USD 2.3 billion at issue against all defendants in the operative pleading). On January 6, 2014, following a
settlement, CSS LLC and its affiliates filed a stipulation of discontinuance with prejudice to discontinue claims against CSS LLC and its
affiliates relating to approximately USD 35 million of RMBS at issue brought by Sealink Funding Limited in the SCNY. On January 24, 2014,
the SCNY dismissed with prejudice certain claims in the action against CSS LLC and its affiliates brought by Allstate Insurance Company,
reducing the RMBS at issue for CSS LLC and its affiliates from approximately USD 232 million to approximately USD 187 million.
On April 3, 2014, CMFG Life Insurance Company and affiliated entities filed an action against CSS
LLC in the US District Court for the
Western District of Wisconsin relating to approximately USD 70 million of RMBS. On April 3, 2014, Texas County and District Retirement
System filed an action against CSS LLC and other financial institutions in Texas state court relating to an unstated amount of RMBS at issue.
On July 28, 2016, following a settlement, the Texas state court presiding in this action dismissed with prejudice all claims against CSS LLC. On
April 11, 2014, following a settlement, the Minnesota state court presiding in the action brought by Minnesota Life Insurance Company and
affiliated entities against CSS LLC and its affiliates entered an order of dismissal, discontinuing all claims against CSS LLC and its affiliates,
relating to approximately USD 43 million of RMBS. On April 14, 2014, Allstate Insurance Company and CSS LLC and its affiliates filed a
partial stipulation of dismissal with the SCNY to discontinue certain claims against CSS LLC and its affiliates, reducing the RMBS at issue for
CSS LLC and its affiliates from approximately USD 187 million to approximately USD 169 million. On April 29, 2014, the FHFA entered into
an agreement with First Horizon National Corporation and its affiliates and employees to settle all claims in the last remaining action filed by the
FHFA against CSS LLC, relating to approximately USD 230 million of RMBS at issue against CSS LLC.
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On May 20, 2014, Commerzbank AG London
Branch filed a complaint against CSS LLC and certain of its affiliates and other financial
institutions in the SCNY, in which claims against CSS LLC and its affiliates
relate to approximately USD 121 million of the RMBS at issue
(approximately 6% of the USD 1.9 billion at issue against all defendants in the operative pleading), reducing
the RMBS at issue for CSS LLC
and its affiliates as stated in the summons filed on December 26, 2013 by approximately USD 27 million. On May 21, 2014, following a
settlement, the Illinois state court presiding in the action brought by the Federal Home Loan Bank of Chicago dismissed with prejudice all
claims against CSS LLC in the last remaining action filed by the Federal Home Loan Bank of Chicago against CSS LLC, relating to
approximately USD 38 million of RMBS at issue against CSS LLC. On June 3, 2014, the SCNY dismissed with prejudice certain claims in the
action against CSS LLC and its affiliates brought by Deutsche Zentral-Genossenschaftsbank AG, New York Branch, reducing the RMBS at
issue for CSS LLC and its affiliates from approximately USD 138 million to approximately USD 111 million. On July 3, 2014, following a
settlement, the Indiana state court presiding in the action brought by the Federal Home Loan Bank of Indianapolis dismissed with prejudice all
claims against CSS LLC, relating to approximately USD 224 million of RMBS at issue against CSS LLC.
On July 28, 2014, the Ohio state court presiding in the action brought by the Western & Southern Life Insurance Company and affiliated
entities dismissed with prejudice claims pertaining to certain RMBS offerings, reducing the RMBS at issue relating to claims against CSS LLC
and its affiliates in that case by approximately USD 5 million, and on August 8, 2014, following a settlement, the Ohio state court dismissed
with prejudice all remaining claims against CSS LLC and its affiliates, relating to approximately USD 255 million of RMBS at issue against
CSS LLC and its affiliates. On August 25, 2014, following a settlement, the US District Court for the District of New Jersey presiding in the
action brought by The Prudential Insurance Company of America and affiliated entities dismissed with prejudice all claims against CSS LLC
and its affiliates, relating to approximately USD 461 million of RMBS at issue against CSS LLC and its affiliates. On August 29, 2014, the US
District Court for the SDNY presiding in the action brought by the FDIC, as receiver for Colonial Bank, dismissed in its entirety with prejudice,
a decision which is now on appeal, all claims against CSS LLC, relating to approximately USD 92 million of RMBS at issue against CSS LLC.
On October 2, 2014, following a settlement, the Massachusetts state court presiding in the two actions brought by Cambridge Place Investment
Management Inc. dismissed with prejudice all claims against CSS LLC and its affiliates, relating to less than USD 525 million of RMBS at issue
against CSS LLC and its affiliates. On October 7, 2014, following a settlement, CSS LLC and its affiliates filed a stipulation of discontinuance
with prejudice to discontinue claims against CSS LLC and its affiliates relating to approximately USD 169 million of RMBS at issue brought by
The Allstate Insurance Company in the SCNY.
On March 24, 2015, the US District Court for the SDNY presiding in the action brought by the FDIC, as receiver for Citizens National
Bank and Strategic Capital Bank, dismissed in its entirety all claims against CSS LLC and its affiliates, relating to approximately USD 28
million of RMBS at issue (approximately 20% of the USD 141 million at issue against all defendants in the operative pleading). On April 7,
2015, FDIC appealed the SDNY's March 24, 2015 order.
On April 16, 2015, the SCNY presiding in the action brought by Phoenix Light SF Ltd. and affiliated entities, dismissed in its entirety all
claims against CSS LLC and its affiliates relating to approximately USD 362 million of RMBS at issue.
On May 27, 2015, the US District Court for the District of Kansas issued an order vacating its prior partial dismissal of the action brought
against CSS LLC and its affiliates by the National Credit Union Administration Board, as liquidating agent of the US Central Federal Credit
Union, Western Corporate Federal Credit Union and Southwest Corporate Federal Credit Union, increasing the RMBS at issue for CSS LLC and
its affiliates from approximately USD 311 million to USD 715 million. On June 22, 2015, Tennessee Consolidated Retirement System filed an
amended complaint against CSS LLC and other financial institutions in Tennessee state court relating to approximately USD 24 million of
RMBS at issue against CSS LLC (approximately 4% of the USD 644 million at issue against all defendants in the operative pleading).
On August 17, 2015, a stipulation of discontinuance with prejudice was filed with the SCNY
discontinuing the action brought by
Commerzbank AG London Branch against CSS LLC and its affiliates, in which claims against CSS LLC and its affiliates relate to
approximately
USD 121 million of RMBS at issue (approximately 6% of the USD 1.9 billion at issue against all defendants in the operative pleading).
On October 9 and 15, 2015, following a settlement, the California state court presiding in the
action brought by the Charles Schwab
Corporation dismissed with prejudice all claims against CSS LLC and its affiliates relating to USD 100 million of the RMBS at issue
against
CSS LLC and its affiliates, and dismissed without prejudice the remaining claim against CSS LLC relating to USD 25 million of the RMBS at
issue against CSS LLC. Thus, the entire action is dismissed.
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On December 15, 2015, following a settlement, the US Court of Appeals for the Second Circuit, presiding in the
appeal of the action
brought by The Union Central Life Insurance Company and affiliated entities (Union Central) in the SDNY, granted the stipulation withdrawing
Union Central's appeal of the SDNY's dismissal with prejudice of all claims against CSS LLC and its affiliates and employees, relating to
approximately USD 65 million of RMBS. Thus, the entire action is dismissed with prejudice.
On April 12, 2017, the Supreme Court of the State of New York, New York County (SCNY) presiding in the action brought by Royal
Park Investments SA/NV (Royal Park), dismissed with prejudice all claims against CSS LLC and its affiliate relating to approximately USD 360
million of RMBS at issue. On February 13, 2018, Royal Park appealed the SCNY's April 12, 2017 dismissal. On October 9, 2018, the SCNY,
Appelate Division, First Department affirmed the trial court's April 12, 2017 order dismissing with prejudice all claims against CSS LLC and its
affiliate and, on January 15, 2019, the New York State Court of Appeals denied Royal Park's request to further appeal.
On May 2, 2017, following a settlement in the amount of USD 400 million, the US District Court
for the District of Kansas presiding in
the action brought by the National Credit Union Administration Board (NCUA) as liquidating agent of the US Central Federal Credit
Union,
Western Corporate Federal Credit Union and Southwest Corporate Federal Credit Union dismissed with prejudice all claims against CSS LLC
and its affiliate related to approximately USD 715 million of RMBS at issue.
On June 29, 2017, following a settlement, the Supreme Court for the State of New York, New York County (SCNY), presiding in the
action brought by Deutsche Zentral-Genossenschaftsbank AG, New York Branch dismissed with prejudice all claims against CSS LLC and its
affiliates related to approximately USD 111 million of RMBS at issue.
On June 5, 2017, Phoenix Light SF Ltd. and affiliated entities filed an amended complaint against CSS LLC and its affiliate in the SCNY,
reducing the RMBS at issue by approximately USD 81 million; the action now relates to approximately USD 281 million of RMBS.
On September 12, 2017, following a settlement, the US District Court for the District of
Massachusetts, presiding in the two actions
brought by Massachusetts Mutual Life Insurance Company, dismissed with prejudice all claims against CSS LLC and its employees
related to
approximately USD 107 million of RMBS at issue (approximately 97% of the USD 110 million at issue against all defendants in the
operative pleadings).
In addition, on November 24, 2017, following a settlement, the US District Court for the Western
District of Wisconsin, presiding over
the action brought by CMFG Life Insurance Company and affiliated entities, dismissed with prejudice all claims against CSS LLC
related to
approximately USD 62 million, reduced from approximately USD 70 million following the December 16, 2016 dismissal in part of the action.
On October 30, 2017, CSS LLC reached an agreement in principle with CMFG Life Insurance Company
and affiliated entities to settle
the action brought against CSS LLC relating to approximately USD 62 million of RMBS.
On May 3, 2018, the Washington State Supreme Court granted a petition for review of the dismissal
of the action brought by the Federal
Home Loan Bank of Seattle against CSS LLC and its affiliates relating to approximately USD 104 million of RMBS at issue. On October 3,
2019, in the investor action brought by the Federal Home Loan Bank of Seattle (FHLB Seattle) in Washington state court, the Washington State
Supreme Court reversed the trial court's May 4, 2016 summary judgment order, previously affirmed by the Washington State Court of Appeals,
in which the trial court dismissed FHLB Seattle's claims against CSS LLC and its affiliates relating to approximately USD 145 million of
RMBS at issue. The Washington State Supreme Court remanded the action for further proceedings before the trial court. On July 16, 2020,
following a settlement, the Washington state trial court presiding in the action dismissed with prejudice all claims against Credit Suisse
Securities (USA) LLC (CSS LLC) and its affiliates relating to approximately USD 145 million of RMBS at issue.
On July 9, 2018, following a settlement, the Tennessee state court presiding in the action
brought by the Tennessee Consolidated
Retirement System dismissed with prejudice all claims against CSS LLC relating to approximately USD 24 million of RMBS at
issue.
On July 27, 2018, following a settlement, the SCNY presiding in the action
brought by Phoenix Light SF Ltd. and affiliated entities
dismissed with prejudice all claims against CSS LLC and its affiliates related to approximately USD 281 million of
RMBS at issue.
In the action brought in the Circuit Court of Montgomery County,
Alabama by the Federal Deposit Insurance Corporation, as receiver for
Colonial Bank, the court postponed the commencement of trial from October 2018 to April
2019.
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On May 16, 2019, following a settlement, the Circuit Court of Montgomery County, Alabama presiding in the action
brought by the
Federal Deposit Insurance Corporation, as receiver for Colonial Bank, dismissed with prejudice all claims against Credit Suisse Securities
(USA) LLC and its affiliates relating to approximately USD 139 million of RMBS at issue.
On October 18, 2019, in the investor action brought by the Federal Deposit Insurance Corporation (FDIC) as receiver for Citizens
National Bank and Strategic Capital Bank relating to approximately USD 28 million of RMBS at issue, the US District Court for the Southern
District of New York (SDNY) denied a motion filed in September 2017 by the defendants, including CSS LLC and its affiliates, to dismiss the
FDIC's second amended complaint.
Monoline insurer disputes
CSS LLC and certain of its affiliates are defendants in three pending actions each commenced by a monoline insurer that guaranteed
payments of principal and interest that in aggregate total approximately USD 1.5 billion of RMBS issued in eight different offerings sponsored
by Credit Suisse. One theory of liability advanced by the monoline insurers is that an affiliate of CSS LLC must repurchase affected mortgage
loans from the trusts at issue. To date, the monoline insurers have submitted repurchase demands for loans with an aggregate original principal
balance of approximately USD 2.3 billion. These actions are pending in the SCNY. In each action, plaintiff claims that the underlying mortgage
loans breach certain representations and warranties, and that CSS LLC and its affiliates have failed to repurchase the allegedly defective loans.
In two of the actions, those brought by monoline insurers Ambac Assurance Corp. and MBIA Insurance Corp. (MBIA) against CSS LLC and its
affiliates, plaintiff claims that it was fraudulently induced into providing the insurance. In those actions, the court dismissed both of the
monoline insurer plaintiffs' fraudulent inducement claims against CSS LLC and its affiliates, but plaintiffs requested reconsideration by the
court. On October 7, 2011, the court reinstituted the monoline insurer plaintiffs' fraudulent inducement claims against CSS LLC and its affiliates
but reinstated its earlier decisions to deny plaintiffs' demands for a jury trial. Discovery in these actions is ongoing. The third action by a
monoline insurer was brought by Assured Guaranty Corp. on October 17, 2011. In the action brought by Assured Guaranty Corp., on
October 11, 2012, the court dismissed certain claims against CSS LLC and its affiliates, including plaintiffs' demands for rescissory damages,
indemnification, attorneys' and accountants' fees and expenses, and consequential damages. Separately, CSS LLC and other underwriters and
individuals are defendants in an action pending in California state court brought by MBIA. The action relates to approximately USD 650 million
in securities issued by IndyMac, including approximately USD 98 million of RMBS for which CSS LLC was an underwriter in one of the three
offerings at issue, and as to which MBIA provided financial guaranty insurance. MBIA purports to be subrogated to the rights of the RMBS
holders and seeks recovery of sums it has paid and will pay pursuant to those policies. Discovery in the action is ongoing.
On January 15, 2013, the SCNY, Appellate Division, First Department, issued an order reinstating
the demands for jury trial made by
monoline insurers MBIA Insurance Corp. and Ambac Assurance Corp. in their respective actions against CSS LLC and certain of its
affiliates.
On February 27, 2013, CSS LLC and its affiliate settled the action brought by Ambac Assurance Corp. in the SCNY for an amount covered by
existing provisions. On March 8, 2013, CSS LLC settled an action brought by MBIA in California state court in which MBIA purported to be
subrogated to the rights of certain RMBS holders who purchased RMBS underwritten by CSS LLC; that settlement was covered by
existing provisions.
On April 2, 2013, Financial Guaranty Insurance Company (FGIC) filed an action against CSS LLC and
one of its affiliates in the
Supreme Court for the SCNY relating to insurance issued by FGIC guaranteeing payment of principal and interest on approximately USD 240
million of RMBS issued in one offering sponsored by CSS LLC's affiliate. FGIC has demanded that the Credit Suisse defendants repurchase
loans underlying the offering with an aggregate principal amount of approximately USD 36.6 million.
On October 16, 2013, Assured Guaranty Corp. and its affiliate (Assured) filed an amended complaint against CSS LLC and its affiliates
related to financial guaranty insurance policies issued by Assured guaranteeing payment of principal and interest on RMBS issued in offerings
sponsored by Credit Suisse. In addition to existing claims made by Assured, the amended complaint alleges the Credit Suisse defendants
fraudulently induced Assured to issue its insurance policies on the RMBS.
On November 15, 2013, CIFG Assurance North America, Inc. (CIFG) filed an action against CSS LLC in the SCNY, relating to financial
guaranty insurance issued by CIFG on a credit default swap guaranteeing payment on approximately USD 396 million of notes of a
collateralized debt obligation. CIFG alleges material misrepresentation in the inducement of an insurance contract and fraud relating to alleged
affirmative misrepresentations and material omissions made to induce CIFG to guarantee the securities.
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On July 14, 2014, the SCNY ruled from
the bench following oral argument and granted CSS LLC's motion to dismiss all claims in the
action filed by CIFG without prejudice relating to financial guaranty
insurance issued by CIFG on a credit default swap guaranteeing payment
on approximately USD 396 million of notes of a collateralized debt obligation.
On November 20, 2014, U.S. Bank, National Association, as trustee of six trusts, filed a motion
to intervene as it was not previously a
party in the action brought by Assured. Following a settlement, on November 25, 2014, a stipulation discontinuing the action
brought by
Assured was filed in the SCNY. On March 5, 2015, the SCNY denied U.S. Bank, National Association's motion to intervene. Thus, the action
is dismissed.
On
May 28, 2015, the Supreme Court of New York, Appellate Division, First Department, issued an order affirming the dismissal of the
complaint against CSS LLC filed by CIFG
Assurance North America, Inc.
Further, on November 16, 2015, a stipulation of
discontinuance with prejudice was filed with the SCNY, discontinuing the action brought
by Financial Guaranty Insurance Company (FGIC) against CSS LLC and one of its
affiliates. FGIC guaranteed payments of principal and
interest related to approximately USD 240 million of RMBS issued in offerings sponsored by Credit Suisse and had
submitted repurchase
demands for loans with an original principal balance of approximately USD 37 million.
On March 31, 2017, the SCNY ruled on both parties' respective summary judgment motions in
the action filed by MBIA Insurance Corp.
(MBIA) against CSS LLC and certain of its affiliates. The SCNY granted in part and denied in part both parties' respective
summary judgment
motions, which resulted, among other things, in the dismissal of MBIA's fraud claim with prejudice. Both MBIA and the Credit Suisse entities
involved in this action have filed notices of appeal. On September 13, 2018, the SCNY, Appellate Division, First Department issued its decision
on the parties' cross-appeals from the trial courts' summary judgment order in the action filed by MBIA against CSS LLC and certain of its
affiliates. The First Department, among other things, affirmed the dismissal of MBIA's fraud claim with prejudice. The First Department also
ruled in favor of the Credit Suisse entities on their cross-appeal, reversing the trial court's interpretation of certain representations and warranties
and ruling that they should be decided at trial. Following its decision, the First Department remanded the action to the trial court for
further proceedings.
On August 2, 2019, the Supreme Court for the State of New York, New York County (SCNY) concluded
a two-week bench trial in the
action against CSS LLC and certain of its affiliates commenced by MBIA Insurance Corp. as guarantor for payments of principal and interest
related to approximately USD 770 million of RMBS issued in an offering sponsored by the Credit Suisse defendants. The parties are now
engaging in post-trial briefing. The parties completed post-trial briefing on November 21, 2019. On November 30, 2020, the SCNY issued a
post-trial order determining liability, and on January 25, 2021 entered an order setting damages in the amount of USD 604 million. On
February 11, 2021, following a settlement in the amount of USD 600 million, for which Credit Suisse was fully reserved, the SCNY dismissed
with prejudice all claims against CSS LLC and its affiliates.
Repurchase litigations
On July 3, 2012, the FHFA, as conservator for Freddie Mac, on behalf of the Trustee of Home Equity Asset Trust 2006-5, filed an action
against DLJ Mortgage Capital, Inc. (DLJ) in the SCNY. The action alleges that DLJ breached representations and warranties in respect of
certain mortgage loans and failed to repurchase such mortgage loans as required under the applicable agreements. No damages amount
is alleged.
On July
31, 2012 and October 2, 2012, the FHFA, as conservator for Freddie Mac, respectively on behalf of the Trustee of Home Equity
Asset Trust 2006-6 and the Trustee of Home
Equity Asset Trust 2006-7, filed actions against DLJ in the SCNY. The actions allege that DLJ
breached representations and warranties in respect of certain mortgage loans
and failed to repurchase such mortgage loans as required under the
applicable agreements. No damages amount is alleged in either action. On August 31, 2012, Home Equity
Mortgage Trust Series 2006-1, Home
Equity Mortgage Trust Series 2006-3, and Home Equity Mortgage Trust Series 2006-4 filed an action against DLJ and Select Portfolio
Servicing, Inc. (SPS), in the SCNY. The action alleges that DLJ breached representations and warranties in respect of certain mortgage loans
and failed to repurchase such mortgage loans as required under the applicable agreements, and that SPS obstructed the investigation into the full
extent of the defects in the mortgage pools by refusing to afford the trustee reasonable access to certain origination files. Plaintiffs allege
damages of not less than USD 720 million.
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On October 30, 2012, Home Equity Mortgage Trust Series 2006-5 filed an action against DLJ, in which plaintiff alleges damages of not
less than USD 497 million. On November 29, 2012, Asset Backed Securities Corporation Home Equity Loan Trust, Series 2006-HE7, filed an
action against DLJ and another defendant, in which no damages amount is alleged. On November 30, 2012, Home Equity Asset Trust, Series
2006-8, filed an action against DLJ, in which no damages amount is alleged. On January 25, 2013, the SCNY consolidated into one action the
three actions that were brought by the FHFA, as conservator for Freddie Mac, on behalf of the respective Trustees of Home Equity Asset Trust
2006-5, Home Equity Asset Trust 2006-6 and Home Equity Asset Trust 2006-7. On February 1, 2013, Home Equity Asset Trust 2007-1 filed an
action against DLJ. These actions are in the SCNY and allege that defendants breached representations and warranties in respect of certain
mortgage loans and failed to repurchase such mortgage loans as required under the applicable agreements.
On April 8, 2013, Home Equity Mortgage Trust Series 2006-5 filed a complaint relating to its claims against DLJ, adding Select Portfolio
Servicing, Inc. (SPS) as a defendant, alleging that SPS likely discovered DLJ's alleged breaches of representations and warranties but did not
notify the trustee of such breaches, in alleged violation of its contractual obligations. The complaint also increased the alleged damages from not
less than USD 497 million to more than USD 500 million. On April 30, 2013, Home Equity Asset Trust Series 2007-3 filed an action against
DLJ in the SCNY, alleging that DLJ breached representations and warranties in respect of certain mortgage loans and failed to repurchase such
mortgage loans as required under the applicable agreements. No damages amount is alleged.
On May 31, 2013, Asset Backed Securities Corporation Home Equity Loan Trust Series AMQ 2007-HE2 filed an action against DLJ in
the SCNY, alleging that DLJ breached representations and warranties in respect of certain mortgage loans and failed to repurchase such
mortgage loans as required under the applicable agreements. No damages amount is alleged.
On July 31, 2013, Home Equity Asset Trust 2007-2 filed an action against DLJ in the SCNY, alleging that DLJ breached representations
and warranties in respect of certain mortgage loans and failed to repurchase such mortgage loans as required under the applicable agreements.
The plaintiff alleges damages of not less than USD 495 million. On July 31, 2013, CSMC Asset-Backed Trust 2007-NC1 filed an action against
DLJ in the SCNY, alleging that DLJ breached representations and warranties in respect of certain mortgage loans and failed to repurchase such
mortgage loans as required under the applicable agreements. No damages amount is alleged. On August 28, 2013, Home Equity Asset Trust
2007-3 filed an amended complaint against DLJ in the SCNY, alleging damages of not less than USD 206 million. On January 3, 2014, the
SCNY dismissed with prejudice the consolidated actions brought by Home Equity Asset Trust 2006-5, Home Equity Asset Trust 2006-6 and
Home Equity Asset Trust 2006-7 against DLJ Mortgage Capital, Inc., in which the plaintiffs had alleged damages of not less than USD 319
million. Those dismissals are on appeal.
On March 24, 2015, the SCNY dismissed without prejudice the action brought by Asset Backed Securities Corporation Home Equity
Loan Trust, Series 2006-HE7, against DLJ and another defendant, in which plaintiff had alleged damages of not less than USD 319 million. On
April 8, 2015, the SCNY dismissed without prejudice the action brought by Asset Backed Securities Corporation Home Equity Loan Trust
Series AMQ 2007-HE2, against DLJ, in which no damages amount had been alleged in the complaint.
On September 17, 2015, Asset Backed Securities Corporation Home Equity Loan Trust, Series 2006-HE7, re-filed an action against DLJ
and another defendant in the SCNY alleging that DLJ and the other defendant breached representations and warranties in respect of certain
mortgage loans and failed to repurchase such mortgage loans as required under the applicable agreements. The plaintiff alleges damages of not
less than USD 341 million. The plaintiff and DLJ have appealed the plaintiff's prior action, which was dismissed without prejudice on
March 24, 2015. In addition, on May 13, 2015, Asset Backed Securities Corporation Home Equity Loan Trust Series AMQ 2007-HE2 and DLJ
appealed the April 8, 2015 dismissal without prejudice of the action brought by Asset Backed Securities Corporation Home Equity Loan Trust
Series AMQ 2007-HE2, in which no damages amount had been alleged in the complaint. On September 18, 2015, the plaintiff and DLJ filed a
stipulation withdrawing the appeal with the SCNY.
On August 19, 2019, in the action brought against DLJ in the SCNY by Asset Backed Securities Corporation Home Equity Loan Trust,
Series 2006-HE7, the plaintiff filed an amended complaint and alleged revised damages of not less than USD 374 million. This action is
proceeding in the SCNY following the resolution of a previously pending appeal. On January 13, 2020, DLJ filed a motion to dismiss this action
in its entirety.
On
December 21, 2015, the action brought by Home Equity Asset Trust 2007-3, in which plaintiff alleges damages of not less than USD
206 million, was dismissed without
prejudice by order of the SCNY and which the plaintiff moved to restore on December 20, 2016, which the
court granted on March 15, 2017 by restoring the case to active
status.
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On January 10, 2019, the Supreme Court for the State of New York, New York County (SCNY) denied DLJ's
motion for partial
summary judgment, and on June 12, 2019, the SCNY set trial to begin in December 2019 in two actions in which DLJ Mortgage Capital, Inc.
(DLJ) and its affiliate, Select Portfolio Servicing, Inc., are defendants: one action brought by Home Equity Mortgage Trust Series 2006-1, Home
Equity Mortgage Trust Series 2006-3 and Home Equity Mortgage Trust Series 2006-4, in which plaintiffs allege damages of not less than USD
730 million; and one action brought by Home Equity Mortgage Trust Series 2006-5, in which plaintiff alleges damages of not less than USD 500
million. On September 17, 2019, the First Department affirmed the SCNY's summary judgment order on, and October 22, 2019, the SCNY
rescheduled the bench trial that was scheduled to begin in December 2019 to January 27, 2020. The trial has been postponed pending final
resolution of DLJ's summary judgment appeal. On December 12, 2019, DLJ obtained leave to further appeal to the New York State Court of
Appeals. Subject to final resolution of DLJ's summary judgment appeal, the SCNY has scheduled trial in these actions to begin on January 10,
2022.
On July 8,
2019, in the three consolidated actions against DLJ brought by Home Equity Asset Trust 2006-5, Home Equity Asset Trust
2006-6 and Home Equity Asset Trust 2006-7 that were
dismissed with prejudice in 2013, the notice of appeal plaintiffs filed before the
Appellate Division First Department of the SCNY was deemed dismissed when plaintiffs
declined to further pursue their appeal by a
court-ordered deadline.
As disclosed in Credit Suisse's fourth quarter Financial Report 2013 and Annual Report 2018, three consolidated repurchase actions
asserting substantially similar claims against DLJ as those alleged in the new repurchase action were dismissed with prejudice by the SCNY in
2013, and those dismissals were upheld by the New York State Court of Appeals on February 19, 2019. On July 8, 2019, the notice of appeal
plaintiffs filed before the First Department from the SCNY's April 2017 denial of plaintiffs' request that its 2013 dismissal decision be modified
to allow plaintiffs to assert new claims not previously included in plaintiffs' consolidated complaint was deemed dismissed when plaintiffs
declined to further pursue their appeal by a court-ordered deadline. On August 15, 2019, the trustees for Home Equity Asset Trust 2006-5, Home
Equity Asset Trust 2006-6 and Home Equity Asset Trust 2006-7 commenced a new repurchase action against DLJ in the SCNY, in which
plaintiffs alleged damages of not less than USD 936 million, asserting substantially similar claims against DLJ as those alleged in the three
consolidated repurchase actions that were dismissed with prejudice in 2013. On September 20, 2019, DLJ filed a motion to dismiss and on
November 25, 2019, the SCNY entered an order dismissing this new action with prejudice. On December 20, 2019, the plaintiffs filed a notice
of appeal to the First Department.
On December 27, 2018, the SCNY denied DLJ's motion for partial summary judgment in the action brought by Home Equity Asset Trust
2007-1, in which plaintiff alleges damages of not less than USD 420 million. The First Department affirmed the SCNY's summary judgment
order on October 10, 2019. On January 30, 2020, the First Department granted DLJ leave to further appeal its decision to the New York State
Court of Appeals. On March 2, 2020, trial in this action, which was scheduled to begin in October 2020, was postponed pending final resolution
of DLJ's summary judgment appeal. Subject to final resolution of DLJ's summary judgment appeal, the SCNY has scheduled trial in this action
to begin on October 11, 2021.
On May 6, 2021, in the action brought by Home Equity Asset Trust 2007-1 against DLJ Mortgage Capital, Inc. (DLJ), in which plaintiff
alleges damages of not less than USD 420 million, following oral argument before the New York State Court of Appeals in DLJ's appeal from
the denial of its motion for partial summary judgment, the New York State Court of Appeals ordered re-argument of the appeal. On June 1,
2021, the Supreme Court for the State of New York, New York County (SCNY) postponed the commencement of the trial that had been
scheduled to begin on October 11, 2021 until May 31, 2022. The commencement of the trial remains subject to the final resolution of DLJ's
summary judgment appeal.
On April 19, 2021, the parties in two actions filed against DLJ Mortgage Capital, Inc. (DLJ) and its affiliate Select Portfolio Servicing,
Inc. and consolidated in the Supreme Court for the State of New York, New York County (SCNY) executed an agreement to settle both actions
for the aggregate amount of USD 500 million, for which Credit Suisse was fully reserved: one action brought by Home Equity Mortgage Trust
Series 2006-1, Home Equity Mortgage Trust Series 2006-3 and Home Equity Mortgage Trust Series 2006-4, in which plaintiffs allege damages
of not less than USD 730 million; and one action brought by Home Equity Mortgage Trust Series 2006-5, in which plaintiff alleges damages of
not less than USD 500 million. The settlement remains subject to approval through a trust instruction proceeding to be brought in Minnesota
state court by the trustee of the plaintiff trusts. On April 22, 2021, the parties jointly requested that the SCNY vacate the trial in these actions that
had been scheduled to begin on January 10, 2022. Pursuant to the settlement, on April 23, 2021, DLJ's appeal to the New York State Court of
Appeals from the denial of its partial summary judgment motion in these actions was withdrawn.
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On June 4, 2021, following the
parties' April 19, 2021 settlement of the actions, which remains subject to approval in a trust instruction
proceeding to be brought in Minnesota state court by the
trustee of the plaintiff trusts, the SCNY vacated the trial that had been scheduled to
begin on January 10, 2022 in two consolidated actions filed against DLJ and its
affiliate Select Portfolio Servicing, Inc.: one action brought by
Home Equity Mortgage Trust Series 2006-1, Home Equity Mortgage Trust Series 2006-3 and Home Equity
Mortgage Trust Series 2006-4, in
which plaintiffs allege damages of not less than USD 730 million; and one action brought by Home Equity Mortgage Trust Series 2006-5, in
which plaintiff alleges damages of not less than USD 500 million.
Bank loan litigation
On January 3, 2010, the Bank and other affiliates were named as defendants in a lawsuit filed in the US District Court for the District of
Idaho by homeowners in four real estate developments, Tamarack Resort, Yellowstone Club, Lake Las Vegas and Ginn Sur Mer. The Bank
arranged, and was the agent bank for, syndicated loans provided for all four developments, which have been or are now in bankruptcy or
foreclosure. Plaintiffs generally allege that the Bank and other affiliates committed fraud by using an unaccepted appraisal method to overvalue
the properties with the intention to have the borrowers take out loans they could not repay because it would allow the Bank and other affiliates to
later push the borrowers into bankruptcy and take ownership of the properties. The claims originally asserted by the plaintiffs include Racketeer
Influenced and Corrupt Organizations (RICO), fraud, negligent misrepresentation, breach of fiduciary duty, tortious interference and conspiracy,
among others. Plaintiffs are seeking class action status and have demanded USD 24 billion in damages. Cushman & Wakefield, the appraiser for
the properties at issue, is also named as a defendant. An amended complaint was filed against all of the defendants on January 25, 2010, adding
six new homeowner plaintiffs in the same four real estate developments. On March 29, 2010, the Bank and its named affiliates moved to dismiss
the amended complaint in its entirety. The Bank and its named affiliates argued that the claims against them fail because they had no
relationship with the plaintiff homeowners, and made no representations to them, fraudulent or otherwise, so there is no legal basis for the
plaintiffs' claims against them. The Bank and its affiliates also argued, among other things, that the plaintiffs failed to plead the necessary
elements of the claims asserted against them in the amended complaint. On March 31, 2011, the court dismissed the RICO claim with prejudice
and dismissed certain other claims with leave to replead. A third amended complaint was filed on April 21, 2011, adding a Consumer Protection
Act claim. On May 5, 2011, the Bank and its affiliates moved to dismiss the third amended complaint. On July 22, 2011, two developers moved
to intervene in the lawsuit. On February 17, 2012, the magistrate judge issued a report and recommendation to deny the motion to intervene and
to dismiss certain of the claims while allowing others to proceed. The Bank and its affiliates filed objections to the recommendations on
March 5, 2012 and are awaiting the district court's decision to adopt or deny the recommendation. On March 30, 2012, the court dismissed the
unjust enrichment, fiduciary duty and Consumer Protection Act claims and limited fraud and negligent misrepresentation claims to three named
plaintiffs. On September 17, 2012, plaintiffs filed a motion for class certification. On December 12, 2012, the Bank opposed the motion. On
September 24, 2013, the court denied the plaintiffs' motion for class certification so the case cannot proceed as a class action. On February 5,
2015, the court granted plaintiffs' motion for leave to file an amended complaint, adding additional individual plaintiffs. On April 13, 2015, the
court granted plaintiffs' motion for leave to add a claim for punitive damages. On November 20, 2015, the plaintiffs moved for partial summary
judgment, which the defendants opposed on December 14, 2015. On December 18, 2015, the defendants filed motions for summary judgment.
On July 27, 2016, the US District Court for the District of Idaho granted the defendants' motions for summary judgment, dismissing the case
with prejudice. The plaintiffs have filed notices of appeal. Oral argument on the appeal took place on February 9, 2018. On April 26, 2018, the
United States Court of Appeals for the Ninth Circuit affirmed the granting of summary judgment for Credit Suisse AG and certain of
its affiliates.
The
Bank and other affiliates continue to be the subject of certain litigation regarding the four real estate developments that are the subject
of the lawsuit filed in the US
District Court for the District of Idaho and other similar real estate developments. Such litigation includes two
cases brought in Texas and New York state courts against
Bank affiliates by entities related to Highland Capital Management LP (Highland).
In
the Texas state court case a jury trial was held in December 2014 on Highland's claim for fraudulent inducement by affirmative
misrepresentation and omission. A
verdict was issued for the plaintiff on its claim for fraudulent inducement by affirmative misrepresentation,
but the jury rejected its claim that the Bank's
affiliates had committed fraudulent inducement by omission. The Texas judge held a bench trial on
Highland's remaining claims in May and June 2015, and entered
judgment in the amount of USD 287 million (including prejudgment interest)
for the plaintiff on September 4, 2015. Both parties filed notices of appeal from that judgment
and briefing was completed on March 10, 2017.
Oral argument on the appeals took place on October 18, 2017 and on February 21, 2018 the appeals court affirmed the lower
court's decision.
On March 7, 2018, the Bank affiliates filed a motion for rehearing with the appeals court. On April 2, 2018, the motion for rehearing was
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denied. On July 18, 2018, the defendants filed a request
for review by the Texas Supreme Court. On December 14, 2018, the court issued an
order requiring briefs on the merits in the request for review.
On October 4, 2019, in the case brought in Texas state court by entities related to Highland
Capital Management LP, the Texas Supreme
Court granted the request for review filed by CSS LLC and certain of its affiliates. On January 8, 2020, the Texas Supreme Court
heard oral
argument. On April 24, 2020, the Texas Supreme Court issued a ruling on the parties' appeals related to the trial court's judgment in favor of the
plaintiff entered on September 4, 2015. The Texas Supreme Court reversed the portion of the trial court's judgment related to the bench trial
held in May and June 2015, thereby dismissing plaintiff's breach of contract, breach of the implied duty of good faith and fair dealing, aiding
and abetting fraud, and civil conspiracy claims, including damages of approximately USD 212 million, exclusive of interest, but left standing the
separate December 2014 jury verdict for plaintiff on its claim for fraudulent inducement by affirmative misrepresentation. The Texas Supreme
Court remanded the case back to the trial court for further proceedings related to the calculation of damages. On June 10, 2020, Highland filed a
motion for rehearing in the Texas Supreme Court. On October 2, 2020, the Texas Supreme Court denied Highland's motion for rehearing.
On June 25, 2021, in the Texas state court action against CSS LLC and certain of its affiliates
brought by entities related to Highland
Capital Management LP, the trial court entered a new judgment. This new judgment followed the Texas Supreme Court's decision
that reversed
a portion of the September 4, 2015 judgment and dismissed various claims, but left standing the separate December 2014 jury verdict for
plaintiff on its claims for fraudulent inducement by affirmative misrepresentation and remanded the case back to the trial court for further
proceedings related to the calculation of damages and interest. The new judgment of June 25, 2021 awarded plaintiff a total of approximately
USD 121 million. CSS LLC and its affiliates filed a notice of appeal from the judgment on July 23, 2021.
In the case in New York state court, the court granted in part and denied in part the Bank's summary judgment motion. Both parties
appealed that decision, but the appellate court affirmed the decision in full. Bank affiliates separately sued Highland-managed funds on related
trades and received a favorable judgment awarding both principal owed and prejudgment interest. Highland appealed the portion of the
judgment awarding prejudgment interest, however the original decision was affirmed in its entirety. The parties have subsequently agreed to
settle the amount owed by the Highland-managed funds under the judgment.
Rates-related matters
Regulatory authorities in a number of jurisdictions, including the US, UK, EU and Switzerland, have for an extended period of time been
conducting investigations into the setting of LIBOR and other reference rates with respect to a number of currencies, as well as the pricing of
certain related derivatives. These ongoing investigations have included information requests from regulators regarding LIBOR-setting practices
and reviews of the activities of various financial institutions, including the Group. The Group, which is a member of three LIBOR rate-setting
panels (US Dollar LIBOR, Swiss Franc LIBOR and Euro LIBOR), is cooperating fully with these investigations.
In particular, it has been reported that regulators are investigating whether financial
institutions engaged in an effort to manipulate
LIBOR, either individually or in concert with other institutions, in order to improve market perception of these
institutions' financial health
and/or to increase the value of their proprietary trading positions. In response to regulatory inquiries, Credit Suisse commissioned a
review of
these issues. To date, Credit Suisse has seen no evidence to suggest that it is likely to have any material exposure in connection with
these issues.
In
addition, members of the US Dollar LIBOR panel, including Credit Suisse, have been named in various civil lawsuits filed in the US.
In LIBOR multi-district litigation in the SDNY, the briefing on defendants' motions to dismiss was completed in April 2015. In one of the
two matters not consolidated in the multi-district litigation, the SDNY granted the defendants' motion to dismiss on March 31, 2015, but gave
plaintiff leave to file a new pleading. Regarding the civil class action lawsuits in the SDNY relating to the alleged manipulation of foreign
exchange rates, one of the foreign-based investors has appealed the dismissal of its case. Additional plaintiffs have recently filed two new civil
class action complaints alleging that Credit Suisse Group AG and certain of its affiliates, as well as other financial institutions, manipulated
prices for foreign exchange futures and options on foreign exchange futures. On April 13, 2015, the defendants filed a motion to dismiss the
pending consolidated civil class action lawsuit relating to the alleged manipulation of the ISDAFIX rate for US dollars in the SDNY. On
May 11, 2016, the SDNY preliminarily approved plaintiffs' settlement agreements with Credit Suisse AG, New York Branch, and six other
financial institutions in the consolidated civil class action lawsuit relating to the alleged manipulation of the ISDAFIX rate for US dollars. The
settlement provides for dismissal of the case with prejudice and a settlement payment of USD 50 million by Credit Suisse. The settlements
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remain subject to final court approval. On June 1, 2018,
the US District Court for the Southern District of New York (SDNY) approved
plaintiffs' settlement agreement with Credit Suisse AG, New York Branch, and several
other financial institutions. The settlement provides for
dismissal of the case with prejudice and a settlement payment of USD 50 million.
In one of the two US dollar LIBOR matters not consolidated in the multi-district litigation, on
June 1, 2015, plaintiff filed a motion for
leave to file a second amended complaint in the US District Court for the SDNY; defendants' opposition brief was filed on
July 15, 2015. On
June 19, 2015, plaintiffs in the Swiss franc LIBOR litigation filed an amended complaint. Regarding the civil class action lawsuits in the SDNY
relating to the alleged manipulation of foreign exchange rates, the foreign-based investor who appealed the dismissal of its case has withdrawn
that appeal. Besides the civil class action complaints alleging that Credit Suisse Group AG and certain of its affiliates, as well as other financial
institutions, manipulated prices for foreign exchange futures and options on foreign exchange futures filed in 1Q15, additional plaintiffs have
recently filed similar civil class action complaints and other plaintiffs have filed an action alleging violations of the US Employee Retirement
Income Security Act of 1974 based on the same alleged conduct (see below).
On August 4, 2015, the US District Court for the SDNY in the US Dollar LIBOR multi-district litigation ruled on certain of defendants'
pending motions to dismiss and dismissed certain of plaintiffs' claims, including claims under the Racketeer Influenced and Corrupt
Organizations Act and the Sherman Antitrust Act, while allowing certain Commodity Exchange Act claims, fraud, breach of contract, and unjust
enrichment claims to survive. On May 23, 2016, the Second Circuit reversed the decision dismissing the Sherman Antitrust Act claims and
remanded the claims to the SDNY for additional briefing on the issue of whether such claims have been adequately alleged In one of the two US
Dollar LIBOR matters not consolidated in the multi-district litigation, plaintiffs agreed to dismiss all claims and the matter has been concluded.
On August 18, 2015, defendants in the Swiss franc LIBOR litigation filed motions to dismiss. Regarding the putative civil class action lawsuits
in the SDNY relating to the alleged manipulation of foreign exchange rates, in July 2015, plaintiffs filed a second consolidated amended
complaint, adding additional defendants and asserting additional claims on behalf of a second putative class of exchange investors. In August
2015, the court consolidated all FX-related actions pending in the SDNY, except one putative class action alleging violations of the US
Employee Retirement Income Security Act based on the same alleged conduct. On September 20, 2016, the SDNY granted in part and denied in
part a motion to dismiss filed by defendants, including Credit Suisse Group AG, Credit Suisse AG, and CSS LLC, in this consolidated action
relating to the alleged manipulation of foreign exchange rates. The decision reduced the size of the putative class, but allowed the primary
antitrust and Commodity Exchange Act claims to survive
On May 19, 2016, affiliates of the Group, along with several other financial institutions, filed
a motion to dismiss a putative class action
in the SDNY. The plaintiffs allege that the defendant financial institutions conspired to manipulate certain foreign exchange
rates in violation of
the US Employee Retirement Income Security Act of 1974. On August 23, 2016, the SDNY dismissed this putative class action brought against
Credit Suisse AG and CSS LLC, along with other financial institutions, alleging that the defendants conspired to manipulate certain foreign
exchange rates in violation of the US Employee Retirement Income Security Act of 1974. On September 22, 2016, plaintiffs filed an appeal of
that decision.
The
Group and several affiliates, with other financial institutions, have also been named in two Canadian putative class actions, which
make similar allegations.
CSS LLC, along with over 20 other primary dealers of US treasury securities, has been named in a
number of putative civil class action
complaints in the US relating to the US treasury markets. These complaints generally allege that defendants colluded to manipulate US
treasury
auctions, as well as the pricing of US treasury securities in the when-issued market, with impacts upon related futures and options. These actions
have been consolidated into a multi-district litigation in the SDNY. Plaintiffs have not yet filed a consolidated amended complaint.
Additionally, putative class action complaints and another individual lawsuit were filed against
Credit Suisse Group AG and affiliates,
along with other financial institutions, relating to interest rate swaps (IRS). Similar to previously filed complaints, plaintiffs
allege that dealer
defendants conspired with trading platforms to prevent the development of IRS exchanges. The second individual lawsuit was brought by
Javelin Capital Markets L LC, a swap execution facility, and an affiliate, which claim to have suffered lost profits as a result of defendants'
alleged conspiracy. All IRS actions, including the two individual actions, have been consolidated in a multi-district litigation in the SDNY.
Plaintiffs have not yet filed a consolidated complaint.
On July 1, 2016, Credit Suisse AG and Credit Suisse Group AG, along with other financial institutions, were named in a putative class
action brought in the SDNY, alleging manipulation of the Singapore Interbank Offered Rate and Singapore Swap Offer Rate.
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On August 16, 2016, Credit Suisse Group
AG and Credit Suisse AG, along with other financial institutions, were named in a putative
class action brought in the SDNY, alleging manipulation of the Australian Bank
Bill Swap reference rate. Plaintiffs filed an amended complaint
on December 16, 2016, which defendants moved to dismiss on February 24, 2017. On November 26, 2018, the
SDNY granted in part and
denied in part defendants' motions to dismiss including dismissing the complaint in its entirety against Credit Suisse Group AG and Credit
Suisse AG. On March 4, 2019, plaintiffs were granted leave to file a second amended complaint.
On April 3, 2019, in the putative class action brought in the SDNY alleging manipulation of the
Australian Bank Bill Swap reference rate,
plaintiffs filed a second amended complaint. On May 20, 2019, in the putative class action brought in the SDNY alleging
manipulation of the
Australian Bank Bill Swap reference rate, defendants filed motions to dismiss. On February 13, 2020, the SDNY granted in part and denied in
part defendants' motion to dismiss.
On September 26, 2016, the Group and affiliates, as well as other financial institutions, were named in a putative class action filed in the
SDNY alleging manipulation of the foreign exchange market on behalf of indirect purchasers of foreign exchange instruments.
On March 24, 2017, plaintiffs filed an amended complaint in lieu of opposing defendants'
motions to dismiss in the putative class action
in the SDNY, alleging manipulation of the foreign exchange instruments. On April 28, 2017, plaintiffs dismissed the pending
action and filed
the amended complaint as a new putative class action in the SDNY.
Credit Suisse Group AG and affiliates, along with other financial institutions and individuals, have been named in several putative class
action complaints filed in the SDNY relating to supranational, sub-sovereign, and agency (SSA) bonds. The complaints generally allege that
defendants conspired to fix the prices of SSA bonds sold to and purchased from investors in the secondary market.
On April 7, 2017, plaintiffs filed a consolidated amended complaint in the consolidated class
action in the SDNY relating to
supranational, sub-sovereign and agency (SSA) bonds. The amended complaint generally alleges that defendants conspired to fix the prices of
SSA bonds sold to and purchased from investors in the secondary market. Plaintiffs filed a second consolidated amended class action complaint
on November 3, 2017, which defendants moved to dismiss on December 12, 2017. On August 24, 2018, in the consolidated class action
litigation relating to supranational, sub-sovereign and agency (SSA) bonds, the SDNY granted defendants' motion to dismiss for failure to state
a claim, but granted plaintiffs' leave to amend. On November 6, 2018, plaintiffs filed a second consolidated amended class action complaint,
which defendants moved to dismiss on December 21, 2018. On September 30, 2019, the SDNY granted defendants' motion to dismiss for lack
of personal jurisdiction and improper venue. The court indicated that it will further address defendants' motion to dismiss for failure to state a
claim. On March 18, 2020, the SDNY issued an additional opinion granting the motion to dismiss the second amended complaint for failure to
state a claim made by CSS LLC and certain other defendants.
On February 7, 2019, Credit Suisse AG and certain of its affiliates, together with other financial institutions and individuals, were named
in a putative class action filed in the SDNY, which makes allegations similar to the consolidated class action, but seeks to represent a putative
class of indirect purchasers of US dollar SSA bonds where the purchase was made in or connected to New York.
On June 1, 2020, in the consolidated class action litigation brought in the SDNY relating to
supranational, sub-sovereign and agency
(SSA) bonds, plaintiffs filed a notice of appeal.
On July 19, 2021, in the consolidated class action litigation brought in the SDNY relating to SSA bonds, the United States Circuit Court
of Appeals for the Second Circuit affirmed the SDNY's September 30, 2019 and March 18, 2020 decisions granting defendants' motions
to dismiss.
On June
25, 2020, in the putative class action brought in the SDNY on behalf of indirect purchasers of US dollar SSA bonds, plaintiff
voluntarily dismissed the
lawsuit.
Credit Suisse Group AG and certain of its affiliates, together with other
financial institutions, have also been named in two Canadian
putative class actions, which make allegations similar to the consolidated class action.
On June 26, 2017, the only named plaintiff with class claims remaining against a Credit Suisse
entity that survived a motion to dismiss
withdrew as a class representative. Credit Suisse AG has moved to dismiss this remaining putative class action on the ground that
there are no
remaining class representatives with claims against it.
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On June 10, 2017, Credit Suisse Group AG and affiliates, along with other financial institutions, were named in
a second putative class
action brought in the US District Court for the SDNY alleging manipulation of the foreign exchange market on behalf of indirect purchasers of
foreign exchange instruments. Both putative class actions have been consolidated in the SDNY, and plaintiffs filed a consolidated complaint on
June 30, 2017.
Regulatory authorities in a number of jurisdictions, including the Swiss Competition Commission,
the European Competition
Commission, the South African Competition Commission, the Brazilian Competition Authority and the New York Department of Financial
Services, have been conducting investigations into the trading activities, information sharing and the setting of benchmark rates in the foreign
exchange (including electronic trading) markets. On March 31, 2014, the Swiss Competition Commission announced a formal investigation of
numerous Swiss and international financial institutions, including the Group, in relation to the setting of exchange rates in foreign exchange
trading. The Group is cooperating fully with these investigations.
On September 29, 2017, the US District Court for the Southern District of New York (SDNY) in the multi-district litigation concerning
US Dollar LIBOR dismissed without prejudice Credit Suisse AG from the remaining non-stayed putative class action on the ground that there
were no remaining class representatives with claims against any Credit Suisse entity.
On September 25, 2017, the SDNY granted defendants' motion to dismiss all claims against Credit Suisse Group AG and other
defendants in the putative class action relating to Swiss franc LIBOR. The SDNY granted plaintiffs leave to file an amended complaint by
November 6, 2017, and plaintiffs filed an amended complaint on November 6, 2017. Defendants filed motions to dismiss on February 7, 2018.
On August 18, 2017, the SDNY dismissed all claims against Credit Suisse Group AG and affiliates in the putative class action lawsuit
relating to the Singapore Interbank Offered Rate and Singapore Swap Offer Rate. On September 18, 2017, the plaintiffs filed an amended
complaint. On October 18, 2017, defendants filed motions to dismiss the amended complaint.
On August 11, 2017, defendants filed motions to dismiss the consolidated putative class action complaint in the SDNY alleging
manipulation of the foreign exchange market on behalf of indirect purchasers of foreign exchange instruments.
On August 23, 2017, the SDNY appointed lead counsel in the consolidated putative class actions
relating to the US treasury markets. On
August 25, 2017, three purported class representatives re-filed their complaints as a collective individual action.
On July 28, 2017, the SDNY granted in part and denied in part defendants' motion to dismiss
plaintiffs' consolidated putative civil class
action complaint and plaintiffs' consolidated individual complaint, relating to interest rate swaps.
On October 6, 2017, in response to defendants' motions to dismiss the putative class action
in the SDNY relating to supranational,
sub-sovereign, and agency bonds, plaintiffs filed a motion for leave to file a consolidated amended class action
complaint.
On August 17, 2017, Credit Suisse Group AG and affiliates, along with
other financial institutions, were named in a civil putative class
action lawsuit filed in the SDNY, alleging that defendants conspired to keep stock loan trading fixed in
an over-the-counter market and
collectively boycotted certain trading platforms which sought to enter the market.
Members of the US Dollar LIBOR panel, including Credit Suisse, have been named in various civil
lawsuits filed in the US. All but one
of these matters have been consolidated for pre-trial purposes into a multi-district litigation in the SDNY. On March 29, 2013, the
court in the
multi-district litigation dismissed a substantial portion of the consolidated cases against the panel banks, dismissing the claims under Sherman
Antitrust Act and the Racketeer Influenced and Corrupt Organizations Act, as well as all state law claims, leaving only certain claims under the
Commodity Exchange Act based on LIBOR-related instruments entered into after May 30, 2008 (extended to after April 14, 2009 in a
subsequent order). Plaintiffs appealed part of the decision. On May 23, 2016, the United States Court of Appeals for the Second Circuit (Second
Circuit) reversed the decision of the SDNY dismissing plaintiffs' Sherman Antitrust Act claims and remanded the claims to the SDNY for
additional briefing on the issue of whether such claims have been adequately alleged. Briefing was completed in August 2016 and, in a series of
rulings between December 2016 and February 2017, the SDNY dismissed all of plaintiffs' antitrust claims against Credit Suisse. Between April
2013 and November 2015, the SDNY has issued a number of decisions narrowing and defining the scope of the permissible claimants and
claims for the consolidated case in the multi-district litigation. On August 23, 2013, the SDNY rejected plaintiffs' requests to replead the
dismissed causes of action, except for certain of plaintiffs' state law claims, which plaintiffs asserted in amended complaints. In June 2014, the
SDNY denied most of defendants' motion to dismiss.
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On November 3, 2015, the SDNY further dismissed purported classes brought by student loan borrowers and lending
institutions and
allowed certain over-the-counter plaintiffs to amend their complaints to add new plaintiffs to certain claims. Plaintiffs appealed several of the
SDNY's rulings to the Second Circuit. On February 23, 2018, the Second Circuit issued a decision in an appeal of one non-class action that
largely affirmed the SDNY's rulings, including upholding dismissal of certain state law and securities law claims as to Credit Suisse, but
vacated certain rulings and remanded the case for further proceedings. Another consolidated Second Circuit appeal is still pending. On June 26,
2017, the only named plaintiff with putative class claims remaining against a Credit Suisse entity that survived a motion to dismiss withdrew as
a class representative. On February 28, 2018, the SDNY issued a decision dismissing Credit Suisse AG with prejudice from the remaining
non-stayed putative class action.
Separately, on May 4, 2017, the plaintiffs in the three non-stayed putative class actions moved for class certification. On February 28,
2018, the SDNY denied certification in two of the actions and granted certification over a single antitrust claim in an action brought by
over-the-counter purchasers of LIBOR-linked derivatives. In the same decision, the court dismissed Credit Suisse AG, the only remaining Credit
Suisse entity in the action, from the over-the-counter action. All parties moved for immediate appellate review of the class-certification
decisions, and the Second Circuit denied their petitions for review.
The one matter that is not consolidated in the multi-district litigation is also in the SDNY, and the SDNY granted the defendants' motion
to dismiss on March 31, 2015, but gave plaintiff leave to file a new pleading. On June 1, 2015, plaintiff filed a motion for leave to file a second
amended complaint in the SDNY; defendants' opposition brief was filed on July 15, 2015. On March 20, 2018, the SDNY denied the plaintiff's
request for leave to file an amended pleading and dismissed the case on the merits. Plaintiff appealed to the Second Circuit.
In the multi-district litigation before the US District Court for the Southern District of New
York (SDNY), on June 15, 2018, plaintiffs in
several non-class actions filed amended complaints or filed for leave to amend their currently operative complaints. On July
13, 2018,
defendants moved to dismiss the amended complaints and opposed leave to amend. On March 25, 2019, the SDNY granted in part and denied in
part defendants' motions to dismiss various actions and certain plaintiffs' motions for leave to amend their complaints. The SDNY's decision
narrowed the claims in several of the remaining individual investor actions on grounds relating to personal jurisdiction, the statute of limitations
and the merits.
On
May 31, 2018, plaintiffs served a motion for class certification in the consolidated class action relating to the alleged manipulation of
foreign exchange
rates.
On July 10, 2018, the United States Court of Appeals for the Second Circuit
issued an order affirming in full the SDNY's decision to
dismiss the putative US Employee Retirement Income Security Act of 1974 (ERISA) class action against Credit
Suisse AG and affiliates as well
as other defendant financial institutions and denying plaintiffs' request for leave to amend their complaint.
In January 2019, members of the US dollar Intercontinental Exchange (ICE) LIBOR panel, including
Credit Suisse Group AG and certain
of its affiliates, were named in three civil putative class action lawsuits alleging that panel banks suppressed US dollar ICE LIBOR to
benefit
defendants' trading positions. These actions have been consolidated in the SDNY.
On April 30, 2019, in the one matter that is not consolidated in the multi-district litigation,
the United States Court of Appeals for the
Second Circuit affirmed the SDNY's March 20, 2018 decision that dismissed the case. On July 29, 2019, plaintiff filed a
petition for a writ of
certiorari with the Supreme Court of the United States, which was denied on October 7, 2019.
On July 1, 2019, in the consolidated putative class action brought in the US District Court for
the Southern District of New York (SDNY)
alleging that panel banks suppressed US dollar ICE LIBOR to benefit defendants' trading positions, plaintiffs filed a
consolidated complaint. On
August 30, 2019, defendants filed a motion to dismiss. On March 26, 2020, the SDNY granted defendants' motion to dismiss. On April 24,
2020, plaintiffs filed a notice of appeal. On December 28, 2020, a proposed intervener filed a motion to intervene because of the current
plaintiffs' intent to withdraw. On January 7, 2021, defendants filed a motion to dismiss the appeal based on the current plaintiffs' intent
to withdraw.
On
June 23, 2020, in one of the non-stayed putative class actions related to USD LIBOR brought in the multi-district litigation in the US
District Court for the Southern
District of New York (SDNY), plaintiffs filed a notice of appeal.
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On August 18, 2020, members of the US dollar Intercontinental Exchange (ICE) LIBOR panel, including Credit Suisse Group AG and
certain of its affiliates, were named in a civil action in the US District Court for the Northern District of California, alleging that panel banks
manipulated ICE LIBOR to profit from variable interest loans and credit cards. On November 10, 2020, plaintiffs filed a motion for preliminary
and permanent injunction that seeks to enjoin the panel banks from continuing to set LIBOR or that would automatically set the benchmark to
zero every day. On November 11, 2020, defendants filed a motion to transfer the case to the SDNY. On June 3, 2021, the court denied
defendants' motion to transfer the case to the US District Court for the Southern District of New York (SDNY).
CHF LIBOR litigation
In February 2015, various banks that served on the Swiss franc LIBOR panel, including Credit
Suisse Group AG, were named in a civil
putative class action lawsuit filed in the SDNY, alleging manipulation of Swiss franc LIBOR to benefit defendants' trading
positions. On
June 19, 2015, the plaintiffs filed an amended complaint. On August 18, 2015, the defendants filed motions to dismiss. On September 25, 2017,
the SDNY granted defendants' motion to dismiss all claims. The SDNY granted plaintiffs leave to file an amended complaint, and plaintiffs
filed an amended complaint on November 6, 2017. Defendants filed motions to dismiss on February 7, 2018. On September 16, 2019, the
SDNY granted defendants' motions to dismiss. On October 16, 2019, plaintiffs filed a notice of appeal.
Regulatory matters
Regulatory authorities in a number of jurisdictions, including the US, UK, EU and Switzerland, have for an extended period of time been
conducting investigations into the setting of LIBOR and other reference rates with respect to a number of currencies, as well as the pricing of
certain related derivatives. These ongoing investigations have included information requests from regulators regarding LIBOR-setting practices
and reviews of the activities of various financial institutions, including the Group. The Group, which is a member of three LIBOR rate-setting
panels (US Dollar LIBOR, Swiss Franc LIBOR and Euro LIBOR), is cooperating fully with these investigations. In particular, it has been
reported that regulators are investigating whether financial institutions engaged in an effort to manipulate LIBOR, either individually or in
concert with other institutions, in order to improve market perception of these institutions' financial health and/or to increase the value of their
proprietary trading positions. In response to regulatory inquiries, Credit Suisse commissioned a review of these issues. To date, Credit Suisse has
seen no evidence to suggest that it is likely to have any material exposure in connection with these issues.
Regulatory authorities in a number of jurisdictions, including the Swiss Competition Commission,
the European Competition
Commission, the South African Competition Commission, the DFS and the Brazilian Competition Authority have been conducting
investigations into the trading activities, information sharing and the setting of benchmark rates in the foreign exchange (including electronic
trading) markets.
On March 31, 2014, COMCO announced its formal investigation of numerous Swiss and international
financial institutions, including
Credit Suisse Group AG, in relation to the setting of exchange rates in foreign exchange trading. Credit Suisse continues to cooperate
with this
ongoing investigation.
On November 13, 2017, Credit Suisse AG and Credit Suisse AG, New York Branch reached a settlement with the DFS, resulting in a
pre-tax charge of USD 135 million. The agreement with the DFS settles claims relating to certain areas of Credit Suisse's voice and electronic
foreign exchange trading business between 2008 and 2015.
The reference rates investigations have also included information requests from regulators concerning supranational, sub-sovereign and
agency (SSA) bonds and commodities (including precious metals) markets. The Group is cooperating fully with these investigations.
On July 26, 2018, Credit Suisse Group AG and certain affiliates received a Statement of
Objections from the European Commission
(Commission), alleging that Credit Suisse engaged in anticompetitive practices in connection with its foreign exchange trading
business. The
Statement of Objections sets out the Commission's preliminary views and does not prejudge the final outcome of its investigation.
On March 19, 2021, Credit Suisse Group AG and certain affiliates received a Supplemental
Statement of Objection from the European
Commission (Commission), which alleges that Credit Suisse entities engaged in anticompetitive practices in connection with their
foreign
exchange trading business. The Supplemental Statement of Objections sets out the Commission's preliminary views and does not prejudge the
final outcome of its investigation.
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The investigation is ongoing and it is too soon to predict the final outcome of the investigation.
On December 20, 2018, Credit Suisse Group AG and Credit Suisse (Securities) Europe Limited
received a Statement of Objections from
the Commission, alleging that Credit Suisse entities engaged in anticompetitive practices in connection with its supranational,
sub-sovereign,
and agency (SSA) bonds trading business. The Statement of Objections sets out the Commission's preliminary views and does not prejudge the
final outcome of its investigation. On April 28, 2021, the Commission issued a formal decision imposing a fine of EUR 11.9 million. Credit
Suisse intends to appeal this decision to the EU General Court.
SIBOR/SOR litigation
In July 2016, various banks that served on the Singapore Interbank Offered Rate (SIBOR) and Singapore Swap Offer Rate (SOR) panels,
including Credit Suisse Group AG and affiliates, were named in a civil putative class action lawsuit filed in the SDNY, alleging manipulation of
SIBOR and SOR to benefit defendants' trading positions. On October 31, 2016, the plaintiffs filed an amended complaint. On November 18,
2016, defendants filed motions to dismiss. On August 18, 2017, the SDNY dismissed all claims against Credit Suisse Group AG and affiliates.
On September 18, 2017, the plaintiffs filed an amended complaint. On October 18, 2017, defendants filed motions to dismiss the
amended complaint.
On April 12, 2018, the US District Court for the Southern District of New York (SDNY) issued a
tentative ruling that it would dismiss
plaintiffs' claims for lack of capacity and failure to plead antitrust injury with the requisite specificity, but granted
plaintiffs leave to amend.
On October 4, 2018, in the civil putative class action
litigation alleging manipulation of Singapore Interbank Offered Rate (SIBOR) and
Singapore Swap Offer Rate (SOR) to benefit defendants' trading positions, the SDNY
granted in part and denied in part defendants' motion to
dismiss plaintiffs' second amended complaint. On October 25, 2018, plaintiffs filed a third amended
complaint. The remaining defendants
moved to dismiss on November 15, 2018.
On July 26, 2019, the SDNY issued a decision granting defendants' motion to dismiss and denying plaintiff's motion for leave to amend.
On August 26, 2019, plaintiffs filed a notice of appeal.
On March 17, 2021, in the civil putative class action litigation alleging manipulation of the Singapore Interbank Offered Rate (SIBOR)
and Singapore Swap Offer Rate (SOR) to benefit defendants' trading positions, the US Court of Appeals for the Second Circuit (Second Circuit)
vacated the judgment from the US District Court for the Southern District of New York (SDNY) dismissing the case for lack of subject matter
jurisdiction and remanded the case to the SDNY for further proceedings. On April 14, 2021, defendants filed a petition for rehearing and
rehearing en banc of the Second Circuit's decision.
Treasury markets litigation
CSS LLC, along with over 20 other primary dealers of US treasury securities, has been named in a number of putative civil class action
complaints in the US relating to the US treasury markets. These complaints generally allege that defendants colluded to manipulate US treasury
auctions, as well as the pricing of US treasury securities in the when-issued market, with impacts upon related futures and options. These actions
have been consolidated into a multi-district litigation in the SDNY. On August 23, 2017, the SDNY appointed lead counsel, and on August 25,
2017, three purported class representatives re-filed their complaints as a collective individual action. On November 15, 2017, plaintiffs filed a
consolidated amended class action complaint naming CSS LLC, Credit Suisse Group AG, and Credit Suisse International (CSI), along with a
narrower group of other defendants. The consolidated complaint contains previously-asserted allegations as well as new allegations concerning a
group boycott to prevent the emergence of anonymous, all-to-all trading in the secondary market for treasury securities. On February 23, 2018,
defendants served motions to dismiss on plaintiffs and the SDNY entered a stipulation voluntarily dismissing Credit Suisse Group AG and other
defendant holding companies. A stipulation of voluntary dismissal of CSI is currently pending.
On March 26, 2018, the SDNY entered a stipulation voluntarily dismissing Credit Suisse International for lack of personal jurisdiction in
the consolidated putative class action relating to the US treasury markets. The claims against Credit Suisse Securities LLC remain pending.
On March 31, 2021, in the consolidated putative class action relating to the US treasury markets,
the SDNY granted defendants' motions
to dismiss.
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On May 14, 2021, in the consolidated putative class action relating to the US treasury markets, plaintiffs filed
an amended complaint
against CSS LLC, Credit Suisse International (CSI) and other defendants. On July 20, 2021, the SDNY entered a stipulation voluntarily
dismissing CSI.
Foreign exchange litigation
Credit Suisse Group AG and affiliates as well as other financial institutions are named in five
pending civil class action lawsuits in the
SDNY relating to the alleged manipulation of foreign exchange rates.
The first pending matter is a consolidated class action. On January 28, 2015, the court denied
defendants' motion to dismiss the original
consolidated complaint brought by US-based investors and foreign plaintiffs who transacted in the US, but granted their
motion to dismiss the
claims of foreign-based investors for transactions outside of the US. In July 2015, plaintiffs filed a second consolidated amended complaint,
adding additional defendants and asserting additional claims on behalf of a second putative class of exchange investors. The Group and
affiliates, together with other financial institutions, filed a motion to dismiss the second consolidated amended complaint, which the court
granted in part and denied in part on September 20, 2016. The motion to dismiss decision reduced the size of the putative class, but allowed the
primary antitrust and Commodity Exchange Act claims to survive. On May 31, 2016, plaintiffs served a motion for class certification, which the
Group and affiliates opposed on October 25, 2016.
On September 3, 2019, in the consolidated action relating to the alleged manipulation of foreign exchange rates, the SDNY denied
plaintiffs' motion for certification of a Rule 23(b)(3) damages class, ruling that proof of both injury and damages must proceed on an individual
basis, but granted certification as to two threshold issues concerning the alleged conspiracy. The SDNY also denied plaintiffs' motion for
certification of a second proposed class in its entirety. On January 29, 2021, Credit Suisse Group AG and affiliates moved for summary
judgment. On March 5, 2021, plaintiffs moved for summary judgment.
The second pending matter names Credit Suisse AG and affiliates, as well as other financial institutions in a putative class action filed in
the SDNY on June 3, 2015. This action is based on the same alleged conduct as the consolidated class action and alleges violations of the US
Employee Retirement Income Security Act of 1974 (ERISA). On May 19, 2016, affiliates of Credit Suisse AG, along with several other
financial institutions, filed a motion to dismiss the putative ERISA class action, which the SDNY granted on August 23, 2016. Plaintiffs
appealed that decision, and on July 10, 2018, the Second Circuit issued an order affirming in full the SDNY's decision to dismiss the putative
ERISA class action against Credit Suisse AG and affiliates as well as other defendant financial institutions and denying plaintiffs' request for
leave to amend their complaint.
The third pending matter names Credit Suisse Group AG and affiliates, as well as other financial institutions, in a putative class action
filed in the SDNY on September 26, 2016, alleging manipulation of the foreign exchange market on behalf of indirect purchasers of foreign
exchange instruments. Defendants moved to dismiss the indirect purchaser complaint on January 23, 2017. On March 24, 2017, plaintiffs filed
an amended complaint in lieu of opposing defendants' motions to dismiss. On April 28, 2017, plaintiffs dismissed the pending action and filed
the amended complaint as a new putative class action in the SDNY. On June 10, 2017, Credit Suisse Group AG and affiliates, along with other
financial institutions, were named in a second putative class action brought in the SDNY alleging manipulation of the foreign exchange market
on behalf of indirect purchasers of foreign exchange instruments. Both putative class actions have been consolidated in the SDNY, and plaintiffs
filed a consolidated complaint on June 30, 2017. On August 11, 2017, defendants filed motions to dismiss. On March 15, 2018, the court issued
a decision granting defendants' joint motion to dismiss and dismissing the consolidated complaint in its entirety. On October 25, 2018, in the
putative class action alleging manipulation of the foreign exchange market on behalf of indirect purchasers of foreign exchange instruments, the
SDNY granted in substantial part plaintiffs' motion for leave to file a proposed second consolidated class action complaint, which plaintiffs filed
on November 28. On December 20, 2018, the Group, together with other financial institutions, filed a motion to dismiss on the basis of personal
jurisdiction. On February 19, 2019, plaintiffs voluntarily dismissed Credit Suisse Group AG.
On July 17, 2020, in the consolidated putative class action filed in the SDNY alleging manipulation of the foreign exchange market on
behalf of indirect purchasers of foreign exchange instruments, the court entered an order preliminarily approving a group settlement of USD 10
million with the remaining defendants, including Credit Suisse AG and an affiliate. The settlement remains subject to final approval by the court
and a hearing is scheduled for November 2020. On November 19, 2020, the court entered an order granting final approval of the settlement and
directing that the litigation be dismissed with prejudice.
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The fourth pending matter names Credit Suisse Group AG and affiliates in a putative class action filed in the
SDNY on July 12, 2017,
alleging improper practices in connection with electronic foreign exchange trading. Plaintiffs amended their complaint on October 19, 2017, and
on December 7, 2017, defendants filed a consolidated motion to compel arbitration or dismiss on the grounds of forum non conveniens. On
April 12, 2018, the SDNY granted defendants' motion to compel arbitration.
The fifth pending matter names Credit Suisse Group AG and affiliates, as well as other financial institutions, in a civil action filed in the
SDNY on November 13, 2018. This action is based on the same alleged conduct as the consolidated class action. On March 1, 2019, plaintiffs
filed an amended complaint. On September 6, 2019, plaintiffs voluntarily dismissed Credit Suisse International. The claims against Credit Suisse
AG and CSS remain pending.
On April 5, 2018, plaintiffs moved for leave to file a second consolidated class action complaint on behalf of indirect purchasers of
foreign exchange instruments.
On April 1, 2019, in the civil action filed on November 13, 2018 in the SDNY, defendants filed motions to dismiss. On April 23, 2019,
plaintiffs sought leave to file a second amended complaint in lieu of responding to defendants' motions. On April 26, 2019, the SDNY ordered
plaintiffs to file their proposed second amended complaint subject to defendants' right to oppose the amendment and to renew their motions
to dismiss.
On June
11, 2019, in the civil action filed on November 13, 2018 in the SDNY, plaintiffs filed a second amended complaint. Defendants
filed motions to dismiss on July 25, 2019. On
September 6, 2019, plaintiffs voluntarily dismissed Credit Suisse International. The claims against
Credit Suisse AG and CSS remain pending. On May 28, 2020, the court
granted in part and denied in part defendants' motion to dismiss the
second amended complaint. On July 28, 2020, plaintiffs filed a third amended
complaint.
The Group and several affiliates, together with other financial
institutions, have also been named in two Canadian putative class actions,
which make allegations similar to the consolidated class action. Further, Credit Suisse Group AG
and certain of its affiliates, together with other
financial institutions, have also been named in two putative class actions in Israel, which make allegations similar to
the consolidated
class action.
On April 14, 2020, in one of the putative class actions pending in Canada, the court granted in part and denied in part plaintiffs' motion
for class certification in the matter proceeding in Ontario, certifying a class comprising all persons in Canada who, between 2003 and 2013,
entered into an FX instrument transaction with a defendant or through an intermediary.
Credit Suisse AG, together with other financial institutions, has also been named in a consolidated putative class action in Israel, which
makes allegations similar to the consolidated class action
Mexican government bonds litigation
Credit Suisse AG and affiliates have been named in multiple putative class actions in US federal court alleging a conspiracy among Credit
Suisse and other dealer banks to manipulate the Mexican government bond market. These actions have been consolidated in the SDNY and on
July 18, 2018 plaintiffs filed their consolidated amended complaint. On September 17, 2018, defendants filed motions to dismiss the
consolidated amended complaint. On September 30, 2019, the SDNY granted defendants' motion to dismiss. On December 9, 2019, plaintiffs
filed a second consolidated amended complaint that does not name any Credit Suisse entity as a defendant.
Government-sponsored entity bonds litigation
Since February 22, 2019, Credit Suisse AG and CSS LLC, together with other financial institutions, have been named in multiple putative
class action complaints filed in the SDNY, alleging a conspiracy among the financial institutions to fix prices for unsecured bonds issued by
Freddie Mac and Fannie Mae.
On April 3, 2019, the SDNY consolidated the putative class action complaints alleging a conspiracy among financial institutions to fix
prices for unsecured bonds issued by Freddie Mac and Fannie Mae.
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On May 23, 2019, in the consolidated putative class action brought in the SDNY alleging a conspiracy among
financial institutions to fix
prices for unsecured bonds issued by certain government-sponsored entities, plaintiffs filed a consolidated amended complaint. On June 13,
2019, defendants filed a motion to dismiss. On July 12, 2019, plaintiffs filed a second consolidated amended complaint.
On August 29, 2019, in the consolidated putative class action brought in the SDNY alleging a
conspiracy among financial institutions to
fix prices for unsecured bonds issued by certain government-sponsored entities, the SDNY granted defendants' motion to
dismiss, but granted
plaintiffs leave to amend. On September 10, 2019, plaintiffs filed a third consolidated amended complaint. On September 17, 2019, defendants
filed a motion to dismiss certain aspects of the complaint, which was denied on October 15, 2019. On December 6, 2019, the parties reached an
agreement in principle to settle the putative class action in its entirety. Class plaintiffs filed a motion seeking preliminary approval of the global
settlement on December 16, 2019, and the SDNY issued an order preliminarily approving the global settlement on February 3, 2020. On
June 16, 2020, the court issued an order granting final approval to all settlements, including the global settlement which CSS LLC is a party.
Credit Suisse AG and CSS LLC, along with other financial institutions, have been named in two
civil actions in the US District Court for
the Middle District of Louisiana, alleging a conspiracy among financial institutions to fix prices for unsecured bonds issued by
certain
government-sponsored entities: one action brought by the Louisiana Attorney General on behalf of the State of Louisiana on September 23,
2019 and one action brought by the City of Baton Rouge on October 21, 2019.
On July 13, 2020, in the civil action filed on September 23, 2019 in the US District Court for the Middle District of Louisiana alleging a
conspiracy among financial institutions to fix prices for unsecured bonds issued by certain government-sponsored entities, plaintiff filed an
amended complaint. On July 24, 2020, Credit Suisse AG and CSS LLC filed an answer.
On April 1, 2020, Credit Suisse AG and CSS LLC, along with other financial institutions, were named in a civil action in the US District
Court for the Eastern District of Louisiana, alleging a conspiracy among financial institutions to fix prices for unsecured bonds issued by certain
government-sponsored entities. On June 26, 2020, CSS LLC and certain other defendants filed a partial motion to dismiss state law claims
brought under the Louisiana Unfair Trade Practices Act. On July 17, 2020, the plaintiff filed a first amended complaint in response to the partial
motion to dismiss. On July 31, 2020, CSS LLC and certain other defendants filed a partial motion to dismiss plaintiff's first amended complaint
alleging state law claims brought under the Louisiana Unfair Trade Practices Act. On December 31, 2020, the court transferred the action to the
US District Court for the Middle District of Louisiana for consolidation with the two earlier-filed Louisiana cases.
On September 21, 2020, Credit Suisse AG and an affiliate, along with other financial
institutions, were named in a civil action brought by
the City of New Orleans, the New Orleans Municipal Employees Retirement System and the New Orleans Aviation Board in
the US District
Court for the Eastern District of Louisiana, which also alleges a conspiracy among financial institutions to fix prices for unsecured bonds issued
by certain government sponsored entities. On February 17, 2021, the court dismissed without prejudice the claims against Credit Suisse AG for
lack of service. The claim against CSS LLC remains pending. On March 8, 2021, the court transferred the action to the US District Court for the
Middle District of Louisiana for consolidation with the three earlier-filed Louisiana cases.
In the four civil actions brought in the US District Court for the Middle District of Louisiana, the parties entered into an agreement to
settle all claims. On June 9, 2021, plaintiffs voluntarily dismissed each action.
OTC Trading cases
Credit Suisse Group AG and affiliates, along with other financial institutions, have been named in one consolidated putative civil class
action complaint and one consolidated complaint filed by individual plaintiffs relating to interest rate swaps, alleging that dealer defendants
conspired with trading platforms to prevent the development of interest rate swap exchanges. The individual lawsuits were brought by
TeraExchange LLC, a swap execution facility, and affiliates, and Javelin Capital Markets LLC, a swap execution facility, and an affiliate, which
claim to have suffered lost profits as a result of defendants' alleged conspiracy. All interest rate swap actions have been consolidated in a
multi-district litigation in the SDNY. Both class and individual plaintiffs filed second amended consolidated complaints on December 9, 2016,
which defendants moved to dismiss on January 20, 2017. On July 28, 2017, the SDNY granted in part and denied in part defendants' motions to
dismiss. On February 21, 2018, class plaintiffs moved for leave to amend and file a proposed third amended consolidated class action complaint.
On May 30, 2018, class plaintiffs filed a third amended consolidated class action complaint.
On June 8, 2017, Credit Suisse Group AG and affiliates, along with other financial institutions, were named in a civil action filed in the
SDNY by Tera Group, Inc. and related entities (collectively "Tera"), alleging violations of antitrust law in connection with the allegation that
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credit default swap (CDS) dealers conspired to block
Tera's electronic CDS trading platform from successfully entering the market. On
September 11, 2017, defendants filed motions to dismiss. On July 30, 2019, the SDNY
granted in part and denied in part defendants' motion to
dismiss. On January 30, 2020, plaintiffs filed an amended complaint. On April 3, 2020, defendants filed a
motion to dismiss.
On May 10, 2018, in the consolidated multi-district litigation
relating to interest rate swaps, the SDNY issued an order granting in part
and denying in part class plaintiffs' motion for leave to amend and file a third amended
consolidated class action complaint. The SDNY granted
plaintiffs' motion to add a new plaintiff and factual allegations relating to the claims that survived the
motion to dismiss, but denied plaintiffs'
attempt to revive the dismissed claims. On May 30, 2018, plaintiffs filed the third amended complaint. On June 14, 2018, a
new direct action
complaint was filed by swap execution facility trueEx LLC.
On June 20, 2018, the trueEx LLC complaint was added to the existing multi-district litigation. On August 9, 2018, in the consolidated
multi-district litigation relating to interest rate swaps, plaintiff trueEX LLC filed an amended complaint against Credit Suisse Group AG and
affiliates, along with other financial institutions. On August 28, 2018, defendants filed a joint motion to dismiss the amended complaint. On
November 20, 2018, the SDNY issued an order granting in part and denying in part defendants' motion to dismiss the trueEX LLC amended
complaint. The SDNY granted defendants' motion to dismiss trueEX LLC's state law claims, but denied the motion as to trueEX LLC's
antitrust claims. On October 25, 2018, class plaintiffs moved for leave to file a fourth amended consolidated complaint.
On February 20, 2019, class plaintiffs filed motions for class certification. On March 13, 2019,
the SDNY issued an order granting in part
and denying in part class plaintiffs' motion for leave to amend and file a fourth amended consolidated class action
complaint. On March 20,
2019, in the consolidated multi-district litigation relating to interest rate swaps, plaintiffs filed a fourth amended consolidated class action
complaint. On June 18, 2019, in the consolidated multi-district litigation relating to interest rate swaps, defendants filed an opposition to
plaintiffs' motion for class certification.
Credit Suisse Group AG and certain of its affiliates, as well as other financial institutions, have been defending against a number of civil
lawsuits in the SDNY, certain of which are brought by class action plaintiffs alleging that the defendants conspired to keep stock-loan trading in
an over-the-counter market and collectively boycotted certain trading platforms that sought to enter the market, and certain of which are brought
by trading platforms that sought to enter the market alleging that the defendants collectively boycotted the platforms. The SDNY denied
defendants' motions to dismiss in the putative class action. On February 22, 2021, plaintiffs filed a motion for class certification in the putative
class action. In each of the lawsuits, the court entered a stipulation voluntarily dismissing Credit Suisse Group AG and other defendant holding
companies, although certain Credit Suisse Group AG affiliates remain part of the ongoing action.
On August 16, 2017, Credit Suisse Group AG and affiliates, along with other financial institutions, were named in a civil putative class
action lawsuit filed in the SDNY, alleging that defendants conspired to keep stock loan trading fixed in an over-the-counter market and
collectively boycotted certain trading platforms that sought to enter the market. Plaintiffs filed an amended complaint on November 17, 2017.
Defendants filed motions to dismiss on January 26, 2018. On January 26, 2018, the court entered a stipulation voluntarily dismissing Credit
Suisse Group AG and other defendant holding companies, although certain Credit Suisse Group AG affiliates remain part of the ongoing action.
On September 27, 2018, in the civil putative class action litigation alleging that defendants
conspired to keep stock loan trading fixed in
an over-the-counter market and collectively boycotted certain trading platforms that sought to enter the market, the SDNY
denied defendants'
motions to dismiss.
On June 29, 2021, in the putative class action brought against certain Credit Suisse AG affiliates, as well as other financial institutions,
alleging that the defendants conspired to keep stock-loan trading in an over-the-counter market and collectively boycotted certain trading
platforms that sought to enter the market, defendants filed their opposition to plaintiffs' motion for class certification.
Separately, on January 30, 2018, Credit Suisse Group AG and affiliates, along with other
financial institutions, were named in a civil
lawsuit filed in the SDNY by the purported successor in interest to a trading platform for stock loans that sought to enter
the market. As in the
civil putative class action lawsuit, the plaintiff alleges that defendants collectively boycotted its trading platform. On August 6, 2019, the SDNY
granted defendants' motion to dismiss and entered judgment in favor of the defendants. On September 3, 2019, plaintiff filed a motion to amend
the judgment to permit plaintiff to file an amended complaint or, in the alternative, to dismiss certain claims without prejudice. On September
10, 2019, the SDNY denied in part plaintiff's motion to amend the judgment but ordered additional briefing on whether certain claims
should be dismissed without prejudice. On January 6, 2020, the SDNY denied plaintiff's motion to amend the judgment.
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On April 21, 2020, CSS LLC and other
financial institutions were named in a putative class action complaint filed in the SDNY, alleging
a conspiracy among the financial institutions to boycott electronic
trading platforms and fix prices in the secondary market for odd-lot corporate
bonds. On July 14, 2020, plaintiff filed an amended complaint. On September 10, 2020,
defendants filed a motion to dismiss.
CDS-related matters
In July 2013, the Directorate General for Competition of the European Commission (DG Comp) issued
a Statement of Objections to
various entities of thirteen CDS dealer banks, certain Markit entities and ISDA in relation to DG Comp's investigation into possible
violations of
competition law by certain CDS market participants. Certain Credit Suisse entities were among the named bank entities. In December 2015, DG
Comp announced that it was closing the proceedings against the Credit Suisse entities and the other dealer banks without a finding of any
wrongdoing, although the proceedings would continue against the Markit entities and ISDA.
In addition, certain Credit Suisse entities, as well as other banks and entities, have been named defendants in a consolidated multi-district
civil litigation proceeding in the SDNY alleging violations of antitrust law related to CDS. In September 2014, the court overseeing the litigation
granted in part and denied in part the defendants' motion to dismiss, which allowed the case to proceed to discovery. On September 30, 2015,
Credit Suisse and the other defendants executed agreements with the putative class action plaintiffs to settle this litigation. The court has granted
preliminary approval to the settlement agreements and they remain subject to final court approval.
Further, a Credit Suisse entity had received civil investigative demands from the United States Department of Justice relating to
competition in credit derivatives trading, processing, clearing and information services. By letter dated September 15, 2016, the United States
Department of Justice notified Credit Suisse that it has closed its investigation.
On June 8, 2017, Credit Suisse Group AG and affiliates, along with other financial institutions, were named in a civil action filed in the
SDNY by Tera Group, Inc. and related entities (collectively, "Tera"), alleging violations of antitrust law in connection with the allegation that
CDS dealers conspired to block Tera's electronic CDS trading platform from successfully entering the market.
On September 11, 2017, defendants filed motions to dismiss the civil action in the SDNY filed by
Tera Group, Inc. and related entities
alleging violations of antitrust law by credit default swap dealers. On July 30, 2019, the SDNY granted in part and denied in part
defendants'
motion to dismiss. On January 30, 2020, plaintiffs filed an amended complaint. On April 3, 2020, defendants filed a motion to dismiss.
On June 30, 2021, Credit Suisse Group AG and affiliates, along with other banks and entities,
were named in a putative class action
complaint filed in the US District Court for the District of New Mexico alleging manipulation of credit default swap final auction
prices.
Tax and securities law matters
Since 2011, Credit Suisse had been responding to subpoenas and other requests for information
from the DOJ, the SEC and other
authorities involving historical Private Banking services provided on a cross-border basis to US persons. US authorities were investigating
possible violations of US tax and securities laws. In particular, the DOJ was investigating whether US clients violated their US tax obligations
and whether Credit Suisse and certain of its employees assisted such clients. The SEC investigated whether certain of our relationship managers
triggered obligations for Credit Suisse or the relationship managers in Switzerland to register with the SEC as a broker-dealer or investment
advisor. A limited number of current or former employees have been indicted and two former employees have pleaded guilty (in one case, as to
conduct while employed at other financial institutions that did not involve Credit Suisse and in the other case as to conduct while employed at a
former Credit Suisse subsidiary prior to 2006 and other financial institutions after 2006). Credit Suisse received a grand jury target letter from
the DOJ in July 2011. We understand that certain US authorities are also investigating other Swiss and non-US financial institutions. On
February 21, 2014, Credit Suisse AG reached a settlement with the SEC that resolved the SEC's investigation regarding registration as an
investment advisor and broker-dealer. In a settled administrative and cease-and-desist proceeding, the SEC charged Credit Suisse AG with
violating Section 15(a) of the US Securities Exchange Act of 1934 (Exchange Act) and Section 203(a) of the US Investment Advisers Act of
1940 (Advisers Act). Specifically, the SEC's Order found that from at least 2002 through its exit from the US cross-border securities business
which Credit Suisse AG began in 2008, Credit Suisse AG, through actions of certain of its relationship managers, violated the federal securities
laws by providing certain cross-border brokerage and investment advisory services to US clients at a time when Credit Suisse AG was not
registered with the SEC as a broker-dealer or investment advisor. As part of the settlement of the investigation, Credit Suisse AG agreed, among
other things, to cease-and-desist from committing or causing any future violations of Section 15(a) of the Exchange Act or Section 203(a) of the
Advisers Act and to pay approximately USD 196 million, inclusive of disgorgement of approximately USD 82 million, prejudgment interest of
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approximately USD 64 million, and a civil money penalty
in the amount of USD 50 million. Credit Suisse AG also agreed to the appointment of
an independent consultant who will review its cross-border compliance policies with
respect to the US securities laws and will verify that Credit
Suisse AG has exited the US cross-border business.
On May 19, 2014, Credit Suisse AG entered into a settlement regarding all outstanding US
cross-border matters, including agreements
with the DOJ, the New York State Department of Financial Services (DFS) and the Board of Governors of the US Fed. As part of the
settlement,
Credit Suisse AG entered a guilty plea to one count of conspiracy to assist US customers in presenting false income tax returns to the US
Internal Revenue Service (IRS) in violation of Title 18, US Code section 371, in connection with the former Swiss-based cross border Private
Banking business. In total, Credit Suisse AG agreed to pay USD 2,815 million comprised of the following components: (a) USD 2,000 million
for the DOJ, including USD 666.5 million in restitution to the IRS and USD 1,333.5 million as a fine (including USD 196 million for the SEC as
described in the preceding paragraph); (b) USD 715 million for the DFS; and (c) USD 100 million for the Fed. In prior quarters, Credit Suisse
had taken litigation provisions totaling CHF 892 million related to this matter. As a result, the pre-tax impact of the final settlement in the
second quarter 2014 was CHF 1,618 million and the after-tax impact was CHF 1,598 million. The amount due to the DOJ, including the part
thereof allocated to the IRS, is expected to be paid following the sentencing hearing for Credit Suisse AG. The penalties due to the SEC, Fed and
DFS were paid in May 2014. In addition to such payments, Credit Suisse AG agreed, among other things, to engage an independent corporate
monitor reporting to the DFS (a separate position from the independent consultant agreed to in the settlement with the SEC), provide ongoing
reports to various agencies (Credit Suisse AG is paying for the cost of the monitor) and terminate the employment of certain individuals at
Credit Suisse AG associated with the improper conduct.
On May 19, 2014, Credit Suisse AG entered into settlement agreements with several US regulators regarding its US cross-border matters.
As part of the agreements, Credit Suisse AG, among other things, engaged an independent corporate monitor that reports to the New York State
Department of Financial Services (DFS). As of July 31, 2018, the monitor has concluded both his review and his assignment.
Net new assets-related matters
On February 26, 2014, the United States Senate Permanent Subcommittee on Investigations issued a
report that included a discussion of
Credit Suisse's determinations about and disclosures of net new assets and, as previously disclosed, Credit Suisse is conducting
a review of this
topic. The SEC is also conducting an investigation. The disclosure of net new assets is required by banks operating in Switzerland pursuant to
Guidelines on Accounting Standards issued by the FINMA.
Alternative trading systems
Credit Suisse is responding to inquiries from various governmental and regulatory authorities concerning the operation of its alternative
trading systems, and is cooperating with those requests. On January 31, 2016 and February 1, 2016, the SEC and NYAG, respectively,
announced settlements with Credit Suisse in three such inquiries. Credit Suisse has paid, on a without admitting-or-denying basis, a total of USD
84.3 million as part of a settlement of various matters related to the operation of its US based alternative trading systems and order handling
practices, and related disclosures. Credit Suisse Group AG is also among more than thirty defendants named in putative class action complaints
filed in the US District Court for the SDNY since April 2014, alleging violations of US securities laws related to high-frequency trading.
Caspian Energy Litigation
A lawsuit was brought against CSI in English court by Rosserlane Consultants Limited and
Swinbrook Developments Limited. The
litigation relates to the forced sale by CSI in 2008 of Caspian Energy Group LP (CEG), the vehicle through which the plaintiffs held a
51% stake
in the Kyurovdag oil and gas field in Azerbaijan. CEG was sold for USD 245 million following two unsuccessful merger and acquisition
processes. The plaintiffs allege that CEG should have been sold for at least USD 700 million. The trial took place at the end of 2014 and on
February 20, 2015, the case was dismissed and judgment given in favor of CSI. The plaintiffs appealed the judgment. In January 2017, the Court
of Appeal ruled in CSI's favor.
ATA litigation
A lawsuit was filed on November 10, 2014 in the US District Court for the Eastern District of New York (EDNY) against a number of
banks, including Credit Suisse AG, alleging claims under the United States Anti-Terrorism Act (ATA). The action alleges a conspiracy between
Iran and various international financial institutions, including the defendants, in which they agreed to alter, falsify, or omit information from
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payment messages that involved Iranian parties for the
express purpose of concealing the Iranian parties' financial activities and transactions
from detection by US authorities. The complaint, brought by approximately
200 plaintiffs, alleges that this conspiracy has made it possible for
Iran to transfer funds to Hezbollah and other terrorist organizations actively engaged in harming US
military personnel and civilians.
On March 16, 2015, Credit Suisse AG and the other
defendants filed motions to dismiss. On April 2, 2015, the plaintiffs filed an amended
complaint in the EDNY alleging claims under the United States Anti-Terrorism Act
(ATA) against Credit Suisse AG and a number of other
banks. On May 29, 2015, Credit Suisse AG and all other defendants filed motions to dismiss plaintiffs' amended
complaint.
On July 12, 2016, plaintiffs filed a second amended complaint in the EDNY
against a number of banks, including Credit Suisse AG,
alleging claims under the ATA. On September 14, 2016, Credit Suisse AG and the other defendants filed motions to
dismiss the plaintiffs'
second amended complaint.
On April 12, 2017, the US District Court for the Southern District of Illinois entered an order granting defendants' motion to transfer the
case filed against a number of banks, including Credit Suisse AG, alleging claims under the United States Anti-Terrorism Act, to the Eastern
District of New York for further proceedings.
On September 11, 2017, Credit Suisse AG and other defendants served motions to dismiss the plaintiffs' amended complaint in the case
filed against a number of banks alleging claims under the United States Anti-Terrorism Act (ATA) that was transferred to the US District Court
for the Eastern District of New York (EDNY) by order dated April 12, 2017. On October 3, 2017, the plaintiffs filed a stipulation of voluntary
dismissal and withdrew their complaint. A third lawsuit was filed on November 9, 2017, in SDNY against a number of banks, including Credit
Suisse AG, alleging claims under the ATA. On March 2, 2018, Credit Suisse AG and other defendants filed motions to dismiss the plaintiffs'
complaint.
On September 16, 2019, the Eastern District of New York granted defendants' motion to
dismiss the case filed on November 10, 2014,
and directed that the case be closed. Plaintiffs moved for partial reconsideration of portions of the dismissal that do not
relate to Credit Suisse,
which the court denied on October 28, 2019. On November 26, 2019, plaintiffs filed a notice of appeal.
In December 2018, five additional lawsuits were filed in the EDNY or SDNY against a number of
banks, including Credit Suisse AG and,
in two instances, Credit Suisse AG, New York Branch. Alleging claims under the ATA and the Justice Against Sponsors of Terrorism
Act.
These actions similarly allege a conspiracy between Iran and various international financial institutions, including the defendants, in which they
agreed to alter, falsify or omit information from payment messages that involved Iranian parties, and that this conspiracy made it possible for
Iran to transfer funds to terrorist organizations actively engaged in harming US military personnel and civilians.
On March 28, 2019, the SDNY granted the motion to dismiss filed by Credit Suisse AG and other
defendants in the lawsuit alleging
claims under the United States Anti-Terrorism Act (ATA). On April 22, 2019, plaintiffs filed a motion for leave to amend their
complaint.
On April 11, 2019, another action alleging claims under the ATA was filed
in the US District Court for the Eastern District of New York
(EDNY) that is related to, and makes allegations materially similar to, the other ATA cases already pending
in the EDNY. On January 6, 2020,
defendants filed a motion to dismiss two of these cases, which are pending before the same EDNY judge that granted defendants'
motion
to dismiss.
Other than cases that have been decided or where a motion to dismiss is pending, these cases have been stayed pending the outcome of
certain of the decisions described above.
On May 28, 2020, in the action filed on November 9, 2017 in the SDNY alleging claims under the United States Anti-Terrorism Act
(ATA), plaintiffs filed a motion to appeal the court's February 25, 2020 decision dismissing the case with prejudice as to Credit Suisse AG and
the other moving bank defendants, which the moving defendants opposed on June 11, 2020.
On June 5, 2020, the US District Court for the Eastern District of New York (EDNY) granted defendants' motion to dismiss two of the
ATA cases that were filed in December 2018 and April 2019 in the EDNY as to Credit Suisse AG and most of the other bank defendants.
Customer account matters
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Several clients have claimed that a
former relationship manager in Switzerland had exceeded his investment authority in the management
of their portfolios, resulting in excessive concentrations of certain
exposures and investment losses. Credit Suisse AG is investigating the claims,
as well as transactions among the clients. Credit Suisse AG filed a criminal complaint
against the former relationship manager with the Geneva
Prosecutor's Office upon which the prosecutor initiated a criminal investigation. Several clients of the
former relationship manager also filed
criminal complaints with the Geneva Prosecutor's Office. On February 9, 2018, the former relationship manager was sentenced to
five years in
prison by the Geneva criminal court for fraud, forgery and criminal mismanagement and ordered to pay damages of approximately USD 130
million. Civil liability lawsuits were initiated on August 25, 2017 in the High Court of Singapore, the High Court of New Zealand and the
Supreme Court of Bermuda against Credit Suisse AG and certain affiliates, based on the findings established in the criminal proceedings against
the former relationship manager.
On July 17, 2018, the High Court of New Zealand dismissed, subject to appeal, a civil liability lawsuit brought against Credit Suisse AG
and an affiliate in connection with claims that a former relationship manager in Switzerland had exceeded his investment authority. The same
civil liability lawsuit was stayed against a New Zealand incorporated affiliate. The plaintiffs have appealed the dismissal decision.
On August 31, 2018, a civil liability lawsuit brought against Credit Suisse AG and an affiliate
in connection with claims that a former
relationship manager in Switzerland had exceeded his investment authority was stayed by an Assistant Registrar of the High Court of
Singapore.
The plaintiffs have appealed. On January 18, 2019, the Singapore High Court dismissed the plaintiffs' appeal and upheld the Assistant
Registrar's decision to stay the civil proceedings in Singapore; the plaintiffs have appealed this decision.
On June 26, 2019, the Criminal Court of Appeals of Geneva ruled in the appeal of the judgment
against the former relationship manager,
upholding the main findings of the Geneva criminal court. Several parties have appealed the June 26, 2019 decision.
On April 29, 2019, the plaintiffs appealed the decision of the Singapore High Court only with
respect to their action against the Credit
Suisse affiliate. On June 21, 2019, the plaintiffs discontinued their action against Credit Suisse AG in the Singapore courts.
On July 3, 2020, in
the civil lawsuit brought against a Credit Suisse affiliate, the Singapore Court of Appeals granted the plaintiffs' appeal and lifted the stay of
the
civil proceedings, allowing the plaintiffs' civil claim against the Credit Suisse affiliate to proceed in the Singapore High Court. On July 10,
2020, plaintiffs filed an amended statement of claim in the Singapore High Court.
On May 3, 2019, the plaintiffs filed a notice of abandonment of appeal in the Court of Appeal of New Zealand.
On June 26, 2019, the Criminal Court of Appeals of Geneva ruled in the appeal of the judgment
against the former relationship manager,
upholding the main findings of the Geneva criminal court. Several parties have appealed the decision to the Swiss Federal Supreme
Court. On
February 19, 2020, the Swiss Federal Supreme Court rendered its judgment on the appeals, substantially confirming the findings of the Criminal
Court of Appeals of Geneva. Civil lawsuits were initiated between August 7, 2017 and August 25, 2017 in the High Court of Singapore, the
High Court of New Zealand and the Supreme Court of Bermuda against Credit Suisse AG and certain affiliates, based on the findings
established in the criminal proceedings against the former relationship manager. On July 17, 2018, the High Court of New Zealand dismissed the
civil lawsuit brought against Credit Suisse AG and stayed the same lawsuit against a New Zealand incorporated affiliate. On August 31, 2018,
the civil lawsuit was stayed by an Assistant Registrar of the High Court of Singapore. Plaintiffs in both the New Zealand and Singapore civil
proceedings have appealed these decisions. On January 18, 2019 the Singapore High Court dismissed the plaintiffs' appeal and upheld the
Assistant Registrar's decision to stay the civil proceedings in Singapore. On April 29, 2019, the plaintiffs appealed the decision of the Singapore
High Court only with respect to their action against the Credit Suisse affiliate. On June 21, 2019, the plaintiffs discontinued their action against
Credit Suisse AG in the Singapore courts. On May 3, 2019, the plaintiffs filed a notice of abandonment of appeal in the Court of Appeal of
New Zealand.
On
July 3, 2020, the Singapore Court of Appeals granted the plaintiffs' appeal against the Credit Suisse affiliate and lifted the stay of the
civil proceedings,
allowing the plaintiffs' civil claim to proceed in the Singapore High Court. On July 10, 2020, plaintiffs filed an amended
statement of claim in the Singapore High
Court. On March 9, 2021 the Singapore High Court transferred the civil lawsuit to the Singapore
International Commercial Court.
Hiring practices investigation
Credit Suisse has been responding to requests from certain governmental and regulatory
authorities, including the DOJ and the US
Securities and Exchange Commission, regarding Credit Suisse's hiring practices in the Asia Pacific region and, in
particular, whether Credit
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Suisse hired
referrals from government agencies and other state-owned entities in exchange for investment banking business and/or regulatory
approvals, in potential violation of the US
Foreign Corrupt Practices Act and related civil statutes. Credit Suisse is cooperating with the
authorities on this matter.
On May 30, 2018, Credit Suisse (Hong Kong) Limited (CSHKL) entered into a non-prosecution
agreement to resolve the investigation of
past hiring practices between 2007 and 2013 in the Asia Pacific region by the US Department of Justice (DOJ), under which CSHKL
paid a
penalty of USD 47 million. No criminal charges were filed and no monitor was required. As part of the agreement, Credit Suisse AG will
continue to cooperate with the DOJ, will maintain prescribed standards in its compliance programs and will report to the DOJ on the functioning
of its enhanced compliance programs. On July 5, 2018, Credit Suisse Group AG reached a settlement with the US Securities and Exchange
Commission to resolve the parallel investigation of the same conduct for USD 29.8 million.
Write-downs litigation
On December 22, 2017, Credit Suisse Group AG and certain current and former executives were named in a class action complaint filed
in the SDNY on behalf of a putative class of purchasers of Credit Suisse AG American Depositary Receipts (ADRs), asserting claims for
violations of Sections 10(b) and 20(a) of the US Securities Exchange Act of 1934 and Rule 10b-5 thereunder, alleging that defendants
sanctioned increases to trading limits that ultimately led to write-downs in the fourth quarter of 2015 and the first quarter of 2016 and a decline
in the market value of the ADRs
On April 18, 2018, plaintiffs filed a consolidated amended complaint in the putative class action relating to write-downs in the fourth
quarter of 2015 and the first quarter of 2016 and a decline in the market value of Credit Suisse Group AG's American Depositary Receipts.
On July 2, 2018, Credit Suisse Group AG and the individual defendants named in the putative class
action filed a motion to dismiss the
amended complaint. On February 19, 2019, the SDNY granted in part and denied in part, defendants' motion to dismiss the amended
complaint.
The decision narrows the scope of the action to claims related to statements concerning Credit Suisse's risk limits and controls. On March 6,
2019, defendants filed a motion for reconsideration. Discovery is ongoing.
On May 16, 2019, in the putative class action brought in the SDNY relating to write-downs in the fourth quarter of 2015 and the first
quarter of 2016 and a decline in the market value of Credit Suisse Group AG's American Depositary Receipts, the SDNY denied defendants'
motion for reconsideration of the court's February 19, 2019 denial of defendants' motion to dismiss.
On July 8, 2020, in the putative class action brought in the SDNY relating to write-downs in the
fourth quarter of 2015 and the first
quarter of 2016 and a decline in the market value of Credit Suisse Group AG American Depositary Receipts, the parties entered into an
agreement to settle all claims for USD 15.5 million. A motion for preliminary approval of the proposed settlement was filed on July 10, 2020,
and the court has scheduled a preliminary approval hearing for August 6, 2020. The settlement remains subject to final approval by the court. On
December 16, 2020, the court issued an order granting final approval to the settlement.
FIFA-related matters
In connection with investigations by US and Swiss government authorities into the involvement of financial institutions in the alleged
bribery and corruption surrounding the Fédération Internationale de Football Association (FIFA), Credit Suisse has received inquiries from these
authorities regarding its banking relationships with certain individuals and entities associated with FIFA, including but not limited to certain
persons and entities named and/or described in the May 20, 2015 indictment filed in United States v. Webb (E.D.N.Y. 15 CR 0252
(RJD)(RML)). The US and Swiss authorities are investigating whether multiple financial institutions, including Credit Suisse, permitted the
processing of suspicious or otherwise improper transactions, or failed to observe anti-money laundering laws and regulations, with respect to the
accounts of certain persons and entities associated with FIFA. Credit Suisse is cooperating with the authorities on this matter. The Swiss
Financial Market Supervisory Authority FINMA has announced the conclusion of its investigation.
MPS
In late 2014, the Monte dei Paschi di Siena Foundation (Foundation) filed a lawsuit in the Civil
Court of Milan, Italy seeking EUR 3
billion in damages jointly from Credit Suisse Securities (Europe) Limited (CSSEL), Banca Leonardo & Co S.p.A. and former members of
the
Foundation's management committee. The lawsuit relates to the fairness opinions CSSEL and Banca Leonardo & Co S.p.A. delivered to the
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Foundation in connection with the EUR 9 billion
acquisition of Banca Antonveneta S.p.A. by Banca Monte dei Paschi di Siena S.p.A. (BMPS)
in 2008. BMPS funded the acquisition by a EUR 5 billion rights offer and the
issuance of unredeemable securities convertible into BMPS
shares, in which the Foundation invested EUR 2.9 billion and EUR 490 million, respectively. The Foundation
alleges that the fairness opinions
were issued in the absence of key financial information. CSSEL believes that the claim lacks merit and is not supported by the available
evidence. In November 2017, the Civil Court of Milan rejected the Foundation's claims, ruling in favor of CSSEL. In January 2018, the
Foundation filed an appeal against this ruling.
On June 11, 2019, following a settlement, the Civil Court of Milan, Italy dismissed all claims against Credit Suisse Securities (Europe)
Limited (CSSEL) brought by the Monte dei Paschi di Siena Foundation (Foundation) relating to the fairness opinions CSSEL and Banca
Leonardo & Co S.p.A. delivered to the Foundation in connection with the EUR 9 billion acquisition of Banca Antonveneta S.p.A. by Banca
Monte dei Paschi di Siena S.p.A. in 2008.
Icelandic banks
CSSEL is defending clawback claims of USD 16 million and EUR 22 million brought by the Winding Up Committees (WUCs) of the
Icelandic banks Kaupthing Bank hf and LBI hf (previously Landsbanki Islands hf) in the District Court of Reykjavik, Iceland. The claims
concern the buyback by the Icelandic banks of their own bonds from CSSEL in the months prior to the Icelandic banks' insolvency. The primary
basis for the clawback is that the buybacks constituted early repayments of debt to CSSEL. In addition, CSI is defending a EUR 170 million
clawback claim brought by the WUC of Kaupthing Bank hf in the District Court of Reykjavik, Iceland. The claim relates to CSI's issuance of
ten credit linked notes in 2008, which the WUC is seeking to challenge under various provisions of Icelandic insolvency law in order to claw
back funds paid to CSI. The WUCs are also claiming significant penalty interest under Icelandic law in respect of both the CSSEL and CSI
claims. CSSEL argues that the buyback transactions are governed by English or New York law and CSI argues that the purchase of the credit
linked notes is governed by English law, neither of which provides a legal basis for such clawback actions. In October 2014, the Court of the
European Free Trade Association States issued a non-binding decision supporting CSI's and CSSEL's position that the governing law of the
transactions is relevant. A trial was expected to take place in respect of the CSSEL claims in the second half of 2016 and in respect of the CSI
claim in 2017. Separately, CSI is pursuing a claim for USD 226 million in the District Court of Reykjavik, Iceland against Kaupthing Bank hf's
WUC in order to enforce certain security rights arising under a 2007 structured trade. CSI acquired the security rights following Kaupthing Bank
hf's insolvency in 2008. A trial of this claim was expected to take place in 2017. In December 2016, CSSEL, CSI and Kaupthing ehf (formerly
Kaupthing Bank hf) entered into a settlement agreement and the Kaupthing related proceedings have now been concluded.
Italian investigation
Credit Suisse AG has resolved a previously-disclosed Italian investigation into alleged tax and
money laundering issues through
agreements to pay an administrative tax penalty and an administrative sanction. The premise of the alleged tax liability was failure to
make
required disclosures regarding the activities of Italian clients, and Credit Suisse AG agreed to pay a EUR 18 million administrative tax penalty to
resolve these claims. As discussed in "Note 23 – Tax", Credit Suisse AG is also making a tax payment of EUR 83 million comprising EUR 70
million of income tax, associated penalties and interest, on revenue associated with this matter, and EUR 13 million relating to tax and interest
on an unrelated Italian tax matter. The premise of the alleged administrative liability was the inadequacy of historical internal controls, and
Credit Suisse AG has entered an agreement under Article 63 of Italian Administrative Law 231 to pay EUR 8 million in disgorgement of profits
and a EUR 1 million administrative sanction. This agreement under Law 231 is subject to judicial ratification. On December 14, 2016, the
competent Italian judge approved this agreement under Law 231, which marked the end of the investigation by the Italian authorities. No
admission of wrongdoing was required in connection with either agreement.
Net new assets-related matters
On October 5, 2016, the SEC announced a settlement pursuant to which Credit Suisse agreed to pay USD 90 million and admitted that it
did not adequately disclose certain practices related to the recognition of net new assets during the period from 4Q11 until 4Q12.
External asset manager matter
Several clients have claimed that an external asset manager based in Geneva misappropriated
funds, forged bank statements, transferred
assets between client accounts at Credit Suisse as custodian to conceal losses and made investments without the authorization of
those clients.
Credit Suisse is investigating the claims. The Geneva Prosecutor's Office initiated a criminal investigation against representatives of the external
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asset manager and two former Credit Suisse employees.
This investigation was expanded in November 2018 to also include one former and one
current Credit Suisse AG employee and Credit Suisse AG itself in order to assess the
sufficiency of Credit Suisse AG's controls and supervision.
Credit Suisse AG, in March 2019, reached a tentative settlement with the affected clients. In the third
quarter of 2019, Credit Suisse AG entered
into a two stage, conditional settlement agreement with affected clients. With the cooperation of the Geneva Prosecutor's
Office, the first stage
of the settlement was completed in November 2019.
On April 15, 2021, the Geneva Prosecutor's Office issued an order closing and discontinuing the criminal investigation against Credit
Suisse AG and its employees in connection with alleged criminal offenses committed by an external asset manager based in Geneva. In May
2021, Credit Suisse completed the second and final stage of the settlement with affected clients.
CFTC Speculative Position Limit Settlement
On March 22, 2016, the CFTC announced an order for payment of penalties totally $665,000 by Credit Suisse International ("CSI") of
London, U.K. and Credit Suisse Securities (USA) LLC ("CSS USA"). The CFTC order required CSI to pay a $525,000 penalty for exceeding
the CFTC all-months speculative position limit for CBOT wheat futures contracts on several days in April and June 2009. The CFTC order
required CSS USA to pay a $140,000 penalty for submitting false statements regarding certain positions held which would inflate the hedge
exemptions for the wheat futures held in excess of the speculative position limits. In addition to the monetary penalties both CSI and CSS USA
were required to cease and desist from further similar violations of the CEA and CFTC regulations.
Mozambique matter
Credit Suisse is responding to requests from regulatory and enforcement authorities related to Credit Suisse's arrangement of loan
financing to Mozambique state enterprises, Proindicus S.A. and Empresa Mocambiacana de Atum S.A. (EMATUM), a distribution to private
investors of loan participation notes (LPN) related to the EMATUM financing in September 2013, and Credit Suisse's subsequent role in
arranging the exchange of those LPNs for Eurobonds issued by the Republic of Mozambique. Credit Suisse is cooperating with the authorities
on this matter.
On
January 3, 2019, the United States Attorney for the Eastern District of New York unsealed an indictment against several individuals in
connection with the matter,
including three former Credit Suisse employees. Credit Suisse is cooperating with the authorities on this matter. On
February 27, 2019, certain Credit Suisse entities, the
same three former employees, and several other unrelated entities were sued in the English
High Court by the Republic of Mozambique. Credit Suisse has not yet been served.
Credit Suisse is aware of statements made by the Attorney
General of Mozambique and notes that it had no involvement in the transaction with Mozambique Asset Management
S.A. On January 21,
2020, Credit Suisse filed its defense.
On May 20, 2019 and July 19, 2019, two former Credit Suisse employees indicted by the United States Attorney for the Eastern District
of New York pleaded guilty to accepting improper personal benefit in connection with financing transactions carried out with two Mozambique
state enterprises. On June 25, 2019, certain Credit Suisse entities were served with civil proceedings in the English High Court by the Republic
of Mozambique.
On
September 6, 2019, the third former Credit Suisse employee indicted by the United States Attorney for the Eastern District of New
York pleaded guilty to accepting improper
personal benefit in connection with financing transactions carried out with two Mozambique state
enterprises, ProIndicus S.A. and Empresa Mocambiacana de Atum S.A.
(EMATUM). Credit Suisse continues to cooperate with, and respond to
requests from, regulatory and enforcement authorities in connection with these
transactions.
Separately, certain Credit Suisse entities are defending civil
proceedings brought by the Republic of Mozambique in the English High
Court. The Republic of Mozambique seeks a declaration that the sovereign guarantee issued in
connection with the ProIndicus loan syndication
arranged and funded, in part, by a Credit Suisse subsidiary is void and also seeks unspecified damages alleged to have
arisen in connection with
the transactions involving ProIndicus and EMATUM, and a transaction in which Credit Suisse had no involvement with Mozambique Asset
Management S.A.
On
February 27, 2019, certain Credit Suisse entities, the same three former employees, and several other unrelated entities were sued in
the English High Court by the
Republic of Mozambique. On January 21, 2020, the 410 Consolidated financial statements – Credit Suisse Group
Credit Suisse entities filed their defense. On June 26,
2020 the Credit Suisse entities filed third party claims against the project contractor and
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several
Mozambique officials. The Republic of Mozambique filed an updated Particulars of Claim on October 27, 2020, and the Credit Suisse
entities filed their amended defense and
counterclaim on January 15, 2021. The Republic of Mozambique seeks a declaration that the sovereign
guarantee issued in connection with the ProIndicus loan syndication
arranged and funded, in part, by a Credit Suisse subsidiary is void and also
seeks unspecified damages alleged to have arisen in connection with the transactions involving
ProIndicus and EMATUM, and a transaction in
which Credit Suisse had no involvement with Mozambique Asset Management S.A. Also on January 15, 2021, the project contractor
filed a
cross claim against the Credit Suisse entities (as well as the three former Credit Suisse employees and various Mozambican officials) seeking an
indemnity and/or contribution in the event that the contractor is found liable to the Republic of Mozambique.
On April 27, 2020, Banco Internacional de Moçambique (BIM), a member of the ProIndicus
syndicate, brought a claim against certain
Credit Suisse entities seeking, contingent on the Republic of Mozambique's claim, a declaration that Credit Suisse is
liable to compensate it for
alleged losses suffered as a result of any invalidity of the sovereign guarantee. The Credit Suisse entities filed their defense to this claim
on
August 28, 2020, to which BIM replied on October 16,
2020.
On December 17, 2020, two members of the ProIndicus syndicate, Beauregarde Holdings LLP and Orobica Holdings LLC, filed a claim
against certain Credit Suisse entities in respect of their interests in the ProIndicus loan, seeking unspecified damages stemming from the alleged
loss suffered due to their reliance on representations made by Credit Suisse to the syndicate lenders.
Credit Suisse is continuing to respond to requests from regulatory and enforcement authorities regarding certain Credit Suisse entities'
participation in transactions involving Mozambique state enterprises, and is in ongoing dialogue with certain of these authorities regarding the
nature of Credit Suisse's role.
Credit Suisse is in ongoing dialogue with regulatory and enforcement authorities regarding their inquiries into certain Credit Suisse
entities' arrangement of loan financing to Mozambique state enterprises, Proindicus S.A. and Empresa Mocambiacana de Atum S.A.
(EMATUM), a distribution to private investors of loan participation notes (LPN) related to the EMATUM financing in September 2013, and
certain Credit Suisse entities' subsequent role in arranging the exchange of those LPNs for Eurobonds issued by the Republic of Mozambique.
The English High Court has scheduled trial to begin in October 2023 in the litigation filed by
the Republic of Mozambique against certain
Credit Suisse entities, three former employees and several other unrelated entities.
On June 3, 2021, United Bank for Africa PLC, a member of the ProIndicus syndicate, brought a
claim against certain Credit Suisse
entities seeking, contingent on the Republic of Mozambique's claim, a declaration that Credit Suisse is liable to compensate it
for alleged losses
suffered as a result of any invalidity of the sovereign guarantee. The Credit Suisse entities filed their defense to this claim on July 1,
2021.
Mossack Fonseca/Israel Desk matters
Credit Suisse, along with many financial institutions, has received inquiries from governmental
and regulatory authorities concerning
banking relationships between financial institutions, their clients and the Panama-based law firm of Mossack Fonseca. Credit Suisse
has also
received governmental and regulatory inquiries concerning cross-border services provided by Credit Suisse's Switzerland-based Israel Desk.
Credit Suisse is conducting a review of these issues and has been cooperating with the authorities.
Cross-border private banking matters
Credit Suisse offices in various locations, including the UK, the Netherlands and France, have been contacted by regulatory and law
enforcement authorities that are seeking records and information concerning investigations into our historical private banking services on a
cross-border basis and in part through our local branches and banks. Credit Suisse has conducted a review of these issues, the UK aspects of
which have now been closed with no action being taken against the bank, and is continuing to cooperate with the authorities. Credit Suisse
applies a strict zero tolerance policy on tax evasion. Separately, an inquiry has been opened in Belgium similar to the ongoing reviews.
Currently, we cannot predict with any reasonable certainty the outcome of any of the ongoing investigations.
XIV ETN litigation
On March 14, 2018, Credit Suisse Group AG and certain executives were named in a class action complaint filed in the SDNY on behalf
of a putative class of purchasers of VelocityShares Daily Inverse VIX Short Term Exchange Traded Notes linked to the S&P 500 VIX
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Short-Term Futures Index due December 4, 2030 (XIV
ETNs), asserting claims for violations of Sections 10(b) and 20(a) of the US Securities
Exchange Act of 1934 and Rule 10b-5 thereunder, alleging that the defendants are
responsible for losses to investors following a decline in the
value of XIV ETNs on February 5, 2018. Separately, on March 15, 2018, Credit Suisse AG and Janus Index &
Calculation Services LLC were
named in a class action complaint filed in the SDNY on behalf of a putative class of purchasers of XIV ETNs, asserting claims for violations
of
Section 11 of the US Securities Act of 1933 and Section 10(b) of the US Securities Exchange Act of 1934 and Rule 10b-5 thereunder, alleging
that the defendants are responsible for investors' XIV ETN losses.
On August 20, 2018, plaintiffs in the SDNY litigation brought by a putative class of purchasers of VelocityShares Daily Inverse VIX
Short Term Exchange Traded Notes linked to the S&P 500 VIX Short-Term Futures Index due December 4, 2030 (XIV ETNs) filed a
consolidated amended complaint against Credit Suisse Group AG and affiliates and certain executives. On September 25, 2019, the SDNY
granted defendants' motion to dismiss and dismissed with prejudice all claims against the defendants. On October 18, 2019, plaintiffs filed a
notice of appeal.
In addition to the previously disclosed putative class actions relating to the VelocityShares
Daily Inverse VIX Short Term Exchange
Traded Notes linked to the S&P 500 VIX Short-Term Futures Index due December 4, 2030 (XIV ETNs), Credit Suisse AG was named in an
individual civil action on April 17, 2018 in the Northern District of Alabama that makes allegations similar to the two putative class actions. It is
possible that additional individual and/or class actions could be brought against Credit Suisse AG and/or its affiliates and certain executives in
the future. In the individual civil action in US federal court in Alabama asserting similar claims, on August 10, 2018, defendants filed a motion
to transfer the action to the SDNY and, on September 26, 2018, filed a motion to dismiss the complaint. On December 17, 2018, defendants'
motion to dismiss was denied. On December 4, 2018, plaintiffs filed an amended complaint, which defendants moved to dismiss on January 11,
2019. On August 22, 2019, the granted in part and denied in part defnedants' motion to dismiss.
On February 4, 2019, Credit Suisse Group AG and certain affiliates and executives, along with Janus Index & Calculation Services LLC
and affiliates, were named in a separate individual action brought in the EDNY, which asserts claims substantially similar to those brought in the
consolidated action.
On February 4, 2019, Credit Suisse Group AG and certain affiliates and executives, along with
Janus Index & Calculation Services LLC
and affiliates, were named in a class action complaint filed in the SDNY brought on behalf of a putative class of purchasers of
VelocityShares
Daily Inverse VIX Medium Term Exchange Traded Notes linked to the S&P 500 VIX Mid-Term Futures Index due December 4, 2030 (ZIV
ETNs). The complaint asserts claims for violations of Sections 9(a)(4), 9(f), 10(b) and 20(a) of the US Securities Exchange Act of 1934 and
Rule 10b-5 thereunder and Sections 11 and 15 of the US Securities Act of 1933 and alleges that the defendants are responsible for losses to
investors following a decline in the value of ZIV ETNs in February 2018. On August 20, 2019, plaintiffs filed an amended complaint. On
October 21, 2019, defendants filed a motion to dismiss.
On March 29, 2019, in the individual action brought in the EDNY by a purchaser of VelocityShares Daily Inverse VIX Short Term
Exchange Traded Notes linked to the S&P 500 VIX Short-Term Futures Index due December 4, 2030, plaintiff voluntarily dismissed its action
and filed a substantially similar complaint in the SDNY.
On May 16, 2019, in the individual action brought in the SDNY by a purchaser of VelocityShares Daily Inverse VIX Short Term
Exchange Traded Notes linked to the S&P 500 VIX Short-Term Futures Index due December 4, 2030 (XIV ETNs), defendants filed a motion to
dismiss. On January 2, 2020, the SDNY granted defendants' motion to dismiss. On February 3, 2020, plaintiff filed a notice of appeal.
On June 3, 2019, Credit Suisse Group AG and certain affiliates and executives were named in a
separate individual action brought in the
SDNY by a purchaser of XIV ETNs, which asserts claims similar to those brought in the consolidated class action complaint as well
as
additional claims under New York and Pennsylvania state law. On November 12, 2019, defendants filed a motion to dismiss. Plaintiffs
responded to the motion to dismiss by filing an amended complaint in lieu of opposing the motion to dismiss. The action has been stayed
pending a resolution of the appeal in the consolidated class action.
On April 14, 2020, in the individual action filed on March 29, 2019 in the SDNY by a purchaser of VelocityShares Daily Inverse VIX
Short Term Exchange Traded Notes linked to the S&P 500 VIX Short-Term Futures Index due December 4, 2030 (XIV ETNs), plaintiff filed a
motion for voluntary dismissal with prejudice of its appeal, which was granted by the Second Circuit on April 15, 2020.
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On June 4, 2021, in the individual
action brought in the SDNY by a purchaser of VelocityShares Daily Inverse VIX Short Term Exchange
Traded Notes linked to the S&P 500 VIX Short-Term Futures Index due
December 4, 2030 (XIV ETNs), which asserts claims similar to those
brought in the consolidated class action complaint as well as additional claims under Pennsylvania state
law, plaintiff filed an amended
complaint. On July 19, 2021, Credit Suisse AG filed a motion to dismiss.
In the class action in the SDNY brought on behalf of a putative class of purchasers of
VelocityShares Daily Inverse VIX Medium Term
Exchange Traded Notes linked to the S&P 500 VIX Mid-Term Futures Index due December 4, 2030 (ZIV ETNs), plaintiffs did not
appeal the
decision by the SDNY to dismiss all claims against the defendants and the judgment is now final.
On October 1, 2020, in the individual civil action filed on April 17, 2018 in the Northern
District of Alabama against Credit Suisse AG as
well as Janus Index & Calculation Services LLC relating to the VelocityShares Daily Inverse VIX Short Term Exchange
Traded Notes linked to
the S&P 500 VIX Short-Term Futures Index due December 4, 2030 (XIV ETNs), plaintiffs voluntarily dismissed with prejudice their claims
against Credit Suisse AG.
On April 27, 2021, in the consolidated action in the SDNY brought by a putative class of purchasers of VelocityShares Daily Inverse VIX
Short Term Exchange Traded Notes linked to the S&P 500 VIX Short-Term Futures Index due December 4, 2030 (XIV ETNs), the Second
Circuit issued an order affirming in part and vacating in part the SDNY's decision granting defendants' motion to dismiss.
TWINT
On November 13, 2018, COMCO announced an investigation into several Swiss financial institutions, including UBS Switzerland AG,
Credit Suisse (Schweiz) AG, Aduno Holding AG, PostFinance AG, and Swisscard AECS GmbH. According to COMCO, its investigation is
focused on whether these institutions entered into an agreement to boycott mobile payment solutions of international providers, including Apple
Pay and Samsung Pay, in order to protect TWINT, their own Swiss payment solution.
SWM
CSI is the defendant in a lawsuit brought by the German public utility company Stadtwerke
München GmbH in a German court, in
connection with a series of interest rate swaps entered into between 2008 and 2012. The claimant alleges breach of an advisory duty
to provide
both investor- and investment-specific advice, including in particular a duty to disclose the initial mark-to-market value of the trades
at inception.
On
March 22, 2019, the trial court (the Regional Court of Frankfurt am Main) dismissed in their entirety claims against Credit Suisse
International brought by the German
public utility company Stadtwerke München GmbH in connection with a series of interest rate swaps
entered into between 2008 and 2012.
On April 29, 2019, the German public utility company Stadtwerke München GmbH filed a notice
of appeal of the decision of the trial
court (the Regional Court of Frankfurt am Main) dismissing all claims against Credit Suisse International in connection with a
series of interest
rate swaps entered into between 2008 and 2012. On November 29, 2019, the court ruled on the supplementary judgment application, finding that
SWM was entitled to a refund of negative interest from CSI. CSI is appealing this ruling.
Bulgarian former clients matter
Credit Suisse AG has been responding to an investigation by the Swiss Office of the Attorney General concerning the diligence and
controls applied to a historical relationship with Bulgarian former clients who are alleged to have laundered funds through Credit Suisse AG
accounts. On December 17, 2020, the SOAG brought charges against Credit Suisse AG and other parties. Credit Suisse AG believes its
diligence and controls complied with applicable legal requirements, and intends to defend itself vigorously.
Following charges brought in 2020 by the Swiss Office of the Attorney General against Credit
Suisse AG and other parties concerning the
diligence and controls applied to a historical relationship with Bulgarian former clients who are alleged to have laundered
funds through Credit
Suisse AG accounts, the Swiss Federal Criminal Court has scheduled trial to take place in February 2022.
SCFF and Archegos matters
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We have received requests for documents and information in connection with inquiries, investigations and/or actions relating to the
supply chain finance fund (SCFF) and/or Archegos matters by FINMA, the DOJ, the US Securities and Exchange Commission (SEC), the US
Federal Reserve, the Commodity Futures Trading Commission (CFTC), the US Senate Banking Committee, the UK Financial Conduct
Authority (FCA) and other regulatory and governmental agencies. Credit Suisse is cooperating with the authorities on these matters. In
connection with FINMA's enforcement actions, third parties appointed by it will conduct investigations into these matters. The Luxembourg
Commission de Surveillance du Secteur Financier (CSSF) has also announced its intention to review the SCFF matter through a third party.
On April 16, 2021, Credit Suisse Group AG and certain current and former executives were named in
a putative class action complaint
filed in the SDNY by a holder of Credit Suisse American Depositary Receipts, asserting claims for violations of Sections 10(b) and 20(a)
of the
US Securities Exchange Act of 1934 and Rule 10b-5 thereunder, alleging that defendants violated US securities laws by making material
misrepresentations and omissions regarding Credit Suisse's risk management practices with respect to the SCFF and Archegos matters.
As these matters develop, we may become subject to additional litigation and regulatory
inquiries, investigations and actions.
Additional references
Additional references (and links) to certain publicly-available documents and resources that
discuss various administrative, civil,
enforcement or criminal complaints or actions filed against CSS LLC during the past three years can be found in Section 7 of CSS
LLC's
"Commodity Futures Trading Commission Rule 1.55(k): FCM-Specific Disclosure Document," a link to which is available at:
https://www.credit-suisse.com/us/en/investment-banking/about-investment-banking/customer-notices.html.
Included by the Sponsor from the NFA website and not provided by CSS
Pursuant to an offer of settlement in which CSS neither admitted nor denied the rule violations upon which the penalty is based, on
October 15, 2020, the Clearing House Risk Committee found that CSS violated CBOT Rules 930.D., 930.E.1., 930.E.2., 930.F. and 982. In
accordance with the settlement offer, the Committee imposed a $100,000 fine, effective October 16, 2020.
CSS was issued a summary fine in the amount of $2,500 for violating Rule 2.22 by reporting inaccurate open interest for the July 2020
Cocoa futures contract for trade date June 11, 2020. For this violation, CSS was fined $2,500, effective November 30, 2020.
CBOE Case #: 0002397. A Rule 714 Summary Fine-First Offense was issued to Credit Suisse
Securities (USA) LLC for a violation of
CFE Rule 407(a). Action Type: Trade Practice Fine: $5,000 Effective Date: 05/26/2021
ICE Case #: 2020-023. Credit Suisse Securities (Europe) Ltd. was issued a summary fine in the
amount of $2,000 for violating
Rule 4.15(a) by failing to properly assign each Automated Trading System a unique identification for the purpose of routing orders
automatically to the ETS. Action Type: Office Recordkeeping Fine:
$2,000
CBOT Case #: 21-CH-2111. Pursuant to an offer of settlement in which Credit Suisse Securities (USA) LLC neither admitted nor denied
the rule violations upon which the penalty is based, on August 19, 2021, the Clearing House Risk Committee found that Credit Suisse Securities
(USA) LLC violated CBOT Rules 930.D., 930.E.1., 930.E.2. and 930.F. Action Types: Clearing Procedures In accordance with the settlement
offer, the Committee imposed a $150,000 fine. Effective Date: 08/20/2021
StoneX Financial Inc. – FCM (f/k/a INTL FCStone Financial Inc. - FCM Division)
On November 14, 2017, INTL FCStone Financial Inc., without admission or denial or liability, entered into a settlement with the
Commodity Futures Trading Commission ("CFTC"). The CFTC found that INTL FCStone Financial Inc. failed to have adequate compliance
controls to identify trades improperly designated as EFRPs. According to the CFTC Order, the firm failed to determine that the EFPs at issue
had the necessary corresponding and related cash or OTC derivative position required for EFRPs. The CFTC Order also found that the firm
failed to ensure that the EFPs at issue were documented properly. Finally, the firm failed to ensure that its employees involved in the execution,
handling, and processing of EFRPs understood the requirements for executing, handing, and processing valid EFRPs. INTL FCStone
Financial Inc., and its affiliate FCStone Merchant Services, jointly paid a $280,000 civil monetary penalty to the CFTC.
After a historic move in the natural gas market in November of 2018, INTL FCStone Financial Inc.
– FCM Division ("IFF") experienced
a number of customer deficits. IFF soon thereafter initiated NFA arbitrations, seeking to collect these debits, and
has also been countersued and
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sued in a
number of these arbitrations. These accounts were managed by Optionsellers.com, ("Optionsellers") who is a Commodity Trading
Advisor ("CTA")
authorized by investors to act as attorney-in-fact with exclusive trading authority over these investors' trading accounts. These
accounts cleared through IFF. After
this significant and historic natural gas market movement, the accounts declined below required
maintenance margin levels. IFF's role in managing the accounts was
limited. As a clearing firm, IFF did not provide any investment advice,
trading advice, or recommendations to customers of Optionsellers who chose to clear with IFF.
Instead, it simply executed and cleared trades
placed by Optionsellers on behalf of Optionsellers' customers. Optionsellers is a CFTC registered CTA operating under
a CFTC Rule 4.7
exemption from registration. Optionsellers engaged in a strategy that primarily involved selling options on futures products. The arbitrations
between IFF, Optionsellers, and the Optionsellers customers are currently ongoing.
The Futures Commission Merchant ("FCM") division of the INTL FCStone Financial, Inc. ("IFF") is subject to litigation and regulatory
enforcement in the normal course of business. Except as discussed above, the current or pending civil litigation, administrative proceedings, or
enforcement actions in which the firm is involved are not expected to have a material effect upon its condition, financial or otherwise. The firm
vigorously defends, as a matter of policy, civil litigation, reparation, arbitration proceedings, and enforcement actions brought
against it.
Included by the Sponsor and not provided by StoneX
Investor claims against Optionsellers exceed $100 million.
UBS Securities LLC
UBS Securities LLC ("UBS Securities") principal business address is 1285 Avenue of the Americas, New York, NY 10019. UBS
Securities is a futures clearing broker for the Trust. UBS Securities is registered in the US with the Financial Industry Regulatory Authority
(FINRA) as a Broker-Dealer and with the National Futures Association (NFA) as a Futures Commission Merchant. UBS Securities is a member
of various US futures and securities exchanges.
UBS Securities is and has been a defendant in numerous legal proceedings, including actions brought by regulatory organizations and
government agencies, relating to its securities and commodities business that allege various violations of federal and state securities laws. UBS
AG, the ultimate parent company to UBS Securities LLC, files annual reports and quarterly reports to the SEC in which it discloses material
information about UBS matters, including information about any material litigation or regulatory investigations. Actions with respect to UBS
Securities' futures commission merchant business are publicly available on the website of the NFA (http://www.nfa.futures.org/) and with
respect to UBS Securities' brokerage business are publicly available on the website of FINRA. (http://www.finra.org). Additional details are set
out in UBS's Statement of Financial Condition, which can be found at https://www.ubs.com/global/en/investment-bank/ib/llc-financials.html.
UBS Securities operates in a legal and regulatory environment that exposes it to significant litigation and similar risks arising from
disputes and regulatory proceedings. As a result, UBS Securities is involved in various disputes and legal proceedings, including litigation,
arbitration, and regulatory and criminal investigations.
Such matters are subject to many uncertainties, and the outcome and the timing of resolution are often difficult to predict, particularly in
the earlier stages of a case. There are also situations where UBS Securities may enter into a settlement agreement. This may occur in order to
avoid the expense, management distraction or reputational implications of continuing to contest liability, even for those matters for which UBS
Securities believes it should be exonerated. The uncertainties inherent in all such matters affect the amount and timing of any potential outflows
for both matters with respect to which provisions have been established and other contingent liabilities.
UBS Securities makes provisions for such matters brought against it when, in the opinion of management after seeking legal advice, it is
more likely than not that UBS Securities has a present legal or constructive obligation as a result of past events, it is probable that an outflow of
resources will be required, and the amount can be reliably estimated.
Where these factors are otherwise satisfied, a provision may be established for claims that have not yet been asserted against UBS
Securities but are nevertheless expected to be, based on UBS Securities's experience with similar asserted claims.
If any of those conditions is not met, such matters result in contingent liabilities. If the
amount of an obligation cannot be reliably
estimated, a liability exists that is not recognized even if an outflow of resources is probable. Accordingly, no provision is
established even if the
potential outflow of resources with respect to such matters could be significant.
Specific litigation, regulatory and other matters are described below, including all such matters
that management considers to be material
and others that management believes to be of significance due to potential financial, reputational and other effects. The amount
of damages
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claimed, the size of a transaction or other information is provided where available and appropriate in order to assist users in
considering the
magnitude of potential exposures. It is not practicable to provide an aggregate estimate of liability for our litigation, regulatory and similar
matters as a class of contingent liabilities.
Doing so would require us to provide speculative legal assessments as to claims and proceedings that involve unique fact patterns or
novel legal theories, which have not yet been initiated or are at early stages of adjudication, or as to which alleged damages have not been
quantified by the claimants. Although we therefore cannot provide a numerical estimate of the future losses that could arise from the class of
litigation, regulatory and similar matters, we believe that the aggregate amount of possible future losses from this class that are more than remote
substantially exceeds the level of current provisions. Litigation, regulatory and similar matters may also result in non-monetary penalties and
consequences. For example, the non-prosecution agreement which the Parent entered into with the U.S. Department of Justice ("DOJ"),
Criminal Division, Fraud Section in connection with its submissions of benchmark interest rates, including among others the British Bankers'
Association London Interbank Offered Rate ("LIBOR"), was terminated by the DOJ based on its determination that the Parent had committed a
"US" crime in relation to foreign exchange matters.
As a consequence, UBS AG pleaded guilty to one count of wire fraud for conduct in the LIBOR matter, paid a fine of $100 million and
was subject to probation, which ended in January 2020. A guilty plea to, or conviction of, a crime could have material consequences for the
Parent or UBS Securities.
Resolution of regulatory proceedings may require the Parent or UBS Securities to obtain waivers of regulatory disqualifications to
maintain certain operations, may entitle regulatory authorities to limit, suspend or terminate licenses and regulatory authorizations and may
permit financial market utilities to limit, suspend or terminate participation in such utilities. Failure to obtain such waivers, or any limitation,
suspension or termination of licenses, authorizations or participations could have material consequences for the Parent or UBS Securities.
Residential Mortgage-backed Securities and Mortgages. From 2002 through 2007, prior to the crisis
in the U.S. residential loan market,
UBS Securities was a substantial underwriter of U.S. RMBS.
In November 2018, the DOJ filed a civil complaint in the U.S. District Court for the Eastern
District of New York. The complaint seeks
unspecified civil monetary penalties under the Financial Institutions Reform, Recovery and Enforcement Act of 1989 related to
UBS's issuance,
underwriting and sale of 40 residential mortgage backed securities transactions in 2006 and 2007. The Parent and UBS Securities moved to
dismiss the civil complaint on February 6, 2019. On December 10, 2019 the district court denied the motion to dismiss.
Government Bonds. Putative class actions have been filed since 2015 in US federal courts against
UBS Securities, the Parent and other
banks on behalf of persons who participated in markets for US Treasury securities since 2007. A consolidated complaint was filed in
2017 in the
US District Court for the Southern District of New York alleging that the banks, including UBS Securities, colluded with respect to, and
manipulated prices of, US Treasury securities sold at auction and in the secondary market and asserting claims under the antitrust laws and for
unjust enrichment. Defendants' motions to dismiss the consolidated complaint are pending. Similar class actions have been filed concerning
European government bonds. Government sponsored entities ('GSE") bonds: Starting in February 2019, class action complaints were filed in the
US District Court for the Southern District of New York against UBS Securities and other banks on behalf of plaintiffs who traded GSE bonds.
A consolidated complaint was filed alleging collusion in GSE bond trading between January 1, 2009 and January 1, 2016.
In December 2019, UBS Securities and eleven other defendants agreed to settle the class action
for a total of $250,000. The settlement
has been approved by the court and this matter is now resolved. Additionally, UBS Securities, the Parent and reportedly other banks
are
responding to investigations and requests for information from various authorities regarding US Treasury securities and other government bond
trading practices. As a result of its review to date, UBS Securities and the Parent have taken appropriate action.
Interest rate swaps and CDS matters. In 2016, putative class action plaintiffs filed consolidated
amended complaints in the Southern
District of New York against numerous financial institutions and others, including UBS Securities and the Parent, alleging violations of
the US
Sherman Antitrust Act and common law. Plaintiffs allege that the defendants unlawfully conspired to restrain competition in the market for
Interest Rate Swap ("IRS") trading. Plaintiffs assert claims on behalf of all purchasers and sellers of IRS that transacted directly with any of the
dealer defendants since January 1, 2008, and seek unspecified trebled compensatory damages and other relief. The operators of two swap
execution facilities ("SEFs") filed complaints raising similar allegations. In July 2017, the court granted in part and denied in part defendants'
motions to dismiss, limiting the claims to the time period 2013-2016, and dismissing certain state-law claims and claims against certain other
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defendants. In March 2019, the court denied in part and
granted in part class plaintiffs' motion for leave to file a fourth amended complaint,
rejecting plaintiffs' request to add allegations covering the time
period 2008-2012 but allowing plaintiffs to add allegations relating to the time
period 2013-2016 (the time period covered by the operative complaint). A third SEF filed a
complaint in June 2018 and an amended complaint
in August 2018 alleging conduct similar to the conduct alleged by the other SEF plaintiffs but continuing into 2018.
Defendants have moved to
dismiss the third SEF's amended complaint, and in November 2018 the court granted the motion in part and denied it in part, dismissing
certain
state-law claims but permitting certain federal and state claims relating to the time period 2013-2018. In June 2017, one of the SEF plaintiffs
filed a complaint raising allegations similar to those in the IRS litigation with respect to the trading of credit default swaps. Defendants have
moved to dismiss that complaint and, in September 2018 and July 2019, certain defendants' motions, including the Parent's, were granted. The
SEF plaintiff filed an amended complaint in January 2020 and, in April 2020, the remaining defendants, including the
Company, moved to dismiss the amended complaint. Following the filing of the first class
complaint the Parent was served with a
subpoena from the U.S. Commodity Futures Trading Commission ("CFTC") seeking documents and information regarding UBS
Securities's
swap trading and Futures Commission Merchant businesses going back to 2008.
Southern District of New York against six stock lending prime broker defendants, including UBS
Securities, its Parent and affiliates, as
well as EquiLend, a trading platform and purveyor of posttrade services. The named plaintiffs purport to represent a class of all
persons or
entities that entered into stock loan transactions in the United States with one of the prime broker defendants since January 7, 2009. The
plaintiffs allege that the defendants conspired to block the evolution of the stock lending market from an OTC environment, in which stock loans
are intermediated by prime brokers, to an electronic market, in which borrowers and lenders can transact directly with one another. Plaintiffs
allege violations of Section 1 of the Sherman Act and New York State law and seek unspecified treble damages, fees and costs. In September
2018, the court overseeing the litigation denied defendants' motions to dismiss. In January 2018 and November 2018, respectively, QS Holdco
and SL-x, entities associated with defunct stock lending platforms, each filed an action in the Southern District of New York raising claims
similar to the class plaintiffs' claims and also seeking treble damages and other relief. Defendants have moved to dismiss the QS Holdco and
SL-x complaints. In May 2019, different SL-x affiliates filed an additional complaint, raising similar allegations. Defendants' motion to dismiss
the prior SL-x complaint applies to the new complaint as well. In August 2019, the court dismissed the QS Holdco complaint, and in January
2020, the court denied QS Holdco's motion to alter or amend the judgment.
Included by the Sponsor from the NFA website and not provided by UBSS
CME Case #: 21-0621-CTRA. Pursuant to the results of a back office CTR exam, for trade dates January 4, 2021 through March 31,
2021, UBS Securities, LLC's data entry errors for sequenced cards, verbal orders, and floor orders exceeded the 10% threshold level mandated
by Rule 536.F. Pursuant to the Rule 536.F sanction schedule, UBS Securities, LLC was issued a $2,500 fine on July 16, 2021 for its first
violation of Rule 536.F. within 24 months. Effective Date: 08/03/2021
CBOT Case #: 21-CH-2109. Pursuant to an offer of settlement in which UBS Securities LLC neither admitted nor denied the rule
violations upon which the penalty is based, on August 19, 2021, the Clearing House Risk Committee found that UBS Securities LLC violated
CBOT Rules 930.E.1., 930.E.2., 930.E.3. and 930.F. In accordance with the settlement offer, the Committee imposed a $75,000 fine. Effective
Date: 08/20/2021
ICE Case #: 2019-037 (included by the Sponsor from the NFA website and not provided by UBSS)
On April 27, 2020, UBSS was issued a summary fine in the amount of $2,000 for violating Exchange Rule 4.15(a) an 4.15(b) by failing to
assign a unique identification and not affixing the necessary Authorized Trader Identifications found in multiple orders from August 26, 2019 to
October 3, 2019. The product involved was the MSCI Emerging Markets Index Futures (MME).
MGE Case #: 19-I-22 (included by the Sponsor from the NFA website and not provided by UBSS)
UBSS failed to submit accurate long September Spring Wheat futures positions during the delivery period in apparent violation of MGEX
Regulations 1227.00 and 2100.00 and MGEX Resolution 2101.C.
On September 26, 2019, pursuant to the summary fine schedule in MGEX Regulation 1227.00 a $1,000 fine was assessed for
the violation.
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OCX Case #: 2018-82 (included by the Sponsor from the NFA website and not provided by UBSS)
Pursuant to a written offer of settlement that UBSS presented on July 9, 2019, in which UBSS neither admitted nor denied the Rule
violations upon which the penalty is based, UBSS consented to the finding by the OneChicago, LLC Regulatory Oversight Committee ("ROC")
on July 12, 2019 that it failed to provide audit trail information for an August 2018/September 2018 spread trade in KBE1D futures on
August 13, 2018 in violation of OneChicago Rules 403(c) and 502.
Further, UBSS consented to the finding by the ROC that it failed to provide, in a timely fashion, written supervisory procedures and audit
trail information for a trade in March 2018 BKNG1D on March 12, 2018, a trade in June 2018 NRG1D futures on May 23, 2018 and a trade in
September 2018 BBD1D futures on August 14, 2018 in violation of OneChicago Rule 502. There was no customer harm.
On August 21, 2019 and in accordance with the terms of settlement, UBSS agreed to pay a monetary
penalty of $7,500.
CBOT Case #:
19-CH-1903 (included by the Sponsor from the NFA website and not provided by UBSS)
Pursuant to an offer of settlement in which UBSS neither admitted nor denied the rule violations
upon which the penalty is based, on
June 27, 2019, the Clearing House Risk Committee found that UBSS violated CBOT Rules 930.E., 930.F., 971.A., 980.A. and 980.B. In
accordance with the settlement offer, the Committee imposed a $100,000 fine, effective June 28, 2019
CME Case #: 19-9962 (included by the Sponsor from the
NFA website and not provided by UBSS)
During January 2019, UBSS violated Rule 853 by reporting transfer trades with inaccurate indicators. On April 4, 2019, UBSS, pursuant
to Rule 512("Reporting Infractions"), was issued a $4,000 fine by the 512 Committee for its violation of Rule 853. It became effective on
April 22, 2019.
CME Case #: 19-9920 CTRA (included by the Sponsor from the NFA website and not provided by UBSS)
Pursuant to the results of a back office CTR exam, for trade dates January 2, 2019 through January 31, 2019, UBSS's data entry errors for
sequenced cards, verbal orders, and floor orders exceeded the 10% threshold level mandated by Rule 536.F. Pursuant to the Rule 536.F sanction
schedule, UBSS was issued a $2,500 fine on March 22, 2019, for its first violation of Rule 536.F. within 24 months. It became effective on
April 8, 2019.
CBOE Case #: CFE 18-0007 (included by the Sponsor from the NFA website and not provided by UBSS)
On various dates throughout 2017, UBSS made erroneous adjustments to OI causing overall exchange open interest in the expiring VX
contract to be inaccurately reported. As such, UBSS was fined $15,000 on January 23, 2019 for violations of CFE Rule 410a - Reporting Open
Interest Information to the Clearing Corporation.
OCX Case #: OCX 2016-35 (included by the Sponsor from the NFA website and not provided by UBSS)
Between December 2014 and June 2016, in 13 trades across 7 different single stock futures in 6 different monthly expirations
(December 19, 2014, September 18, 2015, December 18, 2015, March 18, 2016, April 15, 2016 and June 17, 2016), UBSS engaged in
pre-execution discussions with its customers and subsequently consummated trades based on those pre-execution discussions. The trades were
consummated by first entering a proprietary order, and then entering the customer order. UBSS was unable to locate communication records for
some of these 13 trades. As such, UBSS was fined $35,000 on April 12, 2018 for violations of Rule 611 (Trading Against Customers Orders)
and Rule 502 (Inspection and Delivery) by the OCX Regulatory Oversight Committee.
CME Case #: DQA-18-9560 (included by the Sponsor from the NFA website and not provided by UBSS)
During December 2017 and February 2018, UBSS violated Rule 853 by reporting transfer trades with inaccurate indicators. On March 16,
2018, UBSS, pursuant to Rule 512 ("Reporting Infractions"), was issued a $2,000 fine by the 512 Committee for its violation of Rule 853. It
became effective on April 3, 2018.
ICE Case #: 2017-048 (included by the Sponsor from the NFA website and not provided by UBSS)
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Exchange Rule 6.10 by failing to ensure that the proper CTI codes were affixed to orders entered on behalf of five (5) accounts between
January and April 2017. As such UBSS was fined $4,000 for violations of Rule 6.10 (Trade Type Indicators) on November 11, 2017.
CME Case #: 17-9238 (included by the Sponsor from the NFA website and not provided by UBSS)
During the period of January 1 through March 31, 2017, UBSS violated Rule 576 by failing to maintain accurate and current information
in the Exchange Fee System. On July 19, 2017, UBSS, pursuant to Rule 512 ("Reporting Infractions"), was issued a $5,000 fine by the 512
Committee for its violations of Rule 576.
ICE Case #: 2016-065 (included by the Sponsor from the NFA website and not provided by UBSS)
For violations of Exchange Rule 2.22 by reporting inaccurate open interest for the September 2016 Mini MSCI Emerging Market Index
futures contract for trade date August 8, 2016, UBSS was issued a fine of $5,000, effective February 15, 2017.
ICE Case #: 2016-093 (included by the Sponsor from the
NFA website and not provided by UBSS)
For violations of Exchange Rule 2.22 by reporting inaccurate open interest for the December 2016 Coffee "C" future contract for trade
dates November 21-30, 2016, UBSS was issued a fine of $10,000, effective February 15, 2017.
CBOE Case #: ICT NO.109339 (included by the Sponsor from the NFA website and not provided by UBSS)
UBSS failed to submit correct CBOE account type with orders during July 2016 through September 2016. As such, UBSS was fined
$2,500 for violations of CFE Rule 403(a), effective January 26, 2017.
CME Case #: 16-9077 (included by the
Sponsor from the NFA website and not provided by UBSS)
During September 2016, UBSS violated Rule 536.D by submitting numerous instances of incorrect CTI codes. On October 12, 2016,
pursuant to Rule 512 ("Reporting Infractions"), UBSS was issued a fine $1,000 by the CME and $1,500 by the CBT for its violation of
Rule 536.D, effective October 31, 2016.
CBOE Case #: ICT 109060 (included by the Sponsor from the NFA website and not provided by UBSS)
UBSS failed to properly document ECRP trade activity on a customer account statement for trade date January 26, 2015. As such, UBSS
was issued a fine of $5,000 for violations of CFE Rule 414 (Exchange of Contract for Related Positions), effective September 16, 2016.
MGE Case #: 15-I-29 (included by the Sponsor from the
NFA website and not provided by UBSS)
For violations of Rule 2069 (Reporting Requirements And Sanctions) and Rule 1226 (General Requests), UBSS was issued a fine of
$1,000. The MGEX Department of Audits and Investigations determined UBSS violated the aforementioned MGEX Regulations for the failure
to submit data, records and other documentation requested by the Exchange in an accurate, complete, and timely manner. It became effective on
August 2, 2016.
CME Case #: 16-8833 (included by the Sponsor from the NFA website and not provided by UBSS)
During the period of October 1 through December 31, 2015, UBSS violated Rule 576 by failing to maintain accurate and current
information in the Exchange Fee System and submitting a Tag 50 ID across multiple shifts. On March 16, 2016, UBSS was issued a $2,500 fine
by the 512 Committee for its violations of Rule 576. It became effective on April 18, 2016.
CBOE Case #: ICT NO. 109182 (included by the Sponsor from the NFA website and not provided by UBSS)
UBSS failed to designate the subject transaction as a "block" on its account statements. As such, UBSS violated CFE Rule 415 (Block
Trading) and was issued a fine of $2,500. It became effective on March 28, 2016.
ICE Case #: 2014-155F (included by the Sponsor from the NFA website and not provided by UBSS)
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UBSS was issued a fine of $2,500, effective February 8, 2016, for a violation of Exchange Rule 27.12A by failing to provide complete
electronic audit trail data corresponding to three (3) orders that was entered onto the ETS in December 2014.
CBOE Case #: ICT NO.109008 (included by the Sponsor
from the NFA website and not provided by UBSS)
UBSS failed to designate the subject transaction as a "block" on its account statement and also failed to create and/or maintain an internal
order ticket to document the subject block transactions. As such it violated CFE Rule 415 (Block Trading) as was issued a fine of $2,500. It
became effective on September 11, 2015.
Goldman Sachs & Co. LLC ("GS" or "GS & Co.")
GS & Co, in addition to being a registered futures commission merchant, is a registered broker-dealer. From time to time, Goldman Sachs
& Co. LLC and its affiliates are involved in judicial, regulatory and arbitration concerning matters arising in connection with the conduct of its
business. Goldman Sachs & Co. LLC's management believes, based on currently available information, that the results of such proceedings, in
the aggregate, will not have a material adverse effect on the firm's financial condition, but may be material to the firm's operating results for any
particular period, depending, in part, upon the results for such period. Please refer to Note 20 contained in Goldman Sachs & Co. LLC's June 30,
2020 Consolidated Statement of Financial Condition - https://www.goldmansachs.com/investor-relations/financials/current/subsidiary-financial-info/gsco/gsco-06-30-2020-file.pdf.
For further information, please refer to the periodic public filings by The Goldman Sachs Group, Inc.
(copies of the firm's recent filings on Form 10-K and Form 10Q may be found at www.gs.com), to Goldman Sachs & Co. LLC's Form BD as
periodically filed with the Securities and Exchange Commission. (FINRA's BrokerCheck, which is based on the Form BD, can be found at
http://brokercheck.finra.org/) and to the Commodity Futures Trading Commission Rule 1.55(K): FCM-Specific Disclosure Document-
https://www.goldmansachs.com/disclosures/cftc_fcm_disclosures/cftc-gsco-disclosure-document.pdf.
In this section, when we use the terms "we," "us" and "our," we mean Goldman Sachs & Co. LLC (GS&Co.) and its consolidated
subsidiaries, and when we use the term "Goldman Sachs" we mean The Goldman Sachs Group, Inc. (Group Inc.) together with its consolidated
subsidiaries, including GS&Co. GS&Co. is a registered U.S. broker-dealer, futures commission merchant (FCM) and swap dealer and is a
wholly owned subsidiary of Group Inc., except for de minimis non-voting, non-participating interests held by unaffiliated broker-dealers.
GS&Co. is or has been involved in a number of judicial, regulatory and arbitration
proceedings concerning matters arising in connection
with the conduct of its businesses. In addition, GS&Co. and certain of its affiliates are subject to a number of
investigations and reviews by, and
in some cases have received subpoenas and requests for documents and information from, various governmental and regulatory bodies and
self
regulatory organizations relating to various matters relating to their businesses. Pursuant to 17 CFR 1.55(k)(7), the following disclosure is
intended to provide information that may be material to an FCM customer regarding administrative, civil, enforcement or criminal actions filed
against GS&Co. that have not concluded, and enforcement complaints or actions filed against GS&Co. during the last three years, and is not a
comprehensive list of all proceedings to which GS&Co. is or has been a party. Additional information on regulatory, civil and arbitration
proceedings involving Goldman Sachs, including the proceedings described below, proceedings involving GS&Co. that are not required to be
disclosed under 17 CFR 1.55(k)(7) and proceedings involving other Goldman Sachs entities, is available through FINRA's BrokerCheck (which
can be accessed electronically at www.finra.org), the National Futures Association's Background Affiliation Status Information Center (which
can be accessed electronically at www.nfa.futures.org/basicnet) and under the caption "Legal Proceedings" in the notes to the financial
statements included in Group Inc.'s Annual and Quarterly Reports on Forms 10-K and 10-Q filed with the SEC (which are also available
through the investor relations section of Goldman Sachs' website at www.gs.com).
Currencies-Related Litigation
GS&Co. and Group Inc. are among the defendants named in putative class actions filed in the
U.S. District Court for the Southern District
of New York beginning in September 2016 on behalf of putative indirect purchasers of foreign exchange instruments. On August
5, 2019, the
plaintiffs filed a third consolidated amended complaint generally alleging a conspiracy to manipulate the foreign currency exchange markets,
asserting claims under various state antitrust laws and state consumer protection laws and seeking treble damages in an unspecified amount. On
July 17, 2020, the court preliminarily approved a settlement in principle. Goldman Sachs has reserved the full amount of its proposed
contribution to the settlement. GS&Co. and Group Inc. are among the defendants named in an action filed in the U.S. District Court for the
Southern District of New York on November 7, 2018 by certain direct purchasers of foreign exchange instruments that opted out of a class
settlement reached with, among others, GS&Co. and Group Inc. The third amended complaint, filed on August 3, 2020, generally alleges that
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the defendants violated federal antitrust law and state
common law in connection with an alleged conspiracy to manipulate the foreign currency
exchange markets and seeks declaratory and injunctive relief, as well as unspecified
amounts of compensatory, punitive, treble and
other damages.
Underwriting Litigation
GS&Co. is among the defendants in a number of proceedings in connection with securities
offerings. In these proceedings, including
those described below, the plaintiffs assert class action or individual claims under federal and state securities laws and in
some cases other
applicable laws, allege that the offering documents for the securities that they purchased contained material misstatements and omissions, and
generally seek compensatory and rescissory damages in unspecified amounts. Certain of these proceedings involve additional allegations.
SunEdison, Inc.
GS&Co. is among the underwriters named as defendants in several putative class actions and individual actions filed beginning in March
2016 relating to the August 2015 public offering of $650 million of SunEdison, Inc. (SunEdison) convertible preferred stock. The defendants
also include certain of SunEdison's directors and officers. On April 21, 2016, SunEdison filed for Chapter 11 bankruptcy. The pending cases
were transferred to the U.S. District Court for the Southern District of New York and on March 17, 2017, plaintiffs in the putative class action
filed a consolidated amended complaint. GS&Co., as underwriter, sold 138,890 shares of SunEdison convertible preferred stock in the offering,
representing an aggregate offering price of approximately $139 million. On April 10, 2018 and April 17, 2018, certain plaintiffs in the individual
actions filed amended complaints. The defendants have reached a settlement with certain plaintiffs in the individual actions and a settlement of
the class action, which the court approved on October 25, 2019. Goldman Sachs has paid the full amount of its contribution to the settlement.
Valeant Pharmaceuticals International, Inc.
GS&Co. and Goldman Sachs Canada Inc. (GS Canada) are among the underwriters and initial purchasers named as defendants in a
putative class action filed on March 2, 2016 in the Superior Court of Quebec, Canada. In addition to the underwriters and initial purchasers, the
defendants include Valeant Pharmaceuticals International, Inc. (Valeant), certain directors and officers of Valeant and Valeant's auditor. As to
GS&Co. and GS Canada, the complaint relates to the June 2013 public offering of $2.3 billion of common stock, the June 2013 Rule 144A
offering of $3.2 billion principal amount of senior notes, and the November 2013 Rule 144A offering of $900 million principal amount of senior
notes. The complaint asserts claims under the Quebec Securities Act and the Civil Code of Quebec. On August 29, 2017, the court certified a
class that includes only non-U.S. purchasers in the offerings. On August 4, 2020, Valeant entered into a settlement agreement with the plaintiffs,
which is subject to court approval. Under the terms of the agreement, Goldman Sachs will not be required to contribute to the settlement.
GS&Co. and GS Canada, as sole underwriters, sold 5,334,897 shares of common stock in the June
2013 offering to non-U.S. purchasers
representing an aggregate offering price of approximately $453 million and, as initial purchasers, had a proportional share of sales
to non-U.S.
purchasers of approximately CAD14.2 million in principal amount of senior notes in the June 2013 and November 2013 Rule 144A offerings.
Snap Inc.
GS&Co. is among the underwriters named as defendants in putative securities class actions pending in California Superior Court, County
of Los Angeles, and the U.S. District Court for the Central District of California beginning in May 2017, relating to Snap Inc.'s $3.91 billion
March 2017 initial public offering. In addition to the underwriters, the defendants include Snap Inc. and certain of its officers and directors.
GS&Co. underwrote 57,040,000 shares of common stock representing an aggregate offering 33 price of approximately $970 million. The
underwriter defendants, including GS&Co., were voluntarily dismissed from the district court action on September 18, 2018. The state court
actions have been stayed. On April 27, 2020, the district court preliminarily approved a settlement among the parties. Also on April 27, 2020,
the state court plaintiffs filed a motion for preliminary approval of a settlement of the state court actions. Under the terms of the federal and state
court preliminary settlements, Goldman Sachs will not be required to contribute to either settlement.
Altice USA, Inc.
GS&Co. is among the underwriters named as defendants in putative securities class actions
pending in New York Supreme Court, County
of Queens, and the U.S. District Court for the Eastern District of New York beginning in June 2018, relating to Altice USA,
Inc.'s (Altice) $2.15
billion June 2017 initial public offering. In addition to the underwriters, the defendants include Altice and certain of its officers and
directors.
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GS&Co. underwrote 12,280,042 shares of common stock representing an aggregate offering price of approximately $368 million.
On June 26,
2020, the court dismissed the amended complaint in the state court action. Plaintiffs in the district court action filed a second amended complaint
on October 7, 2020.
Camping World Holdings, Inc.
GS&Co. is among the underwriters named as defendants in several putative securities class
actions pending in the U.S. District Court for
the Northern District of Illinois, New York Supreme Court, County of New York, and the Circuit Court of Cook County,
Illinois, Chancery
Division, beginning in December 2018. In addition to the underwriters, the defendants include Camping World Holdings, Inc. (Camping World)
and certain of its officers and directors, as well as certain of its stockholders. As to the underwriters, the complaints relate to three offerings of
Camping World common stock, a $261 million October 2016 initial public offering, a $303 million May 2017 offering and a $310 million
October 2017 offering. GS&Co. underwrote 4,267,214 shares of common stock in the October 2016 initial public offering representing an
aggregate offering price of approximately $94 million, 4,557,286 shares of common stock in the May 2017 offering representing an aggregate
offering price of approximately $126 million and 3,525,348 shares of common stock in the October 2017 offering representing an aggregate
offering price of approximately $143 million. On August 5, 2020, the Illinois district court approved a settlement among the parties to the
Illinois district court action. On August 18, 2020, the Illinois state court action was dismissed and on September 8, 2020, the New York state
court action was dismissed. Under the terms of the settlement, Goldman Sachs will not be required to contribute to the settlement.
Alnylam Pharmaceuticals, Inc.
GS&Co. is among the underwriters named as defendants in a putative securities class action filed on September 12, 2019 in New York
Supreme Court, County of New York, relating to Alnylam Pharmaceuticals, Inc.'s (Alnylam) $805 million November 2017 public offering of
common stock. In addition to the underwriters, the defendants include Alnylam and certain of its officers and directors. GS&Co. underwrote
2,576,000 shares of common stock representing an aggregate offering price of approximately $322 million.
Uber Technologies, Inc.
GS&Co. is among the underwriters named as defendants in several putative securities class
actions filed beginning in September 2019 in
California Superior Court, County of San Francisco and the U.S. District Court for the Northern District of California,
relating to Uber
Technologies, Inc.'s (Uber) $8.1 billion May 2019 initial public offering. In addition to the underwriters, the defendants include Uber and
certain of its officers and directors. GS&Co. underwrote 35,864,408 shares of common stock representing an aggregate offering price of
approximately $1.6 billion. On February 11, 2020, plaintiffs in the state court action filed a consolidated amended complaint. On August 7,
2020, defendants' motion to dismiss the district court action was denied.
Venator Materials PLC.
GS&Co. is among the underwriters named as defendants in putative securities class actions in Texas District Court, Dallas County, New
York Supreme Court, New York County, and the U.S. District Court for the Southern District of Texas, filed beginning in February 2019,
relating to Venator Materials PLC's (Venator) $522 million August 2017 initial public offering and $534 million December 2017 secondary
equity offering. In addition to the underwriters, the defendants include Venator, certain of its officers and directors and certain of its
shareholders. GS&Co. underwrote 6,351,347 shares of common stock in the August 2017 initial public offering representing an aggregate
offering price of approximately $127 million and 5,625,768 shares of common stock in the December 2017 secondary equity offering
representing an aggregate offering price of approximately $127 million. On January 21, 2020, the Texas Court of Appeals reversed the Texas
District Court and dismissed the claims against the underwriter defendants, including GS&Co., in the Texas state court action for lack of
personal jurisdiction. On July 1, 2020, defendants' motion to stay the New York state court action in favor of the federal action was denied.
XP Inc.
GS&Co. is among the underwriters named as defendants in putative securities class actions pending in New York Supreme Court, County
of New York, and the U.S. District Court for the Eastern District of York, filed beginning March 19, 2020, relating to XP Inc.'s (XP) $2.3
billion December 2019 initial public offering. In addition to the underwriters, the defendants include XP, certain of its officers and directors and
certain of its shareholders. GS&Co. underwrote 19,326,218 shares of common stock in the December 2019 initial public offering representing
an aggregate offering price of approximately $522 million. On June 22, 2020, plaintiffs in the state court action filed an amended complaint. On
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July 29, 2020, a consolidated amended complaint was
filed in the federal court action. On August 5, 2020, defendants' motion to stay the state
court action in favor of the federal court action was denied.
GoHealth, Inc.
GS&Co. is among the underwriters named as defendants in two putative securities class actions filed on September 21, 2020 and
September 28, 2020 in the U.S. District Court for the Northern District of Illinois relating to GoHealth, Inc.'s (GoHealth) $914 million July
2020 initial public offering. In addition to the underwriters, the defendants include GoHealth, certain of its officers and directors and certain of
its shareholders. GS&Co. underwrote 11,540,550 shares of common stock representing an aggregate offering price of approximately $242
million. A third putative securities class action relating to GoHealth's initial public offering that does not name the underwriters as defendants
was filed in the U.S. District Court for the Northern District of Illinois on September 25, 2020.
Securities Lending Antitrust Litigation
Group Inc. and GS&Co. are among the defendants named in a putative antitrust class action and
three individual actions relating to
securities lending practices filed in the U.S. District Court for the Southern District of New York beginning in August 2017. The
complaints
generally assert claims under federal and state antitrust law and state common law in connection with an alleged conspiracy among the
defendants to preclude the development of electronic platforms for securities lending transactions. The individual complaints also assert claims
for tortious interference with business relations and under state trade practices law and, in the second and third individual actions, unjust
enrichment under state common law. The complaints seek declaratory and injunctive relief, as well as unspecified amounts of compensatory,
treble, punitive and other damages. Group Inc. was voluntarily dismissed from the putative class action on January 26, 2018. Defendants'
motion to dismiss the class action complaint was denied on September 27, 2018. Defendants' motion to dismiss the first individual action was
granted on August 7, 2019.
Interest Rate Swap Antitrust Litigation
Group Inc., GS&Co., Goldman Sachs International (GSI), Goldman Sachs Bank USA (GS Bank USA)
and Goldman Sachs Financial
Markets, L.P. are among the defendants named in a putative antitrust class action relating to the trading of interest rate swaps, filed in
November
2015 and consolidated in the U.S. District Court for the Southern District of New York. The same Goldman Sachs entities also are among the
defendants named in two antitrust actions relating to the trading of interest rate swaps, commenced in April 2016 and June 2018, respectively, in
the U.S. District Court for the Southern District of New York by three operators of swap execution facilities and certain of their affiliates. These
actions have been consolidated for pretrial proceedings. The complaints generally assert claims under federal antitrust law and state common
law in connection with an alleged conspiracy among the defendants to preclude exchange trading of interest rate swaps. The complaints in the
individual actions also assert claims under state antitrust law. The complaints seek declaratory and injunctive relief, as well as treble damages in
an unspecified amount. The district court dismissed the state common law claims asserted by the plaintiffs in the first individual action and
otherwise limited the state common law claim in the putative class action and the antitrust claims in both actions to the period from 2013 to
2016. On November 20, 2018, the court granted in part and denied in part the defendants' motion to dismiss the second individual action,
dismissing the state common law claims for unjust enrichment and tortious interference but denying dismissal of the federal and state antitrust
claims. On March 13, 2019, the court denied the plaintiffs' motion in the putative class action to amend their complaint to add allegations related
to 2008-2012 conduct, but granted the motion to add limited allegations from 2013-2016, which the plaintiffs added in a fourth consolidated
amended complaint filed on March 22, 2019.
Variable Rate Demand Obligations Antitrust Litigation
GS&Co. is among the defendants named in a putative class action relating to
variable rate demand obligations (VRDOs), filed beginning
in February 2019 under separate complaints and consolidated in the U.S. District Court for the Southern District
of New York. The consolidated
amended complaint, filed on May 31, 2019, generally asserts claims under federal antitrust law and state common law in connection with an
alleged conspiracy among the defendants to manipulate the market for VRDOs. The complaint seeks declaratory and injunctive relief, as well as
unspecified amounts of compensatory, treble and other damages.
Commodities-Related Litigation
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GS&Co., GSI, J. Aron & Company
and Metro International Trade Services (Metro), a previously consolidated subsidiary of Group Inc.
that was sold in the fourth quarter of 2014, are among the defendants in
a number of putative class and individual actions filed beginning on
August 1, 2013 and consolidated in the U.S. District Court for the Southern District of New York. The
complaints generally allege violations of
federal antitrust laws and state laws in connection with the storage of aluminum and aluminum trading. The complaints seek
declaratory,
injunctive and other equitable relief, as well as unspecified monetary damages, including treble damages. In December 2016, the district court
granted defendants' motions to dismiss and on August 27, 2019, the Second Circuit vacated the district court's dismissals and remanded the case
to district court for further proceedings. On July 23, 2020, the district court denied the class plaintiff's motion for class certification.
Group Inc., GS&Co., GSI, J. Aron & Company and Metro are among the defendants in an
action filed on February 27, 2020 in the High
Court of Justice, Business and Property Courts of England and Wales. The particulars of claim seeks unspecified compensatory
and exemplary
damages based on alleged violations of U.K. and E.U. competition laws in connection with the storage and trading of aluminum.
U.S. Treasury Securities Litigation
GS&Co. is among the primary dealers named as defendants in several putative class actions relating to the market for U.S. Treasury
securities, filed beginning in July 2015 and consolidated in the U.S. District Court for the Southern District of New York. GS&Co. is also
among the primary dealers named as defendants in a similar individual action filed in the U.S. District Court for the Southern District of New
York on August 25, 2017. The consolidated class action complaint, filed on December 29, 2017, generally alleges that the defendants violated
antitrust laws in connection with an alleged conspiracy to manipulate the when-issued market and auctions for U.S. Treasury securities and that
certain defendants, including GS&Co., colluded to preclude trading of U.S. Treasury securities on electronic trading platforms in order to
impede competition in the bidding process. The individual action alleges a similar conspiracy regarding manipulation of the when-issued market
and auctions, as well as related futures and options in violation of the Commodity Exchange Act. The complaints seek declaratory and injunctive
relief, treble damages in an unspecified amount and restitution.
Corporate Bonds Antitrust Litigation
Group Inc. and GS&Co. are among the dealers named as defendants in a putative class action
relating to the secondary market for odd-lot
corporate bonds, filed on April 21, 2020 in the U.S. District Court for the Southern District of New York. The consolidated
complaint, filed on
July 14, 2020, asserts claims under federal antitrust law in connection with alleged anti-competitive conduct by the defendants in the secondary
market for odd-lots of corporate bonds, and seeks declaratory and injunctive relief, as well as unspecified monetary damages, including treble
and punitive damages and restitution.
Employment-Related Matters
On September 15, 2010, a putative class action was filed in the U.S. District Court for the
Southern District of New York by three female
former employees. The complaint, as subsequently amended, alleges that Group Inc. and GS&Co. have systematically
discriminated against
female employees in respect of compensation, promotion and performance evaluations. The complaint alleges a class consisting of all female
employees employed at specified levels in specified areas by Group Inc. and GS&Co. since July 2002, and asserts claims under federal and New
York City discrimination laws. The complaint seeks class action status, injunctive relief and unspecified amounts of compensatory, punitive and
other damages.
On
March 30, 2018, the district court certified a damages class as to the plaintiffs' disparate impact and treatment claims. On
September 4, 2018, the Second Circuit
Court of Appeals denied defendants' petition for interlocutory review of the district court's class
certification decision and subsequently denied
defendants' petition for rehearing. On March 26, 2020, the Magistrate Judge in the district court
granted in part a motion to compel arbitration as to class members
who are parties to certain agreements with Group Inc. and/or GS&Co. in
which they agreed to arbitrate employment-related disputes.
Trading Matters.
On October 4, 2019, GS&Co. entered into a settlement with ICE Futures Europe (ICE) to settle charges alleging that the timing and
nature of GS&Co.'s trading activity in certain ICE commodity contracts on behalf of a client was disruptive, reckless and disorderly. Under this
settlement, GS&Co. paid approximately $150,000 to ICE.
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On November 26, 2019, GS&Co. entered into a consent order with the CFTC to settle charges that, during a
number of days in January
and February 2014, GS&Co. failed to make and keep certain recordings of oral communications as required under CFTC regulations for swap
dealers. Under this consent order, GS&Co. paid $1 million to the CFTC and agreed to cease and desist from violating certain regulations under
the Commodities Exchange Act.
Included by the Sponsor from the NFA website and not provided by GS&Co.
Pursuant to an offer of settlement in which Goldman Sachs & Co. LLC ("Goldman") neither admitted nor denied the rule violations or
factual findings upon which the penalty is based, on November 25, 2019, a Panel of the Chicago Board of Trade Business Conduct Committee
("Panel") found that on July 9, 2018, Goldman executed an Exchange for Related Position ("EFRP") package in the Ten -Year Treasury Note
futures and options markets where the related position components of the Exchange for Risk ("EFR") transaction did not have a reasonable
degree of price correlation and did not have opposing market bias to the Exchange component. Further, the related component of the Exchange
of Option for Option ("EOO") transaction was not reasonably equivalent to the Exchange component. The EFRP package was therefore
non-bona fide. GSC was fined $15,000, effective November 27. 2019
Pursuant to an offer of settlement in which GSC admitted nor denied the rule violation upon which the penalty is based, on June 15, 2020,
a Panel of the CBOT Business Conduct Committee ("Panel") found that from September 11, 2019, through September 13, 2019, a customer of
Goldman carried positions at more than one clearing member firm. Two reportable accounts controlled by the customer held a combined net
futures equivalent long position of 8,015 DEC19 Soybean Oil futures, 15 (0.19%) contracts over the single month position limit and held that
position on an end-of-day and intraday basis. Goldman, a clearing member, received notification of the overage from the Market Regulation
Department on September 12, 2019 (and again on September 13 and 16). Despite this notice, Goldman failed to liquidate its pro-rata share of the
customer's position in excess of limits or otherwise ensure that its customer was in compliance with the limits within a reasonable period of
time. The Panel concluded that Goldman thereby violated CBOT Rule 562. In accordance with the settlement offer, the Panel ordered Goldman
to pay a fine in the amount of $15,000, effective June 17, 2020.
GSC was issued a summary fine in the amount of $10,000 for violating Exchange Rule 6.15(a) by falling to accurately report large trader
positions, effective May 27, 2020.
The U.S. Commodity Futures Trading Commission issued on November 26, 2019, an order filing and simultaneously settling charges
against GSC for failing to make and keep certain audio recordings as required under CFTC regulations for swap dealers. The order requires
Goldman to pay a $1,000,000 civil monetary penalty and to cease and desist from further violations of Commission regulations, as charged. The
order also finds that Goldman's failure impeded an unrelated investigation conducted by the Division of Enforcement (Division).
"Registrants must comply with the Commission's recordkeeping requirements, as with
all other applicable laws," said CFTC
Enforcement Director James McDonald. "When they do not, we are committed to holding them accountable. This action
reinforces the critical
importance of recordkeeping requirements to the CFTC's enforcement mission." The order finds that Goldman, to comply with its
recordkeeping obligations as a swap dealer, began using recording hardware to record the phone lines of trading and sales desks in March 2013.
In January 2014, after the installation of a software security patch in one of Goldman's offices, the recording hardware in that office restarted
prematurely and, as a result, failed to record audio. Goldman was unaware of the error for approximately three weeks, until it conducted an
unrelated spot-check of the affected office's recording system, at which point Goldman identified the failure and re-engaged the recording
system.  The Division subsequently opened an unrelated investigation that concerned the affected office and requested that Goldman produce
certain audio recordings for dates within the period of the recording failure. Because of the recording failure, Goldman was unable to produce a
significant number of the requested recordings. The Division only learned of Goldman's failure to keep and maintain the recordings when
Goldman informed the Division it was unable to produce them in the context of the Division's unrelated investigation. Goldman's recordkeeping
failure impeded that investigation, because the Division was unable to obtain the information that should have been captured in the missing
recordings through any other means.
During the month of August 2019, GSC did not provide large trader position adjustments within the prescribed deadline, in violation of
CME Rule 561. On September 13, 2019, pursuant to Rule 512, a fine in the amount of $1,500 was assessed against GSC for its violation of
CME Rule 561, effective October 4, 2019.
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GSC failed to maintain a complete electronic audit trail for certain dates ranging from August 2015 and ending in October 2016. On
September 11, 2019, pursuant to Rule 512, a fine in the amount of $2,000 was assessed against Goldman Sachs & Co. for its violation of CBOT
Rule 536.B.2, effective September 30, 2019.
GSC was issued a summary fine in the amount of $10,000 for violating Rule 2.22 by reporting inaccurate open interest for the September
2019 FCOJ-A futures contract for three dates--August 29, 2019, August 30, 2019 and September 2, 2019. The fine was effective September 25,
2019.
For trade
date June 18, 2019, GSC offset positions in the physically-delivered June 2019 COMEX Silver (SI) futures contract, in violation
of Rule 854. On August 8, 2019, the Rule
512 Committee, pursuant to Rule 512, assessed a fine in the amount of $2,000 against GSC for its
violation of Rule 854, effective August 27, 2019. During the month of May
2019, GSC inaccurately reported long positions eligible for delivery
in the May 2019 Wheat futures contract. On June 14, 2019, the Rule 512 Committee, pursuant to Rule
512, assessed a fine in the amount of
$1,000 against GSC for its violation of Rule 807, effective July 2, 2019.
Pursuant to the results of a back office CTR exam, for trade dates December 11, 2017 through
February 23, 2018, GSC's data entry errors
for sequenced cards, verbal orders, and floor orders exceeded the 10% error level mandated by Rule 536.F. Pursuant to the
Rule 536.F sanction
schedule, GSC was issued a $5,000 fine on April 12, 2018 for its second violation of Rule 536.F. within 24 months, effective April 30,
2018.
On two occasions in January 2018, GSC did not report block trades in a timely
manner to the Exchange. The block trades were executed
in the following products: March 2018 Long Term U.S. Treasury Bond Futures and March 2018 Ultra 10-Year U.S.
Treasury Note Futures. On
April 4, 2018, the Rule 512 committee, pursuant to Rule 512, assessed a fine in the amount of $1,000 against GSC for its violations of CBOT
Rule 526.F, effective April 23, 2018.
During the period of May 1, 2017 through July 31, 2017, GSC violated Rule 576 on multiple occasions by failing to submit accurate Tag
50 IDs on certain order modifications and cancel messages. On November 29, 2017, GSC, pursuant to Rule 512 ("Reporting Infractions"), was
collectively issued a $9,000 fine by the 512 Committee for its violations of Rule 576, as follows: CME $1,000; CBOT $2,000; COMEX $2,000;
NYMEX $4,000, effective December 11, 2017.
The U.S. Commodity Futures Trading Commission (CFTC) issued an Order on December 21, 2016, filing
and settling charges against
The Goldman Sachs Group, Inc., and Goldman, Sachs & Co. (collectively, Goldman or the Bank). The Order finds that, beginning in January
2007 and continuing through March 2012 (the Relevant Period), Goldman attempted, by and through certain of its traders in New York, on
many occasions to manipulate and made false reports concerning the U.S. Dollar International Swaps and Derivatives Association Fix (USD
ISDAFIX), a global benchmark for interest rate products. Goldman's unlawful conduct involved multiple traders, including the head of
Goldman's Interest Rate Products Trading Group in the United States, according to the CFTC Order. The CFTC Order requires Goldman to pay
a $120 million civil monetary penalty, cease and desist from further violations as charged, and take specified remedial steps, including measures
1) to detect and deter trading intended to manipulate swap rates such as USD ISDAFIX, 2) to ensure the integrity and reliability of the Bank's
benchmark submissions, and 3) to improve related internal controls. The Order also requires the current supervisor responsible for oversight of
various United States interest-rate trading desks at Goldman to provide a certification as to, among other things, the effectiveness of the internal
controls and procedures undertaken and implemented by Goldman as a result of this settlement. "This matter, the third enforcement action
relating to the ISDAFIX benchmark, demonstrates the breadth of this kind of misconduct across the industry, and within Goldman, the extent of
the misconduct across trading desks and product lines," commented Aitan Goelman, the CFTC's Director of Enforcement. Mr. Goelman further
commented that "the Division will continue to be vigilant and aggressive in protecting the integrity of the ISDAFIX and other important
benchmarks relied upon by the markets." Goldman, through its traders, bid, offered, and executed transactions in interest rate swap spreads,
U.S. Treasuries, and Eurodollar futures contracts in a manner deliberately designed—in timing, price, and other respects—to influence the
published USD ISDAFIX in order to benefit the Bank in its derivatives positions, according to the Order. In addition, Goldman, through its
employees making the Bank's USD ISDAFIX submissions, also attempted to manipulate and made false reports concerning USD ISDAFIX by
skewing the Bank's submissions in order to benefit the Bank at the expense of its derivatives counterparties and clients.
The Compliance Staff of ICE found that GSC violated Exchange Rule 6.10 by failing to ensure that
the proper CTI codes were affixed to
orders. GSC was fined $2000, effective April 4, 2016.
Included by the Sponsor from the NFA Website and not provided by GS
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CME Case #: 21-0605-CTRA. Pursuant to the results of a back office CTR audit, on December 2, 2020 through
January 29, 2021,
Goldman Sachs & Co. LLC was found to be in violation of data entry errors for sequenced cards, verbal orders, and floor orders exceeded the
10% error level mandated by Rule 536.F. Action Types: Floor Recordkeeping. Pursuant to the Rule 536.F sanction schedule, Goldman Sachs &
Co. LLC was issued a $2,500 fine on May 19, 2021 for its first violation of Rule 536.F. within 24 months. Effective Date: 05/21/2021
CME Case #: RSRH-21-6265. During the month of June 2021, Goldman, Sachs & Co. LLC,
inaccurately reported its large trader
positions in several instances of CME contracts, in violation of Rule 561. Action Types: Office Recordkeeping. On July 13, 2021,
pursuant to
Rule 512, a fine in the amount of $1,500 was assessed against Goldman, Sachs & Co. LLC for its violation of Rule 561. Effective Date:
07/30/2021
NYME
Case #: RSRH-21-6304. During the month of July 2021, Goldman Sachs & Co. LLC inaccurately reported its open interest in
August 2021 NYMEX Crude Oil Futures contracts
in violation of Rule 854. Action Type(s): Office Recordkeeping. On August 10, 2021,
pursuant to Rule 512, a fine in the amount of $2,500 was assessed against Goldman Sachs
& Co. LLC for its violation of Rule 854. Effective
Date: 08/26/2021
Goldman Sachs International ("GSI")
Goldman Sachs International is a subsidiary of The Goldman Sachs Group, Inc.
("Group, Inc."). From time to time, Group, Inc. (and its
subsidiaries, including Goldman Sachs International), its officers and employees are involved in
proceedings and receive inquiries, subpoenas
and notices of investigation relating to various aspects of its business some of which result in sanction. Details are set out
in Goldman Sachs
International's entry on the FCA/PRA Financial Services Register (https://register.fca.org.uk/ShPo_HomePage), Goldman Sachs International's
financial statements and Group Inc.'s various regulatory filings under applicable laws and regulations, Forms 10-K and 10-Q and periodic
filings pursuant to the U.S. Securities Exchange Act of 1934 (http://www.goldmansachs.com/investor-relations/financials/). Goldman Sachs
International is registered in the US with National Futures Association (NFA) as a provisionally registered Swap Dealer.
The disclosures below are extracts from Group Inc's financial statements dating back five
years available on the GS website:
The firm is involved in a number of judicial,
regulatory and arbitration proceedings (including those described below) concerning matters
arising in connection with the conduct of the firm's businesses. Many of
these proceedings are in early stages, and many of these cases seek an
indeterminate amount of damages.
Malaysia Development Berhad (1MDB)-Related Matters
The firm has received subpoenas and requests for documents and information from various governmental and regulatory bodies and
self-regulatory organizations as part of investigations and reviews relating to financing transactions and other matters involving 1MDB, a
sovereign wealth fund in Malaysia. Subsidiaries of the firm acted as arrangers or purchasers of approximately $6.5 billion of debt securities of
1MDB. On November 1, 2018, the U.S. Department of Justice (DOJ) unsealed a criminal information and guilty plea by Tim Leissner, a former
participating managing director of the firm, and an indictment against Ng Chong Hwa, a former managing director of the firm, and Low Taek
Jho. Leissner pleaded guilty to a two-count criminal information charging him with conspiring to launder money and conspiring to violate the
U.S. Foreign Corrupt Practices Act's (FCPA) anti-bribery and internal accounting controls provisions. Low and Ng were charged in a
three-count indictment with conspiring to launder money and conspiring to violate the FCPA's anti-bribery provisions. On August 28, 2018,
Leissner's guilty plea was accepted by the U.S. District Court for the Eastern District of New York and Leissner was adjudicated guilty on both
counts. Ng was also charged in this indictment with conspiring to violate the FCPA's internal accounting controls provisions. The charging
documents state, among other things, that Leissner and Ng participated in a conspiracy to misappropriate proceeds of the 1MDB offerings for
themselves and to pay bribes to various government officials to obtain and retain 1MDB business for the firm. The plea and charging documents
indicate that Leissner and Ng knowingly and willfully circumvented the firm's system of internal accounting controls, in part by repeatedly
lying to control personnel and internal committees that reviewed these offerings. The indictment of Ng and Low alleges that the firm's system of
internal accounting controls could be easily circumvented and that the firm's business culture, particularly in Southeast Asia, at times prioritized
consummation of deals ahead of the proper operation of its compliance functions. On May 6, 2019, Ng pleaded not guilty to the DOJ's criminal
charges. On February 4, 2020, the FRB disclosed that Andrea Vella, a former participating managing director whom the DOJ had previously
referred to as an unindicted co-conspirator, had agreed, without admitting or denying the FRB's allegations, to a consent order that prohibited
him from participating in the banking industry. No other penalties were imposed by the consent order. On December 17, 2018, the Attorney
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General of Malaysia filed criminal charges in Malaysia
against Goldman Sachs International (GSI), as the arranger of three offerings of debt
securities of 1MDB, aggregating approximately $6.5 billion in principal amount, for
alleged disclosure deficiencies in the offering documents
relating to, among other things, the use of proceeds for the debt securities, as well as against Goldman Sachs
(Asia) LLC (GS Asia) and
Goldman Sachs (Singapore) PTE (GS Singapore). Criminal charges have also been filed against Leissner, Low, Ng and Jasmine Loo Ai Swan.
In a related press release, the Attorney General of Malaysia indicated that prosecutors in Malaysia will seek criminal fines against the accused in
excess of $2.7 billion plus the $600 million of fees received in connection with the debt offerings. On August 9, 2019, the Attorney General of
Malaysia announced that criminal charges had also been filed against seventeen current and former directors of GSI, GS Asia and GS Singapore.
The Malaysia Securities Commission issued notices to show cause against Goldman Sachs (Malaysia) Sdn Bhd (GS Malaysia) in December
2018 and March 2019 that (i) allege possible violations of Malaysian securities laws and (ii) indicate that the Malaysia Securities Commission is
considering whether to revoke GS Malaysia's license to conduct corporate finance and fund management activities in Malaysia. The firm has
received multiple demands, beginning in November 2018, from alleged shareholders under Section 220 of the Delaware General Corporation
Law for books and records relating to, among other things, the firm's involvement with 1MDB and the firm's compliance procedures. On
December 13, 2019, an alleged shareholder filed a lawsuit in the Court of Chancery of the State of Delaware seeking books and records relating
to, among other things, the firm's involvement with 1MDB and the firm's compliance procedures. On February 19, 2019, a purported
shareholder derivative action relating to 1MDB was filed in the U.S. District Court for the Southern District of New York against Group Inc. and
the directors at the time and a former chairman and chief executive officer of the firm. The amended complaint filed on July 12, 2019, which
seeks unspecified damages, disgorgement and injunctive relief, alleges breaches of fiduciary duties, including in connection with alleged insider
trading by certain current and former directors, unjust enrichment and violations of the anti-fraud provisions of the Exchange Act, including in
connection with Group Inc.'s common stock repurchases and solicitation of proxies. Defendants moved to dismiss this action on September 12,
2019. Beginning in March 2019, the firm has also received demands from alleged shareholders to investigate and pursue claims against certain
current and former directors and executive officers based on their oversight and public disclosures regarding 1MDB and related internal
controls. On November 21, 2018, a summons with notice was filed in New York Supreme Court, County of New York, by International
Petroleum Investment Company, which guaranteed certain debt securities issued by 1MDB, and its subsidiary Aabar Investments PJS. The
summons with notice makes unspecified claims relating to 1MDB and seeks unspecified compensatory and punitive damages and other relief
against Group Inc., GSI, GS Asia, GS Singapore, GS Malaysia, Leissner, Ng, and Vella, as well as individuals (who are not current or former
employees of the firm) previously associated with the plaintiffs. On December 20, 2018, a putative securities class action lawsuit was filed in the
U.S. District Court for the Southern District of New York against Group Inc. and certain former officers of the firm alleging violations of the
anti-fraud provisions of the Exchange Act with respect to Group Inc.'s disclosures concerning 1MDB and seeking unspecified damages. The
plaintiffs filed the second amended complaint on October 28, 2019, which the defendants moved to dismiss on January 9, 2020. The firm is
cooperating with the DOJ and all other governmental and regulatory investigations relating to 1MDB. The firm is also engaged in discussions
with certain governmental and regulatory authorities with respect to potential resolution of their investigations and proceedings. There can be no
assurance that the discussions will lead to resolution of any of those matters. Any such resolution, as well as proceedings by the DOJ or other
governmental or regulatory authorities, could result in the imposition of significant fines, penalties and other sanctions against the firm,
including restrictions on the firm's activities.
Interest Rate Swap Antitrust Litigation
Group Inc., GS&Co., GSI, GS Bank USA and Goldman Sachs Financial Markets, L.P. (GSFM) are among the defendants named in a
putative antitrust class action relating to the trading of interest rate swaps, filed in November 2015 and consolidated in the U.S. District Court for
the Southern District of New York. The same Goldman Sachs entities also are among the defendants named in two antitrust actions relating to
the trading of interest rate swaps, commenced in April 2016 and June 2018, respectively, in the U.S. District Court for the Southern District of
New York by three operators of swap execution facilities and certain of their affiliates. These actions have been consolidated for pretrial
proceedings. The complaints generally assert claims under federal antitrust law and state common law in connection with an alleged conspiracy
among the defendants to preclude exchange trading of interest rate swaps. The complaints in the individual actions also assert claims under state
antitrust law. The complaints seek declaratory and injunctive relief, as well as treble damages in an unspecified amount. Defendants moved to
dismiss the class and the first individual action and the district court dismissed the state common law claims asserted by the plaintiffs in the first
individual action and otherwise limited the state common law claim in the putative class action and the antitrust claims in both actions to the
period from 2013 to 2016. On November 20, 2018, the court granted in part and denied in part the defendants' motion to dismiss the second
individual action, dismissing the state common law claims for unjust enrichment and tortious interference, but denying dismissal of the federal
and state antitrust claims. On March 13, 2019, the court denied the plaintiffs' motion in the putative class action to amend their complaint to add
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allegations related to 2008-2012 conduct, but granted
the motion to add limited allegations from 2013-2016, which the plaintiffs added in a
fourth consolidated amended complaint filed on March 22, 2019. The plaintiffs in the
putative class action moved for class certification on
March 7, 2019.
Commodities-Related Litigation
GSI is among the defendants named in putative class actions relating to trading in platinum and palladium, filed beginning on
November 25, 2014 and most recently amended on May 15, 2017, in the U.S. District Court for the Southern District of New York. The
amended complaint generally alleges that the defendants violated federal antitrust laws and the Commodity Exchange Act in connection with an
alleged conspiracy to manipulate a benchmark for physical platinum and palladium prices and seek declaratory and injunctive relief, as well as
treble damages in an unspecified amount. Defendants moved to dismiss the third consolidated amended complaint on July 21, 2017. GS&Co.,
GSI, J. Aron & Company and Metro, a previously consolidated subsidiary of Group Inc. that was sold in the fourth quarter of 2014, are among
the defendants in a number of putative class and individual actions filed beginning on August 1, 2013 and consolidated in the U.S. District Court
for the Southern District of New York. The complaints generally allege violations of federal antitrust laws and state laws in connection with the
storage of aluminum and aluminum trading. The complaints seek declaratory, injunctive and other equitable relief, as well as unspecified
monetary damages, including treble damages. In December 2016, the district court granted defendants' motions to dismiss as to all remaining
claims. Certain plaintiffs subsequently appealed in December 2016. On August 27, 2019, the Second Circuit vacated the district court's
dismissals and remanded the case to district court for further proceedings.
Included by the Sponsor from the NFA Website and not provided by Goldman Sachs International:
TRS Case #17-001 (May 26, 2017) – Failure to report a canceled or amended transaction.
513-Cancelled trades and amended trade
information. Fine of $1,000.
BLB Case #161 (August 12, 2016) – For trade date June 2, 2016, Goldman Sachs International did not notify nor receive prior approval to
offset an error trade as required under BSEF Rule 516. Fine of $1,250.
For trade date March 13, 2020, GSI failed to report two Block Trades to BSEF within 10 minutes after the Participants agreed to and
executed the terms of each Block Trade as required under BSEF Rule 531.A(d). Summary Notice of Fine ($1250), effective November 11, 2020.
Margin Levels Expected to be Held at the FCMs
While the portfolio composition may vary over time, it is not expected that, as of any daily rebalance, the Matching Fund and the Short
Fund will ever have futures exposure greater than one times (1x) such Fund's assets or that the Ultra Funds or UltraShort Funds will ever have
futures exposure greater than two times (2x) such Fund's assets (although this is possible in some circumstances, such as during periods of
market volatility or in situations where margin requirements are high). It currently is anticipated that each Fund could have as much as 100% of
its assets held in segregated accounts as collateral for its transactions in futures contracts and other Financial Instruments.
The Funds receive the income on any securities or other property of the Funds transferred to the
FCMs to fulfill requirements for margin
to be held by the FCMs in respect of commodity interests, and receive a negotiated portion of any income derived by the FCMs in
respect of any
cash transferred to the FCMs and held for this purpose.
SWAP COUNTERPARTIES
The Funds intend to use Citibank, N.A. ("Citi"), Société Générale ("SG"), UBS AG ("UBS"), Royal Bank of Canada
("RBC"), Goldman
Sachs International ("GSI"), and Morgan Stanley & Co. International PLC ("Morgan Stanley") as counterparties to
swap agreements that are not
cleared on an exchange. Goldman Sachs & Co. ("GS&Co.") may in the future act as a swap counterparty to the Funds. Each
such entity may act
as a counterparty for many other funds and individuals.
Investors should be advised that none of Citi, SG, UBS, RBC, GS&Co. (to the extent that it acts as a swap agreement counterparty in the
future) GSI or Morgan Stanley is affiliated with or acts as a supervisor of the Funds or the Funds' commodity pool operators, commodity trading
advisors, investment managers, trustees, general partners, administrators, transfer agents, registrars or organizers, as applicable. Additionally,
none of Citi, SG, UBS, RBC, GS&Co. (to the extent that it acts as a swap agreement counterparty in the future) GSI or Morgan Stanley, in its
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capacity as swap counterparty, is acting as an
underwriter or sponsor of the offering of any Shares or interests in the Funds or has passed upon
the merits of participating in this offering.
None of Citi, SG, UBS, RBC, GS&Co. (to the extent that it acts as a swap agreement
counterparty in the future) GSI or Morgan Stanley
has passed upon the adequacy of this Prospectus or on the accuracy of the information contained herein. Additionally,
none of Citi, SG, UBS,
RBC, GS&Co. (to the extent that it acts as a swap agreement counterparty in the future) GSI or Morgan Stanley provides any commodity trading
advice regarding the Funds' trading activities. Investors should not rely upon Citi, SG, UBS, RBC, GS&Co. (to the extent that it acts as a swap
agreement counterparty in the future) GSI or Morgan Stanley in deciding whether to invest in the Funds or retain their interests in the Funds.
Investors should also note that the Funds may select additional swap counterparties or replace Citi and/or SG and/or UBS and/or RBC and/or
GS& Co. (to the extent that it acts as a swap agreement counterparty in the future) and/or GSI and/or Morgan Stanley as the Funds'
swap counterparty.
Litigation and Regulatory Disclosure Relating to Swap Counterparties
Citibank, N.A.
Citibank, N.A. ("Citi" or "Citibank") is acting as a swap dealer for ProShares Trust II. Citi is registered in the US with National Futures
Association (NFA) as a registered Swap Dealer. Citi is and has been a defendant in numerous legal proceedings, including actions brought by
regulatory organizations and government agencies, relating to its derivatives, securities and commodities business that allege various violations
of federal and state securities laws. Citigroup, Inc. ("Citigroup") files annual reports and quarterly reports in which it discloses material
information about Citigroup matters, including information about any material litigation or regulatory investigation. Full details on the items
noted below can be found here: http://www.citigroup.com/citi/investor/sec.htm. This disclosure does not include any matters initiated against
Citibank during or after the fourth quarter of 2020. For active matters initiated prior to the fourth quarter of 2020, updates were based on the
matters' public U.S. state or federal court dockets.
Commodities Financing Contracts
Beginning in May 2014, Citigroup became aware of reports of potential fraud relating to the financing of physical metal stored at the
Qingdao and Penglai ports in China. Citibank and Citigroup Global Markets Limited ("CGML") had financing contracts with Mercuria Energy
Trading Pte. Ltd collateralized by physical metal stored at these ports, with the agreements providing that Mercuria would repurchase the
inventory at a specified date in the future.
On July 22, 2014, Citibank and CGML commenced proceedings in the High Court in London to enforce their rights under the relevant
agreements in relation to approximately $285 million in financing. That counterparty and a Chinese warehouse provider previously brought
actions in the English courts to establish the parties' rights and obligations under these agreements.
In December 2016, the Citigroup affiliates reached a resolution on this matter with Mercuria, and
subsequently took steps to withdraw the
proceedings in London, as well as related initiatives in Chinese courts. Additional information concerning this action is publicly
available in
court filings under the claim reference: Mercuria Energy Trading PTE Ltd & Another Citibank & Another, Claim No. 2014 Folio 709, Appeal
Nos. 2015/2407 (Citigroup) and 2015/2395 (Mercuria).
Credit Crisis-Related Litigation and Other Matters
Mortgage-Backed Securities Trustee Actions:
In 2014, investors in 27 residential MBS trusts for which Citibank served or currently serves as trustee filed an action in the United States
District Court for the Southern District of New York, captioned FIXED INCOME SHARES: SERIES M ET AL. v. CITIBANK N.A., alleging
claims that Citibank failed to pursue contractual remedies against securitization sponsors and servicers. Subsequently, all claims were dismissed
as to 26 of the 27 trusts. On March 22, 2018, the court granted Citibank's motion for summary judgment and denied plaintiffs' motions for
partial summary judgment and class certification, which plaintiffs appealed. On June 7, 2019, plaintiffs withdrew their appeal and the case was
dismissed. Additional information concerning this action is publicly available in court filings under the docket number 14-cv-9373 (S.D.N.Y.)
(Furman, J.) and 18-1196 (2d Cir.)
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On November 24, 2015, largely the same group of investors filed another action in the New York State Supreme Court, captioned FIXED
INCOME SHARES: SERIES M, ET AL. v. CITIBANK N.A., related to 24 of the trusts dismissed from the federal court action and one
additional trust, asserting claims similar to the original complaint filed in federal court. In 2017, the court granted in part and denied in part
Citibank's motion to dismiss plaintiffs' amended complaint. Citibank appealed as to the sustained claims, and on January 16, 2018, the New
York State appeals court dismissed all of the remaining claims except the claim for breach of contract related to purported discovery of alleged
underwriter breaches of representations and warranties. On June 7, 2019, plaintiffs filed an unopposed motion to discontinue the action. On
September 24, 2019, the parties filed a stipulation discontinuing the action and the case was dismissed. Additional information concerning this
action is publicly available in court filings under the docket number 653891/2015 (N.Y. Sup. Ct.) (Borrok, J.).
In 2015, the Federal Deposit Insurance Corporation (FDIC), as receiver for a financial
institution, filed a civil action against Citibank in
the United States District Court for the Southern District of New York, captioned FEDERAL DEPOSIT INSURANCE
CORPORATION AS
RECEIVER FOR GUARANTY BANK v. CITIBANK N.A. The complaint concerns one RMBS trust for which Citibank formerly served as
trustee, and alleges that Citibank failed to pursue contractual remedies against the sponsor and servicers of that trust. After the court granted
Citibank's motion to dismiss on grounds that the FDIC lacked standing to pursue its claims, the FDIC filed an amended complaint. In 2018,
Citibank filed a motion to dismiss the amended complaint. On March 20, 2019, the court granted Citibank's motion to dismiss the FDIC's
amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 15-cv-6574
(S.D.N.Y.) (Carter, J.).
Lehman Brothers Bankruptcy Proceedings
On February 8, 2012, Citibank and certain Citigroup affiliates were named as defendants in an adversary proceeding asserting objections
to proofs of claim totaling approximately $2.6 billion filed by Citibank and those affiliates, and claims under federal bankruptcy and state law to
recover $2 billion deposited by Lehman Brothers Holdings Inc. (LBHI) with Citibank against which Citibank asserts a right of setoff. A global
settlement between the parties was approved by the bankruptcy court on October 13, 2017. As part of the global settlement, Citibank retained
$350 million from LBHI's deposit at Citibank and returned to LBHI and its affiliates the remaining deposited funds, and LBHI withdrew its
remaining objections to the bankruptcy claims filed by Citibank and its affiliates. This action was dismissed by stipulation on November 3,
2017. Additional information concerning this action is publicly available in court filings under the docket numbers 12-01044 and 08-13555
(Bankr. S.D.N.Y.) (Chapman, J.).
On July 21, 2014, an adversary proceeding was filed on behalf of Lehman Brothers Finance AG against Citibank, Citibank Korea Inc. and
CGML asserting that defendants improperly have withheld termination payments under certain derivatives contracts. An amended complaint
was filed on August 6, 2014, and defendants filed an answer on October 6, 2014. On July 1, 2016, the bankruptcy court entered an order
approving a settlement between the parties. A stipulation of dismissal with prejudice was filed on July 26, 2016. Additional information
concerning this action is publicly available in court filings under the docket numbers 14-02050 and 09-10583 (Bankr. S.D.N.Y.) (Chapman, J.).
Terra Firma Litigation
In December 2009, the general partners of two related private equity funds filed a complaint in
New York state court, subsequently
removed to the United States District Court for the Southern District of New York, asserting multi-billion dollar claims against
Citigroup and
certain of its affiliates arising out of the May 2007 auction of the music company, EMI, in which Citigroup affiliates acted as advisor to EMI and
as a lender to plaintiffs' acquisition vehicle. Following a jury trial, a verdict was returned in favor of Citigroup on November 4, 2010. Plaintiffs
appealed from the entry of the judgment. On May 31, 2013, the United States Court of Appeals for the Second Circuit vacated the November
2010 jury verdict in favor of the defendants and ordered that the case be retried. On March 7, 2014, the parties stipulated to the dismissal of all
remaining claims in the action, without prejudice to plaintiffs' rights to re-file those claims in England.
Additional information concerning this action is publicly available in court filings under the
docket numbers 09 Civ. 10459 (S.D.N.Y.)
(Rakoff, J.) and 11-0126-cv (2d Cir.). In August and September 2013, plaintiffs in the New York proceedings, together with their
affiliates and
principal, filed claims against CGML, Citibank and Citigroup arising out of the EMI auction in the High Court of Justice, Queen's Bench
Division and Manchester District Registry Mercantile Court in Manchester, England. The cases have since been transferred to the High Court of
Justice, Queen's Bench Division, Commercial Court in London. On March 7, 2014, the parties to the separate proceedings filed by Terra Firma
in 2013 before the High Court of Justice, Queen's Bench Division, consented to the service by plaintiffs of an amended complaint incorporating
the claims that would have proceeded to trial in the United States District Court for the Southern District of New York in July 2014, had the
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New York action not been dismissed. On June 15, 2016, by
consent of the parties, the English High Court of Justice dismissed Terra Firma's
lawsuit against CGML, Citibank and Citigroup with prejudice and ordered Terra Firma
to pay the Citigroup defendants' costs associated with
defending the lawsuit. Additional information concerning this action is publicly available in court filings
under the claim reference Terra Firma
Investments (GP) 2 Ltd. & Ors v Citigroup Global Markets Ltd. & Ors (CL-2013-000293).
Credit Default Swaps Matters
Putative class action complaints were filed by various entities against Citigroup, CGMI and
Citibank, among other defendants, alleging
anticompetitive conduct in the credit default swap (CDS) industry and asserting various claims under Sections 1 and 2 of the
Sherman Act as
well as a state law claim for unjust enrichment. On October 16, 2013, the U.S. Judicial Panel on Multidistrict Litigation centralized these
putative class actions in the Southern District of New York for coordinated or consolidated pretrial proceedings before Judge Denise Cote. On
September 4, 2014, the United States District Court for the Southern District of New York granted in part and denied in part defendants' motion
to dismiss the second consolidated amended complaint, dismissing plaintiffs' claim for violation of Section 2 of the Sherman Act and certain
claims for damages, but permitting the case to proceed as to plaintiffs' claims for violation of Section 1 of the Sherman Act and unjust
enrichment. On September 30, 2015, the defendants, including Citigroup, Citibank, and related parties, entered into settlement agreements to
settle all claims of the putative class, and on October 29, 2015 and April 16, 2016, the court granted plaintiffs' motion for preliminary approval
and final approval of the proposed settlements, respectively. Additional information relating to this action is publicly available in court filings
under the docket number 13 MD 2476 (S.D.N.Y.) (Cote, J.).
On June 8, 2017, a complaint was filed in the United States District Court for the Southern District of New York against numerous CDS
market participants, including Citigroup, Citibank, CGMI, and Citigroup Global Markets Ltd. (CGML), under the caption TERA GROUP, INC.,
ET AL. v. CITIGROUP INC., ET AL. The complaint alleges that defendants colluded to prevent plaintiffs' electronic CDS trading platform,
TeraExchange, from entering the market, resulting in lost profits to plaintiffs. The complaint asserts federal and state antitrust claims, and claims
for unjust enrichment and tortious interference with business relations. Plaintiffs seek a finding of joint and several liability, treble damages,
attorneys' fees, interest, and injunctive relief. On September 11, 2017, defendants, including Citigroup, Citibank, CGMI, and CGML, filed
motions to dismiss all claims. On July 30, 2019, the court granted in part and denied in part defendants' motion to dismiss. On January 30, 2020,
plaintiffs filed an amended complaint. On March 30, 2020, the Court issued an order granting defendants leave to file a motion to dismiss.
Defendants filed a motion to dismiss on April 2, 2020 and the motion was fully briefed on May 15, 2020. Additional information concerning this
action is publicly available in court filings under the docket number 17-cv-04302 (S.D.N.Y.) (Sullivan, J.).
Depositary Receipts Conversion Litigation
Regulatory Actions: On November 7, 2018, the SEC entered an order accepting an offer of
settlement from Citibank concerning the
SEC's investigation into activity relating to pre-released American Depositary Receipts from 2011 to 2015. While neither
admitting nor denying
the SEC's allegations, Citibank agreed to a violation under Section 17(a)(3) of the Securities Act, as well as disgorgement of $20,903,858.25
and pre-judgment interest of $4,258,893.71 plus a civil money penalty of $13,587,507.86 for a total of $38,750,259.82.
Other Litigation: In 2015, Citibank was sued by a purported class of persons or entities who,
from January 2000 to the present, are or
were holders of depositary receipts for which Citibank served as the depositary bank and converted, or caused to be converted,
foreign currency
dividends or other distributions into U.S. dollars. On March 23, 2018, the court granted in part and denied in part plaintiffs' motion for class
certification, certifying only a class of holders of Citi-sponsored American depositary receipts that plaintiffs own. On September 6, 2018, the
court granted preliminary approval of a class action settlement. On July 12, 2019, the court granted final approval. Additional information
concerning this action is publicly available in court filings under the docket number 15 Civ. 9185 (S.D.N.Y.) (McMahon, C.).
Foreign Exchange Matters
Regulatory Actions: Government and regulatory agencies in the U.S. and in other jurisdictions are
conducting investigations or making
inquiries regarding Citigroup's foreign exchange business. Citigroup is fully cooperating with these and related investigations
and inquiries.
In 2017, the Competition Commission of South Africa confirmed a
Consent Agreement with Citibank resolving allegations that between
September 2007 and October 2013, Citibank and its affiliates engaged with non-Citi market participants
in certain collusive conduct with
regards to trading in FX involving the South African Rand (ZAR) in violation of South African law. A penalty of ZAR 69,500,860 was paid.
This was the equivalent of between US $5M and $5.5M.
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On May 16, 2019, the EC announced a settlement with Citigroup and Citibank resolving its foreign exchange spot
investigation. Citi was
among six banks settling the EC's investigation. As part of the settlement, Citi agreed to pay a fine of 310,776,000 Euro.
On June 6, 2019, the Swiss Competition Commission (COMCO) announced a settlement with Citigroup
for the same conduct covered by
the EC settlement. Citigroup was among six banks settling COMCO's investigation. As part of the settlement, Citigroup agreed to pay a
fine of
28,500,000 CHF.
Antitrust and Other Litigation: Numerous foreign exchange dealers, including Citigroup and Citibank, are named as defendants in
putative class actions that are proceeding on a consolidated basis in the United States District Court for the Southern District of New York under
the caption IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION. The plaintiffs allege that they suffered losses
as a result of the defendants' alleged manipulation of, and collusion with respect to, the foreign exchange market. The plaintiffs allege violations
of the Commodity Exchange Act, the Sherman Act, and/or the Clayton Act, and seek compensatory damages, treble damages and declaratory
and injunctive relief.
On December 15, 2015, the court entered an order preliminarily approving a proposed settlement between the Citi defendants and classes
of plaintiffs who traded foreign exchange instruments in the spot market and on exchanges. The proposed settlement provides for the Citi
defendants to receive a release in exchange for a payment of approximately $400 million. On December 20, 2016, the court approved the notice
of settlements and preliminarily approved the plan of distribution. The court granted final approval on August 6, 2018. Additional information
concerning these actions is publicly available in court filings under the consolidated lead docket number: 13 Civ. 7789 (S.D.N.Y.) (Schofield,
J.).
On June 3,
2015, an action captioned ALLEN v. BANK OF AMERICA CORPORATION, ET AL. was brought in the United States
District Court for the Southern District of New York against
Citigroup, as well as numerous other foreign exchange dealers. The plaintiffs seek
to represent a putative class of participants, beneficiaries, and named fiduciaries of
qualified Employee Retirement Income Security Act
(ERISA) plans for whom a defendant provided foreign exchange transactional services or authorized or permitted foreign
exchange transactional
services involving a plan's assets in connection with its exercise of authority or control regarding an ERISA plan. The plaintiffs allege
violations
of ERISA, and seek compensatory damages, restitution, disgorgement and declaratory and injunctive relief.
On April 6, 2016, the plaintiffs filed a second amended class action complaint against numerous
foreign exchange dealers, including
Citigroup and Citibank. On April 15, 2016, the settling defendants in IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST
LITIGATION moved to enjoin the ALLEN action pending final settlement approval in IN RE FOREIGN EXCHANGE BENCHMARK
RATES ANTITRUST LITIGATION. On June 1, 2016, the court granted the motion in part as to claims based on collusive conduct and directed
plaintiffs to file a separate pleading for claims based exclusively on non-collusive conduct. The plaintiffs filed a third amended complaint on
July 15, 2016.
On
September 20, 2016, the plaintiffs and settling defendants in IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST
LITIGATION filed a joint stipulation dismissing
plaintiffs' claims with prejudice. On October 20, 2016, the ALLEN plaintiffs appealed the
lower court's dismissal of claims against settling defendants in IN
RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST
LITIGATION to the United States Court of
Appeals for the Second Circuit, after having also appealed dismissal as to other defendants. The Second Circuit consolidated the two
appeals and, on July 10, 2018, affirmed dismissal. Additional information concerning this action is publicly available in court filings under the
docket numbers 13 Civ. 7789 (S.D.N.Y.) (Schofield, J.); 15 Civ. 4285 (S.D.N.Y.) (Schofield, J.); 16-3327 (2d Cir.); and 16-3571 (2d Cir.).
On March 10, 2016, Citibank, Citigroup and various other banks were joined as defendants in a pro
se action captioned WAH ET AL. v.
HSBC NORTH AMERICA HOLDINGS INC. ET AL. pending in the United States District Court for the Southern District of New York. The
complaint asserts claims based on alleged FX market collusion in violation of the Sherman Act and Commodity Exchange Act. On March 31,
2016, plaintiffs filed an amended complaint. On April 29, 2016, Citi and the other newly joined defendants joined a previously filed motion to
dismiss or stay the action. On August 11, 2016, the court granted the defendants' motion to dismiss. The plaintiffs' amended complaint dated
June 8, 2017 removed the Citi entities from the action. Additional information concerning this action is publicly available in court filings under
the docket number 15 Civ. 08974 (S.D.N.Y.) (Schofield, J.).
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On September 16, 2015, an action captioned NEGRETE v. CITIBANK, N.A. was filed in the United States District
Court for the
Southern District of New York. Plaintiffs allege that Citibank engaged in conduct in connection with plaintiffs' foreign exchange trading that
caused them losses. Plaintiffs assert claims for fraud, breach of contract, and negligence, and seek compensatory damages, punitive damages and
injunctive relief. On November 17, 2015, Citi filed a motion to dismiss and a motion to stay discovery pending resolution of the motion to
dismiss. On December 7, 2015, the court granted Citi's motion for a stay of discovery. On June 20, 2016, plaintiffs filed an amended complaint.
Citibank moved to dismiss the amended complaint, and plaintiffs cross-moved for partial summary judgment. On February 27, 2017, the court
granted Citibank's motion to dismiss in part without leave to amend, and denied plaintiffs' motion for partial summary judgment. On March 13,
2017, Citibank filed an answer to plaintiffs' amended complaint. On March 21, 2017, plaintiffs moved for entry of final judgment as to the
dismissed claims and requested that litigation of the remaining claim be stayed pending an appeal. On July 11, 2017, the court denied plaintiffs'
motion for entry of final judgment as to the claims dismissed in the court's February 27, 2017 order. On August 18, 2017, the parties stipulated
to voluntary dismissal of plaintiffs' sole remaining claim that was not dismissed in the court's February 27, 2017 order. On September 7, 2017,
plaintiffs filed a notice of appeal to the United States Court of Appeals for the Second Circuit. On January 3, 2019, the Second Circuit affirmed
the district court's judgment. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ.
7250 (S.D.N.Y.) and 17-2783 (2d Cir.).
In 2015, an action captioned NYPL v. JPMORGAN CHASE & CO., ET AL. was brought in the United States District Court for the
Northern District of California (later transferred to the United States District Court for the Southern District of New York) against Citigroup, as
well as numerous other foreign exchange dealers.
Subsequently, plaintiffs filed a third amended class action complaint, naming Citigroup, Citibank, and Citicorp as defendants. Plaintiffs
seek to represent a putative class of "consumers and businesses in the United States who directly purchased supracompetitive foreign currency at
Benchmark exchange rates" from defendants. Plaintiffs allege claims under federal and California antitrust and consumer protection laws, and
are seeking compensatory damages, treble damages, and declaratory and injunctive relief. In January 2019, the plaintiffs renewed a previously
filed motion for leave to amend their complaint, and on July 9, 2019, the court denied that motion. On January 13, 2020, the court issued an
amended case management plan, setting case and pretrial deadlines. On April 30, 2020, plaintiffs filed a motion for class certification. That
motion remains pending as expert discovery continues. Additional information concerning this action is publicly available in court filings under
the docket numbers 15 Civ. 2290 (N.D. Cal.) (Chhabria, J.) and 15 Civ. 9300 (S.D.N.Y.) (Schofield, J.).
On September 26, 2016, investors in exchange-traded funds (ETFs) commenced a suit captioned BAKER ET AL. v. BANK OF
AMERICA CORPORATION ET AL. in the United States District Court for the Southern District of New York against Citigroup, Citibank,
Citicorp and CGMI, as well as various other banks. The complaint asserts claims under the Sherman Act, New York state antitrust law, and
California state antitrust law and unfair competition law, based on alleged foreign exchange market collusion affecting ETF investments. The
plaintiffs seek to certify nationwide, California and New York classes, and request damages and injunctive relief under the relevant statutes,
including treble damages. On January 23, 2017, the defendants moved to dismiss the complaint, and on March 24, 2017, the plaintiffs filed an
amended complaint in lieu of responding to defendants' motion. A stipulation of voluntary dismissal was filed on April 28, 2017. Additional
information concerning this action is publicly available in court filings under the docket number 16 Civ.7512 (S.D.N.Y) (Schofield, J.).
In 2017, certain plaintiffs filed a consolidated amended complaint on behalf of purported classes
of indirect purchasers of foreign
exchange instruments sold by defendants, including Citigroup, Citibank, Citicorp, and CGMI as defendants, captioned CONTANT, ET AL. v.
BANK OF AMERICA CORPORATION, ET AL. Plaintiffs allege that defendants engaged in a conspiracy to fix currency prices in violation of
the Sherman Act and various state antitrust laws. On November 15, 2018, the court denied plaintiffs' motions for preliminary approval of a
proposed class settlement with the Citi defendants. On May 29, 2019, the plaintiffs filed an amended motion for preliminary approval of their
settlement, and the court granted the motion on July 29, 2019. On November 19, 2019, the court stayed settlement deadlines so that settlements
with two additional defendants could be combined with the Citi settlement. Additional information concerning these actions is publicly available
in court filings under the docket numbers 16 Civ. 7512 (S.D.N.Y.) (Schofield, J.), 17 Civ. 4392 (S.D.N.Y.) (Schofield, J.), and 17 Civ. 3139
(S.D.N.Y.) (Schofield, J.).
On July 12, 2017, a putative class action captioned ALPARI (US), LLC v. CITIGROUP INC. & CITIBANK, N.A. was filed in the
United States District Court for the Southern District of New York. Plaintiff asserts claims for breach of contract and unjust enrichment arising
out of alleged cancellation of electronic FX transactions and seeks damages, restitution, injunctive relief, and attorneys' fees. On September 11,
2017, plaintiff filed a notice of dismissal, dismissing its case against Citigroup and Citibank in its entirety without prejudice. The court approved
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the dismissal on September 12, 2017 and ordered the case
closed. Additional information concerning this action is publicly available in court
filings under the docket number 17 Civ. 5269 (S.D.N.Y.).
On November 7, 2018, some of the institutional investors who opted out of an August 2018
settlement with Citi defendants filed a lawsuit
against Citigroup, Citibank, CGMI, and other defendants under the caption ALLIANZ GLOBAL INVESTORS, ET AL. v. BANK OF
AMERICA CORPORATION, ET AL. Plaintiffs allege that defendants manipulated, and colluded to manipulate, the foreign exchange market.
Plaintiffs assert Sherman Act and unjust enrichment claims and seek consequential and punitive damages and other forms of relief. On April 1,
2019, Citigroup, Citibank, CGMI, and other defendants filed a motion to dismiss the amended complaint, and on June 11, 2019, plaintiffs filed a
second amended complaint. On July 25, 2019, defendants moved to dismiss plaintiffs' second amended complaint. On May 28, 2020, the court
granted in part and denied in part defendants' motion ti dismiss the second amended complaint. On July 28, 2020, plaintiffs filed a third
amended complaint, to which the defendants filed answers on September 4, 2020. Additional information concerning this action is publicly
available in court filings under the docket number 18 Civ. 10364 (S.D.N.Y.) (Schofield, J.).
In 2018, two motions for certification of class actions alleging manipulation of foreign exchange markets were filed in the Tel Aviv
Central District Court in Israel against Citigroup and CGMI, and Citibank, respectively. The cases are LANUEL, ET AL. v. BANK OF
AMERICA CORPORATION, ET AL., CA 29013-09-18, and GERTLER, ET AL. v. DEUTSCHE BANK AG, C1A 1657-10-18. On
September 12, 2019, these motions were consolidated into a single proceeding, and an amended motion for certification of a class action was
filed and served on Citibank. On May 26, 2020, the amended motion for certification was served on Citigroup and Citicorp. On August 11,
2020, Citibank moved to dismiss the petition for certification. Additional information concerning this action is publicly available in court filings
under the docket number CA 29013-09-18.
On April 25, 2019, a group of institutional investors served their claim in ALLIANZ GLOBAL INVESTORS GMBH AND OTHERS v.
BARCLAYS BANK PLC AND OTHERS in the High Court in London against Citibank, Citigroup, and other defendants. The claim asserts that
defendants manipulated, and colluded to manipulate, the foreign exchange market and alleges breaches of EU and UK competition law. On
July 31, 2019, defendants responded to plaintiffs' claims, and on September 23, 2019, plaintiffs served their reply. Additional information
concerning this action is publicly available in court filings under the docket number CL-2018-000840.
On May 27, 2019, a putative class action captioned J WISBEY & ASSOCIATES PTY LTD v. UBS AG & ORS was filed in the Federal
Court of Australia against Citibank and other defendants. Plaintiffs allege manipulation of foreign exchange markets in violation of Australian
antitrust laws and seek compensatory damages and declaratory and injunctive relief. On April 30, 2020, plaintiffs filed an application to amend
their pleadings. Additional information concerning this action is publicly available in court filings under the docket number VID567/2019.
On July 29, 2019, an application was made to the U.K.'s Competition Appeal Tribunal,
captioned MICHAEL O'HIGGINS FX CLASS
REPRESENTATIVE LIMITED v. BARCLAYS BANK PLC AND OTHERS, requesting permission to commence collective proceedings
against Citibank, Citigroup, and other defendants. The application seeks compensatory damages for losses alleged to have arisen from the
actions at issue in the European Commission's foreign exchange spot trading infringement decision (European Commission Decision of May 16,
2019 in Case AT.40135-FOREX (Three Way Banana Split) C(2019) 3631 final). Additional information concerning this action is publicly
available in court filings under the docket number 1329/7/7/19.
On December 20, 2019, an application, captioned PHILLIP EVANS v. BARCLAYS BANK PLC AND OTHERS, was made to the
U.K.'s Competition Appeal Tribunal requesting permission to commence collective proceedings against Citibank, Citigroup and other
defendants. The application seeks compensatory damages similar to those in the Michael O'Higgins FX Class Representative Limited
application. Additional information concerning this action is publicly available in court filings under the docket number 1336/7/7/19.
In September 2015, putative class actions captioned BÉLAND v. ROYAL BANK OF CANADA, ET AL.
and STAINES v. ROYAL
BANK OF CANADA, ET AL. were filed in the Quebec Superior Court of Justice and the Ontario Superior Court of Justice, respectively,
against Citigroup, Citibank, and related parties, as well as numerous other foreign exchange (FX) dealers. Plaintiffs allege that defendants
conspired to fix the prices and supply of currency purchased in the FX market, and that this manipulation caused investors to pay inflated rates
for currency and/or to receive deflated rates for currency. Plaintiffs assert claims under the Canadian Competition Act and the Quebec Civil
Code and/or for civil conspiracy, unjust enrichment and waiver of tort. Plaintiffs seek compensatory and punitive damages on behalf of putative
classes of all persons in Quebec or in Canada who entered into an FX instrument or participated in a fund or investment vehicle that entered into
an FX instrument between January 1, 2003 and December 31, 2013. Citigroup, Citibank, and related parties have agreed to settle these actions
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for CAD 21 million. On December 14, 2016, the court
preliminarily approved the settlement. A final approval hearing was scheduled for
April 13, 2017. Additional information concerning these actions is publicly available in
court filings under the docket numbers 200-06-000189-152
(C.S.Q. Quebec) and CV-15-200-06-000189-152 (Ont. S.C.J.).
Interest Rate Swaps Matters
Regulatory Actions: The Commodity Futures Trading Commission (CFTC) is conducting an
investigation into alleged anticompetitive
conduct in the trading and clearing of interest rate swaps (IRS) by investment banks. Citigroup is cooperating with the
investigation.
On September 25, 2017, Citibank and Citigroup Global Markets Ltd.
agreed to a resolution with the CFTC involving for alleged swap
data reporting violations involving Legal Entity Identifier information and related supervision failures
from April 2015 to December 2016. The
CFTC resolution required Citi to pay a $550,000 civil monetary penalty and to comply with certain undertakings to improve its
reporting. The
Order recognized Citi's cooperation with the CFTC's investigation.
Antitrust and Other Litigation: Beginning in November 2015, numerous interest rate swap (IRS) market participants, including Citigroup,
Citibank, CGMI and CGML, were named as defendants in a number of industry- wide putative class actions. These actions have been
consolidated in the United States District Court for the Southern District of New York under the caption IN RE INTEREST RATE SWAPS
ANTITRUST LITIGATION. Plaintiffs in these actions allege that defendants colluded to prevent the development of exchange-like trading for
IRS, thereby causing the putative classes to suffer losses in connection with their IRS transactions. Plaintiffs assert federal antitrust claims and
claims for unjust enrichment. Also consolidated under the same caption are two individual actions filed by swap execution facilities
TeraExchange LLC (TeraExchange) and Javelin LLC (Javelin), asserting federal and state antitrust claims as well as claims for unjust
enrichment and tortious interference with business relations. Plaintiffs in all of these actions seek treble damages, fees, costs and injunctive
relief. On July 28, 2017, the Court partially granted and partially denied defendants' motion to dismiss, leaving Citigroup and ten other
defendants in the case. On June 14, 2018, an additional swap execution facility, trueEX LLC (trueEX), filed an individual complaint, and on
August 28, 2018, the remaining defendants moved to dismiss the trueEX amended complaint. On November 20, 2018, the Court partially
granted and partially denied defendants' motion to dismiss, and on February 20, 2019, putative class plaintiffs moved to certify a class of IRS
purchasers. That motion was fully submitted on January 6, 2020 and remains pending. Additional information concerning these actions is
publicly available in court filings under the docket numbers 18-CV-5361 (S.D.N.Y.) (Oetken, J.) and 16-MD-2704 (S.D.N.Y.) (Oetken, J.).
Interbank Offered Rates-Related Litigation and Other Matters
Regulatory Actions: Government agencies in the U.S., including the Department of Justice, the
CFTC, the SEC, and a consortium of state
attorneys general as well as agencies in other jurisdictions, including the EC, the U.K. Financial Conduct Authority, the Japanese
Financial
Services Agency (JFSA), the Swiss Competition Commission and the Monetary Authority of Singapore, are conducting investigations or
making inquiries regarding submissions made by panel banks to bodies that publish various interbank offered rates and other benchmark rates.
As members of a number of such panels, Citigroup subsidiaries have received requests for information and documents. Citigroup is cooperating
with the investigation and is responding to the requests.
On May 25, 2016, the CFTC ordered Citibank, Citibank Japan Ltd., and CGM Japan Inc. to pay a civil monetary penalty in the amount of
$175 million. The CFTC alleged violative conduct in connection with the London Interbank Offered Rate for Yen and the Euroyen Tokyo
Interbank Offered Rate from the spring of 2008 through August 2010.
On June 13, 2018, Citibank agreed a settlement payment of $100 million with the New York State Attorney General. Of that amount, $95
million would be distributed to counterparties that the New York State Attorney General alleges were harmed by Citibank's LIBOR-related
conduct. Counterparties eligible for payments included states, and their municipalities and agencies, as well as affiliated pension funds and
credit unions, that entered into LIBOR-based transactions with Citibank during the period August 31, 2007 through December 31, 2009.
Antitrust and Other Litigation: Citigroup and Citibank, along with other U.S. Dollar (USD) LIBOR
panel banks, are defendants in a
multi-district litigation (MDL) proceeding before the United States District Court for the Southern District of New York captioned IN RE
LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION (the LIBOR MDL). Plaintiffs, on behalf of different putative
classes and individually, assert claims under the Sherman Act, the Commodities Exchange Act, and state antitrust, unfair competition, and
restraint of trade laws, as well as various common law claims, based on allegations that defendants suppressed or otherwise manipulated USD
LIBOR. Plaintiffs seek compensatory damages, restitution, treble damages where authorized by statute, and injunctive relief.
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On December 5, 2018, a court granted
preliminary approval of a settlement among Citigroup, Citibank and a class of investors who
purchased USD LIBOR debt securities from non-defendant sellers, pursuant to
which the Citi defendants paid $7.025 million. On December 20,
2018, a court granted final approval of a settlement among Citigroup, Citibank and a class of lending
institutions with interests in loans tied to
USD LIBOR, pursuant to which the Citi defendants paid $23 million. On September 5, 2019, the court granted preliminary
approval to the
revised plan of distribution submitted by exchange-based plaintiffs in connection with their settlement with Citigroup, Citibank, and CGMI. The
exchange-based plaintiffs' motion for preliminary approval of the settlement is pending. On August 7, 2019, the court ordered a stipulation of
dismissal of all of Federal National Mortgage Association's claims against Citigroup and Citibank. On March 2, 2020, the court granted
preliminary approval of a settlement among Citigroup, Citibank, CGMI, and a class of purchasers of exchange traded Eurodollar futures and
options. On September 17, 2020, the court granted final approved the settlement. Additional information concerning these actions and related
actions and appeals is publicly available in court filings under the docket numbers 11 MD 2262 (S.D.N.Y.) (Buchwald, J.) and 17-1569 (2d Cir.)
On September 17, 2013, the plaintiff class of indirect purchasers of U.S. debt securities filed
an appeal in the Second Circuit of the
LIBOR MDL's March 29, 2013 and August 23, 2013 orders. Certain plaintiffs filed a separate appeal in the Second Circuit on
September 24,
2013. The Second Circuit dismissed the appeals on October 30, 2013, and denied the plaintiffs' motions to reconsider dismissal on
December 16, 2013. On June 30, 2014, the United States Supreme Court granted the plaintiffs' petition for a writ of certiorari in GELBOIM, ET
AL. v. BANK OF AMERICA CORP., ET AL. with respect to the Second Circuit's dismissal of their appeal. On January 21, 2015, the Supreme
Court ruled that, contrary to the Second Circuit's opinion, the plaintiffs had a right to appeal, and remanded the case to the Second Circuit for
consideration of the plaintiffs' appeal on the merits. Following the remand, plaintiffs-appellants submitted their opening brief on May 20, 2015,
and defendants-appellees submitted their response brief on July 17, 2015. The Second Circuit heard oral argument on November 13, 2015. On
May 23, 2016, the Second Circuit reversed the district court's dismissal of antitrust claims and remanded "efficient enforcer" issues to the
district court. Additional information concerning this action is publicly available in court filings under the docket numbers 13-3565 (2d Cir.),
13-3636 (2d Cir.), and 13-1174 (U.S.).
Citigroup and Citibank, along with other USD LIBOR panel banks, also are named as defendants in an individual action filed in the
United States District Court for the Southern District of New York on February 13, 2013, captioned 7 WEST 57th STREET REALTY CO. v.
CITIGROUP INC., ET AL. Plaintiff alleges that the defendant panel banks manipulated USD LIBOR to keep it artificially high and that this
manipulation affected the value of plaintiffs' OTC municipal bond portfolio in violation of federal and state antitrust laws and federal RICO law.
Plaintiff seeks compensatory damages, treble damages where authorized by statute, and declaratory
relief. On March 31, 2015, the
United States District Court for the Southern District of New York dismissed this action. On June 1, 2015, plaintiff moved for leave to file
a
second amended complaint. Briefing on the motion was complete as of August 10, 2015. On March 20, 2018, the Court denied plaintiff's
motion for leave to amend its complaint, and the plaintiff appealed. On April 30, 2019, the United States Court of Appeals for the Second
Circuit issued a summary order affirming the district court's dismissal of the action. Additional information concerning this action is publicly
available in court filings under the docket number 13 Civ. 981 (Gardephe, J.) and 18-1102 (2d Cir.).
Separately, on April 30, 2012, an action was filed in the United States District Court for the Southern District of New York on behalf of a
putative class of persons and entities who transacted in exchange-traded Euroyen futures and option contracts between June 2006 and September
2010. This action is captioned LAYDON v. MIZUHO BANK LTD. ET AL. The plaintiff filed an amended complaint on November 30, 2012,
naming as defendants banks that are or were members of the panels making submissions used in the calculation of Japanese yen LIBOR and
TIBOR, and certain affiliates of some of those banks, including Citibank, Citigroup, CJL and CGMJ. The complaint alleges that the plaintiffs
were injured as a result of purported manipulation of those reference interest rates, and asserts claims arising under the Commodity Exchange
Act and the Sherman Act and for unjust enrichment. On April 15, 2013, the plaintiff filed a second amended complaint alleging that defendants,
including Citigroup, Citibank, CJL and CGMJ, manipulated Japanese yen LIBOR and TIBOR in violation of the Commodity Exchange Act and
the Sherman Act. The second amended complaint asserts claims under these acts and for unjust enrichment on behalf of a putative class of
persons and entities that engaged in U.S.-based transactions in Euroyen TIBOR futures contracts between January 2006 and December 2010.
Plaintiffs seek compensatory damages, treble damages under the Sherman Act, restitution, and declaratory and injunctive relief. The defendants
moved to dismiss the second amended complaint, and briefing on the motions to dismiss was completed on October 16, 2013. On March 28,
2014, Judge George B. Daniels of the United States District Court for the Southern District of New York issued an opinion and order dismissing
plaintiff's federal antitrust and unjust enrichment claims in their entirety, but allowing plaintiff's Commodity Exchange Act claims to proceed.
On July 24, 2015, a putative class action captioned SONTERRA CAPITAL MASTER FUND, LTD. v. UBS AG was brought in the
United States District Court for the Southern District of New York against Citigroup, Citibank, and related parties, as well as other bank
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defendants, and was designated as related to LAYDON v.
MIZUHO BANK LTD. ET AL. The complaint alleged manipulation of Yen LIBOR,
Euroyen TIBOR, and the prices of Euroyen-based derivatives. The plaintiff asserts claims under the
Sherman Act, the Commodity Exchange
Act, and the Racketeer Influenced and Corrupt Organizations (RICO) Act and for unjust enrichment, and seeks compensatory damages,
treble
damages where authorized by statute, injunctive relief, and/or disgorgement. On April 7, 2016 and June 22, 2016, the court preliminary
approved a proposed class action settlement with defendants, including the Citi defendants, concerning the remaining claims in both actions.
The court issued a final approval order on November 10, 2016. Additional information concerning
this action is publicly available in
court filings under the docket number 12-cv-3419 (S.D.N.Y.) and 15-cv-05844 (S.D.N.Y.) (Daniels, J.).
In 2015, plaintiffs in the class action SULLIVAN v. BARCLAYS PLC, ET AL. pending in the United
States District Court for the
Southern District of New York filed a fourth amended complaint naming Citigroup, Citibank, and various other banks as defendants. Plaintiffs
claim to have suffered losses as a result of purported EURIBOR manipulation and assert claims under the Commodity Exchange Act, the
Sherman Act, and the federal civil RICO Act and for unjust enrichment. In 2017, the court granted in part and denied in part defendants' motion
to dismiss. On December 19, 2018, the court preliminarily approved a settlement among the Citi and JPMorgan defendants and plaintiffs
pursuant to which the settling defendants collectively agreed to pay a total of $182.5 million. On May 17, 2019, the court granted final approval
of the class settlement between plaintiffs and Citigroup, Citibank, and other settling defendants. Additional information concerning this action is
publicly available in court filings under the docket number 13 Civ. 2811 (S.D.N.Y.) (Castel, J.).
On July 1, 2016, a putative class action captioned FRONTPOINT ASIAN EVENT DRIVEN FUND, LTD. ET AL. v. CITIBANK, N.A.
ET AL. was filed in the United States District Court for the Southern District of New York against Citibank, Citigroup and various other banks.
Plaintiffs assert claims for violation of the Sherman Act, Clayton Act and RICO Act, as well as state law claims for alleged manipulation of the
Singapore Interbank Offered Rate and Singapore Swap Offer Rate. On July 26, 2019, the court dismissed all claims against the non-settling
defendants based on lack of subject-matter jurisdiction. The court also found that the lack of jurisdiction deprived the court of the power to
approve settlements, and thus denied plaintiffs' motion for preliminary approval of their settlement with Citibank. Plaintiffs filed an appeal of
the court's decision on August 26, 2019, and briefing on the motion was complete as of March 3, 2020. Oral argument on the appeal took place
on September 11, 2020. The appeal remains pending. Additional information concerning this action is publicly available in court filings under
the docket number 16 Civ. 5263 (S.D.N.Y.) (Hellerstein, J.) and 19-2719 (2d Cir.).
In 2016, Banque Delubac filed a summons captioned SCS BANQUE DELUBAC & CIE v. CITIGROUP INC. ET AL. against Citigroup,
Citigroup Global Markets Limited (CGML), and Citigroup Europe Plc with the Commercial Court of Aubenas, France, alleging that defendants
suppressed LIBOR submissions between 2005 and 2012, and that Banque Delubac's EURIBOR-linked lending activity was negatively impacted
as a result. Plaintiff is seeking compensatory damages for losses on LIBOR-linked loans to customers and for alleged consequential losses to its
business. On November 6, 2018, the Aubenas Court found that it lacked subject matter jurisdiction and transferred the case to the Commercial
Court of Marseille. Plaintiff appealed, and on March 28, 2019, the Court of Appeal of Nîmes held that neither the Commercial Court of Aubenas
nor the Commercial Court of Marseille has territorial jurisdiction over Banque Delubac's claims. On May 23, 2019, Banque Delubac filed
another appeal before France's Court of Cassation challenging the Court of Appeal of Nîmes's ruling. Additional information concerning this
action is publicly available in court filings under the docket numbers RG no. 2018F02750 in the Commercial Court of Marseille and 19-16.931
in the Court de cassation.
Also in 2016, a complaint was filed against Citigroup, Citibank, and 16 other banks in an action captioned DENNIS, ET AL. v.
JPMORGAN CHASE & CO., ET AL. asserting common law claims, as well as violations of the Sherman Act, the Commodity Exchange Act,
and the Racketeer Influenced and Corrupt Organizations Act. These claims are based on allegations that the banks conspired to manipulate the
Bank Bill Swap Reference Rate. The plaintiffs are seeking injunctive relief, disgorgement, and damages, including treble damages where
applicable. On December 19, 2016, the plaintiffs filed a first amended complaint that removed all Citi entities from the case. Additional
information concerning this action is publicly available in court filings under the docket number 16 Civ. 06496 (S.D.N.Y.) (Kaplan, J.).
On January 15, 2019, a putative class action captioned PUTNAM BANK v. INTERCONTINENTAL EXCHANGE,
INC., ET AL., was
filed in the United States District Court for the Southern District of New York against the Intercontinental Exchange, Inc. (ICE), Citigroup,
Citibank, CGMI, and various other banks. Plaintiff asserts claims for violations of the Sherman Act and Clayton Act and unjust enrichment
based on alleged suppression of the ICE LIBOR and seeks compensatory damages, disgorgement and treble damages where authorized by
statute. On January 31 and on March 4, 2019, two additional putative class actions, which have been consolidated with PUTNAM BANK v.
INTERCONTINENTAL EXCHANGE, INC., ET AL., were filed in the United States District Court for the Southern District of New York
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against ICE, Citigroup, Citibank, CGMI, and various
other banks. Each of these complaints asserts claims under the Sherman Act and for unjust
enrichment based on alleged suppression of the ICE LIBOR and seeks disgorgement
and treble damages where authorized by statute. On July 1,
2019, the plaintiffs filed a consolidated amended complaint, and on August 30, 2019, the defendants moved to
dismiss. On March 26, 2020, in
IN RE ICE LIBOR ANTITRUST LITIGATION, the court granted Citigroup and the other defendants' motion to dismiss the action for failure
to
state a claim. On April 24, 2020, plaintiffs filed a notice of appeal with the United States Court of Appeals for the Second Circuit from the
district court's grant of defendants' motion to dismiss the consolidated class action complaint. Additional information concerning these actions
is publicly available in court filings under the docket numbers 19 Civ. 430 (S.D.N.Y) (Daniels, J.) and 20-1492 (2d Cir.).
On August 18, 2020, individual borrowers and consumers of loans and credit cards filed an action against Citigroup, Citibank, CGMI, and
other defendants, captioned MCCARTHY, ET AL. v. INTERCONTINENTAL EXCHANGE, INC., ET AL., in the United States District Court
for the Northern District of California. Plaintiffs allege that defendants conspired to fix ICE LIBOR, assert claims under the Sherman Act and
the Clayton Act, and seek declaratory relief, injunctive relief, and treble damages. A motion for preliminary and permanent injunction is
pending. Additional information concerning this action is publicly available in court filings under the docket number 20 Civ. 5832 (N.D. Cal.)
(Donato, J.).
Money
Laundering Inquiries
Regulatory Actions: Citibank received a subpoena from the
United States Attorney for the Eastern District of New York in connection
with its investigation of alleged bribery, corruption and money laundering associated with the
Federation Internationale de Football Association
(FIFA), and the potential involvement of financial institutions in that activity. The subpoena requested information
relating to, among other
things, banking relationships and transactions at Citibank and its affiliates associated with certain individuals and entities identified as
having
had involvement with the alleged corrupt conduct. Citi is cooperating with the authorities in this matter.
Parmalat Litigation
In 2004, an Italian commissioner appointed to oversee the administration of various Parmalat companies, filed a complaint against
Citigroup, Citibank, and related parties alleging that the defendants facilitated a number of frauds by Parmalat insiders. In 2008, a jury rendered
a verdict in Citigroup's favor and awarded Citi $431 million.
Citigroup has taken steps to enforce the judgment in Italian court. In 2014, an Italian court of appeal affirmed the decision in the full
amount of $431 million, which Parmalat has appealed to the Italian Supreme Court. Additional information concerning this action is publicly
available in court filings under the docket number 27618/2014. On April 15, 2019, the Italian Supreme Court upheld the 2014 decision of the
Italian court of appeal in Citigroup's favor. Additional information concerning this action is publicly available in court filings under the docket
number 27618/2014 or decision number 10540/2019. On April 23, 2019 Citigroup filed an action to enforce the judgement.
Parmalat filed two applications in opposition to Citi's enforcement action: One against
Citi's enforcement title (titolo esecutivo)
("opposition to enforcement generally") and one against Citi's request for enforcement through
allotment of 347 million Parmalat shares
("opposition to specific enforcement"). The two applications are pending, and the Court of Milan stayed the
enforcement of judgment while
these applications are pending. Additional information concerning the opposition to enforcement generally is available in the Court of Milan
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Third Division (Enforcement section) - filings under the docket number 4133/2019; additional information concerning the opposition to specific
enforcement is available in the Court of Milan - Third Division (Ordinary section) - filings under the docket number 22098/2019.
In 2015, Parmalat filed a claim in an Italian civil court in Milan claiming damages of €1.8
billion against Citigroup, Citibank, and related
parties. On January 25, 2018, the Milan court dismissed Parmalat's claim on grounds that it was duplicative of
Parmalat's previously
unsuccessful claims. On March 2, 2018, Parmalat filed an appeal to the Milan Court of Appeal. Additional information concerning this action is
publicly available in court filings under the docket number 1009/2018. On May 23, 2019, the Milan Court of Appeal rejected Parmalat's appeal
of the January 2018 decision of the Milan Commercial Court dismissing Parmalat's claim. On June 28, 2019, Parmalat filed its appeal with the
Italian Supreme Court. Additional information concerning this action is publicly available in court filings under the docket number 20598/2019.
In 2020, Parmalat, its sole shareholder Sofil S.A. and Parmalat's shareholders filed for a
declaratory judgment in Milan, asking the Court
to find that they are not liable vis-à-vis Citibank N.A. On November 5, 2020, Citibank N.A. joined the proceedings,
seeking the dismissal of the
application for declaratory judgement and seeking damages for €990 million, on allegation that Parmalat, Sofil S.A. and Parmalat's
shareholders
were jointly and severally liable for the damages Citibank suffered as a result of Parmalat having unlawfully refused to give shares pursuant to
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the composition with creditors (concordato) Parmalat
entered into with its creditors. Additional information concerning this action is publicly
available in court filings under the docket number 8611/2020.
Regulatory Review of Consumer "Add-On" Products
Certain of Citi's consumer businesses, including its Citi-branded and retail services cards
businesses, offer or have in the past offered or
participated in the marketing, distribution, or servicing of products, such as payment protection and identity monitoring,
that are ancillary to the
provision of credit to the consumer (add-on products). These add-on products have been the subject of enforcement actions against other
institutions by regulators, including the Consumer Financial Protection Bureau (CFPB), the Office of the Comptroller of the Currency (OCC),
and the FDIC, that have resulted in orders to pay restitution to customers and penalties in substantial amounts. Citi has made restitution to
certain customers in connection with certain add-on products. Certain state attorneys general also have filed industry-wide suits under state
consumer protection statutes, alleging deceptive marketing practices in connection with the sale of payment protection products and demanding
restitution and statutory damages for in- state customers.
On July 21, 2015, Citigroup announced that it had reached an agreement with the OCC and the CFPB to resolve previously disclosed
regulatory reviews of billing and marketing practices related to such add-on products, including those administered by third-party vendors, as
well as fees for expedited phone payments on certain products. As part of the agreement, Citigroup paid fines totaling $70 million to the OCC
and CFPB and will refund $700 million to customers affected by the issues cited in the consent order. Citigroup previously discontinued
marketing the products cited in the consent order and no longer charges expedited pay by phone fees. Customer remediation has been underway
since 2013.
In
light of the current regulatory focus on add-on products and the actions regulators have taken in relation to other credit card issuers,
one or more regulators may order
that Citi pay additional restitution to customers and/or impose penalties or other relief arising from Citi's
marketing, distribution, or servicing of add-on
products.
Regulatory Review of Student Loan Servicing
Citibank is currently subject to regulatory investigation concerning certain student loan
servicing practices. Citibank is cooperating with
the investigation. Similar servicing practices have been the subject of an enforcement action against at least one other
institution. In light of that
action and the current regulatory focus on student loans, regulators may order that Citibank remediate customers and/or impose penalties or
other relief.
Sovereign Securities Matters
Regulatory Actions: Government and regulatory agencies in the United States and in other jurisdictions are conducting investigations or
making inquiries regarding Citigroup's sales and trading activities in connection with sovereign and other government-related securities.
Citigroup is fully cooperating with these investigations and inquiries.
Antitrust and Other Litigation: Beginning in 2016, a number of substantially similar putative class action complaints were filed against a
number of financial institutions and traders related to the supranational, sub-sovereign, and agency (SSA) bond market. The actions are based
upon defendants' roles as market makers and traders of SSA bonds and assert claims of alleged collusion under the antitrust laws and unjust
enrichment and seek damages, including treble damages where authorized by statute, and disgorgement. These actions were later consolidated in
the United States District Court for the Southern District of New York. Subsequently, plaintiffs filed a consolidated complaint that names
Citigroup, Citibank, CGMI and CGML among the defendants. Plaintiffs filed a second amended consolidated complaint on November 6, 2018,
which defendants moved to dismiss. On September 30, 2019, the court issued an order granting with prejudice defendants' motion to dismiss
certain defendants for lack of personal jurisdiction. On June 1, 2020, plaintiffs filed a notice of appeal with the United States Court of Appeals
for the Second Circuit from the district court's grant of defendants' motion to dismiss the second amended complaint related to the
supranational, sub-sovereign, and agency (SSA) bond market. Additional information concerning these actions is publicly available in court
filings under the dockets number 16-cv-03711 (S.D.N.Y.) (Ramos, J.) and 20-1759 (2d Cir.).
In 2017, a class action related to the SSA bond market was filed in the Ontario Court of Justice against Citigroup, Citibank, CGMI,
CGML, Citibank Canada and Citigroup Global Markets Canada, Inc., among other defendants, asserting claims for breach of contract, breach of
the competition act, breach of foreign law, unjust enrichment, and civil conspiracy. Plaintiffs seek compensatory and punitive damages, as well
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as declaratory relief. On February 19, 2020, the court
granted plaintiffs' motion to dismiss the action. Additional information relating to this
action is publicly available in court filings under the docket number
CV-17-586082- 00CP (Ont. S.C.J.).
Also in 2017, a second similar action was
initiated in Canadian Federal Court by the same law firm against the same Citi entities as the
Ontario action, in addition to other defendants. The action asserts claims
for breach of the competition act and breach of foreign law. On
January 24, 2019, plaintiffs delivered an amended statement of claim, in which they continue to assert
claims for breach of the competition law
and breach of foreign law, while also asserting additional claims of civil conspiracy, unjust enrichment, waiver of tort and
breach of contract. On
October 7, 2019, purchasers of supranational, sub-sovereign, and agency (SSA) bonds filed an amended claim in the Canadian Federal Court, in
which they continue to assert claims for breach of the competition law and breach of foreign law, while also asserting additional claims of civil
conspiracy, unjust enrichment, waiver of tort, and breach of contract. Additional information relating to this action is publicly available in court
filings under the docket number T-1871-17 (Fed. Ct.).
On February 7, 2019, a putative class action captioned STACHON v. BANK OF AMERICA, N.A., ET AL., was filed in the
United States District Court for the Southern District of New York against Citigroup, Citibank, CGMI, and Citigroup Global Markets Limited
(CGML) and other defendants, on behalf of indirect purchasers of supranational, sub-sovereign and agency (SSA) bonds. Plaintiffs assert claims
under New York antitrust laws based on the same conduct alleged in the previously filed SSA bond lawsuits and seek treble damages and
injunctive relief. The action is currently stayed pending a decision on the motion to dismiss in the consolidated direct purchaser action. On
June 25, 2020, plaintiff voluntarily dismissed the action without prejudice in light of the dismissal of the IN RE SSA BONDS ANTITRUST
LITIGATION. Additional information relating to these actions is publicly available in court filings under the docket numbers 19 Civ. 01205
(S.D.N.Y.) (Swain, J.), and 16-cv-03711 (S.D.N.Y.) (Ramos, J.).
Variable Rate Demand Obligation Litigation
On May 31, 2019, plaintiffs in the consolidated actions CITY OF PHILADELPHIA v. BANK OF AMERICA CORP., ET AL. and
MAYOR AND CITY COUNCIL OF BALTIMORE v. BANK OF AMERICA CORP., ET AL. filed a consolidated complaint naming as
defendants Citigroup, Citibank, CGMI, CGML and numerous other industry participants. The consolidated complaint asserts violations of the
Sherman Act, as well as state law claims for breach of contract, breach of fiduciary duty, and unjust enrichment, and seeks damages and
injunctive relief based on allegations that defendants served as remarketing agents for municipal bonds called variable rate demand obligations
(VRDOs) and colluded to set artificially high VRDO interest rates. Defendants filed a motion to dismiss the consolidated complaint on July 30,
2019. The motion was fully submitted on November 14, 2019. On November 2, 2020, Defendants' motion to dismiss was granted in part and
denied in part. Citi filed an answer to the remaining claims on December 7, 2020, and the Court entered a scheduling order and civil case
management plan on December 14, 2020. Additional information concerning these actions is publicly available in court filings under the docket
numbers 19-CV-1608 (S.D.N.Y.) (Furman, J.) and 19-CV-2667 (S.D.N.Y.) (Furman, J.).
Oceanografia Fraud and Related Matters
Other Litigation: In 2017, a complaint was filed against Citigroup in the United States District Court for the Southern District of New
York by OSA and its controlling shareholder, Amado Yáñez Osuna. The complaint alleges that plaintiffs were injured when Citigroup made
certain public statements about receivable financings and other financing arrangements related to OSA. The complaint asserts claims for
malicious prosecution and tortious interference with existing and prospective business relationships. Plaintiffs later filed an amended complaint
adding CGMI, Citibank and Banco Nacional de México, or Banamex, as defendants and adding causes of action for fraud and breach of
contract. On September 28, 2018, the court granted defendants' motion to dismiss with prejudice as to the breach of contract claim and without
prejudice as to the remaining claims for malicious prosecution, tortious interference with contract and fraud on forum non conveniens grounds.
On August 10, 2019, in the action commenced against Citigroup by Oceanografía and its controlling shareholder, the court denied both
plaintiffs' motion for reconsideration of the court's prior decision granting defendants' motion to dismiss and plaintiffs' motion for leave to
amend the complaint. On September 6, 2019, judgment was entered for defendants, which plaintiffs have appealed. On July 15, 2020, the
United States Court of Appeals for the Second Circuit affirmed the judgment of the district court. Additional information concerning this action
is publicly available in court filings under docket numbers 1:17 Civ. 01434 (S.D.N.Y.) (Sullivan, J.) and 19-3110 (2d Cir.).
Interchange Fees Litigation and Related Matters
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Regulatory Actions: On May 25, 2016, Citibank entered into a civil settlement with the CFTC, concluding the CFTC's ISDAFIX
investigation of Citibank's conduct from January 2007 through January 2012. As part of the settlement, Citibank agreed to pay a civil monetary
penalty in the amount of $250 million and to enhance further the control framework governing interest-rate swap benchmarks. The consent order
includes, on a neither admit nor deny basis, charges of trading- and submission-based attempts to manipulate the USD ISDAFIX, a false
reporting charge based on Citi's USD ISDAFIX submissions, and certain remediation requirements.
Interchange Fees Litigation.
Beginning in 2005, several putative class
actions were filed against Citigroup, Citibank, and related parties,
together with Visa, MasterCard and other banks and their affiliates, in various federal district
courts and consolidated with other related cases in
a multi-district litigation proceeding before Judge Gleeson in the United States District Court for the Eastern
District of New York (Interchange
MDL). This proceeding is captioned IN RE PAYMENT CARD INTERCHANGE FEE AND MERCHANT DISCOUNT ANTITRUST
LITIGATION. The plaintiffs, merchants that accept Visa- and MasterCard-branded payment cards as well as membership associations that
claim to represent certain groups of merchants, allege, among other things, that defendants have engaged in conspiracies to set the price of
interchange and merchant discount fees on credit and debit card transactions and to restrain trade through various Visa and MasterCard rules
governing merchant conduct, all in violation of Section 1 of the Sherman Act and certain California statutes. Supplemental complaints also have
been filed against defendants in the putative class actions alleging that Visa's and MasterCard's respective initial public offerings were
anticompetitive and violated Section 7 of the Clayton Act, and that MasterCard's initial public offering constituted a fraudulent conveyance.
In 2014, the district court entered a final judgment approving the terms of a class settlement
providing for, among other things, a total
payment to the class of $6.05 billion; a rebate to merchants participating in the damages class settlement of 10 bps on
interchange collected for a
period of eight months by the Visa and MasterCard networks; and changes to certain network rules. Various objectors appealed from the final
class settlement approval order to the United States Court of Appeals for the Second Circuit.
In 2016, the Court of Appeals reversed the district court's approval of the class settlement and remanded for further proceedings. The
district court thereafter appointed separate interim counsel for a putative class seeking damages and a putative class seeking injunctive relief.
Amended or new complaints on behalf of the putative classes and various individual merchants were subsequently filed, including a further
amended complaint on behalf of a putative damages class and a new complaint on behalf of a putative injunctive class, both of which named
Citigroup and related parties. In addition, a number of merchants have filed amended or new complaints against Visa, MasterCard, and in some
instances one or more issuing banks. Three of these suits—7-ELEVEN, INC., ET AL. v. VISA INC., ET AL.; ROUNDY'S SUPERMARKETS,
INC. v. VISA INC. ET AL.; and LUBY'S FUDDRUCKERS RESTAURANTS, LLC, v. VISA INC., ET AL—brought on behalf of numerous
individual merchants, name Citigroup and affiliates as defendants.
On December 13, 2019, the court granted the damages class plaintiffs' motion for final approval of a new settlement with the defendants.
The settlement involves the damages class only and does not settle the claims of the injunctive relief class or any actions brought on a non-class
basis by individual merchants. The settlement provides for a cash payment to the damages class of $6.24 billion, though that amount has been
reduced by $700 million based on the transaction volume of class members that opted-out from the settlement. Several merchants and merchant
groups have appealed the final approval order. Additional information concerning these consolidated actions is publicly available in 280 court
filings under the docket number MDL 05-1720 (E.D.N.Y.) (Brodie, J.).
Revlon Credit Facility Litigation
On August 12, 2020, Citibank and other parties were named as defendants in an action filed in the United States District Court for the
Southern District of New York under the caption UMB BANK, NATIONAL ASSOCIATION V. REVLON, INC., ET AL. Plaintiff alleges that,
with respect to a 2016 credit agreement between Revlon and various lenders for which Citibank served as administrative and collateral agent, the
defendants deprived lenders of the collateral securing loans they made to Revlon under the credit agreement. The claims against Citibank
include breach of the implied covenant of good faith and fair dealing, aiding and abetting conversion, breach of contract, tortious interference
with contract, and actual and constructive fraudulent transfer. On November 9, 2020, Plaintiff filed a notice of voluntary dismissal without
prejudice. Additional information concerning this action is publicly available in court filings under the docket number 20- CV-6352 (S.D.N.Y.)
(Schofield, J.).
Wire Transfer Litigation
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On August 17, 18, and 20, 2020,
Citibank filed actions in the United States District Court for the Southern District of New York, which
have been consolidated under the caption IN RE CITIBANK AUGUST 11,
2020 WIRE TRANSFERS. The actions relate to a payment
erroneously made by Citibank on August 11, 2020, in its capacity as administrative agent for a Revlon credit facility.
The action seeks the return
of the erroneously transferred funds from certain fund managers. Citibank has asserted claims for unjust enrichment, conversion, money had and
received, and payment by mistake. The court issued temporary restraining orders related to the subject funds, and trial took place on December 9
and 10, 2020. Additional information concerning this action is publicly available in court filings under the docket number 20- CV-6539
(S.D.N.Y.) (Furman, J.).
Transaction Tax Matters
Citigroup and Citibank are engaged in litigation or examinations with tax authorities in India and Germany concerning the payment of
transaction taxes and other non-income tax matters.
Other Matters:
USA v. Citicorp
Case File No.: #3:15-CR-00078-SRU Date opened: 8/28/14
Description: Settlement with Office of the Comptroller of the Currency relating to the OCC
allegations that Citibank had internal control
deficiencies relating to foreign exchange trading.
This is a settlement of the FX consolidated class action pending before Judge Schofield in the
Southern District of New York against Citi
(Citigroup, Citibank, CGMI, and Citicorp) and other FX dealers. Lead plaintiffs in the action claim violations of Sherman Act
Sections 1 and 2
and unjust enrichment. When this action first was consolidated in early 2014, it was brought on behalf of those who, from January 1, 2003
through the present, traded FX with any of the defendants at or around the time of the fixing of the WM/R (London) Closing Spot Rates or
entered into an FX instrument that settled on the basis of that benchmark. In January 2015, the court denied defendants' motion to
dismiss, rejecting, among other things, defendants' arguments that lead plaintiffs had not
plausibly alleged a conspiracy and or antitrust
injury—i.e., injury stemming from a reduction in competition. Rather, the court viewed the consolidated amended
complaint as having pleaded a
per se Sherman Act Section 1 violation to fix prices. (In the same decision, the court dismissed two similar complaints attempting to assert
Sherman Act claims barred by the Foreign Trade Antitrust Improvements Act.) In May 2015, we reached a settlement in principle reflecting a
settlement payment of $394 million in exchange for the release of all claims relating to the trading of any FX product, except foreign trades and
certain other claims. Lead plaintiffs subsequently amended the consolidated complaint to cover a class of all those who traded at least one spot
FX trade with any of the defendants between 2003 and the present. The parties executed their settlement agreement on October 1, 2015. On
December 15, 2015, Judge Schofield granted preliminary approval of the parties' settlement agreement. Citi's settlement payment was due
within ten business days thereafter.
On May 20, 2015, Citicorp pleaded guilty in the United States District Court for the District of Connecticut to one count of conspiring to
violate the Sherman Antitrust Act, 15, U.S.C. Section 1. Citicorp's Plea Agreement recites that during the period December 2007 to January
2013, Citicorp, through one of its EUR/USD currency traders, conspired to eliminate competition in the purchase and sale of the EUR/USD
currency pair by, among other things, coordinating the trading of the EUR/USD currency pair in connection with European Central Bank and
World Markets/Reuters benchmark currency "fixes." The Plea Agreement recites that the United States and Citicorp agree to recommend jointly
that the District Court impose a fine in the amount of $925 million. On January 10, 2017, the court sentenced Citicorp to probation for three
years and imposed a fine of $925 million.
2014 Argentina Currency Trading Matter
Case File No.: 831/2014(7283) Date Filed: June 13, 2014
On June 13, 2014, The Attorney General of the Public Prosecutor's Office for Economic Crime and Money Laundering in Argentina filed
a criminal complaint with the Argentinian National Court of Criminal Proceedings in Economic Matters alleging that Citibank violated Article
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309 of Argentina's Penal Code. Article 309
prohibits transactions or operations that force an increase, decrease or a hold on the price of
marketable securities or other financial instruments, using false news,
false deals, or collusion among the principle shareholders of the fiscal
product. the complaint alleges that Citibank participated in coordinated currency trading with
several other banks on January 23, 2013 in an
attempt to affect the exchange rate between the Argentinian Peso and U.S. Dollar. The case is captioned "BANCO GALICIA
Y BUENOS
AIRES S.A., HSBC BANK ARGENTINA S.A., CITIBANK N.A., BBVA BANCO FRANCES S.A. Y BNP PARIBAS SUCURSAL BS AS S/
INFRACCION ART. 309, 2) DEL CP SEGÚN LEY 26.733". The complaint states that violations of Article 309 are punishable by
imprisonment for 1 to 4 years, or a fine equivalent to the amount of the transaction that violated that statute. On August 31, 2016, the court
dismissed the complaint. The Attorney General expressed its agreement with the dismissal.
2011-15 Massachusetts Attorney General Chapter 93A Litigation
Case No.: 11-4363-BLS1 (Mass. Super. Ct). Date Filed: December 1, 2011
On December 1, 2011, Massachusetts Attorney General Martha Coakley filed a complaint in Suffolk
County Superior Court. The
complaint was filed under the Massachusetts Consumer Protection Act, G.L. C. 93A, § 4 and G.L. C. 12, § 10 against Bank of America,
Citi,
J.P. Morgan Chase, GMAC Mortgage, Wells Fargo (collectively, "Bank Defendants"), Mortgage Electronic Registration Systems, Inc., and its
then-corporate parent, Merscorp, Inc. The specific Citi entities named as defendants were Citibank, as trustee, and CitiMortgage, Inc. The
complaint originally included six formal counts, but there were three general theories of liability: (1) failure to comply with Massachusetts
statutory requirements prior to commencing foreclosure proceedings; (2) deceptive practices in the loan modification process; and (3) failure to
register mortgage assignments and transfers of beneficial interests in mortgage loans tracked on the MERS system. As part of the national
mortgage settlement, the parties settled and dismissed all counts involving the second theory of liability.
On November 30, 2012, the Court ruled on the pending motions to dismiss and dismissed all counts
regarding the third theory of liability
and all counts pertaining to the two MERS defendants. However, the Court allowed Count I to proceed, which involved the first
theory of
liability. In particular, Count I alleged that the Bank Defendants conducted foreclosures by publishing notices of sale without first having been
the mortgagee, in violation of the Massachusetts Supreme Judicial Court's opinion in U.S. Bank, N.A. v. Ibanez, 458 Mass. 637 (2011). On
January 16, 2015, the Court entered a final judgment by consent as to Bank of America, Citi, J.P.
Morgan Chase and Wells Fargo, in
which the parties voluntarily resolved Count I and all remaining issues in the case and by which Bank of America, Citi, J.P. Morgan Chase
and
Wells Fargo were dismissed from the case. All requirements under the consent judgment terminated on March 17, 2018.
Included by the Sponsor from the NFA Website and not
provided by Citi
:
On November 13, 2019, Citibank was fined $8,500 for failing to notify and receiving prior
approval to offset and correct an error trade as
required under rule BSEF Rule 516.
On August 8, 2019, Citibank NA was fined $1,000 for failing to report block trades in a timely manner or with an accurate execution time
to the Exchange in violation of NYMEX Rule 526 and 526.F. These block trades were executed in August 2019 Henry Hub Natural Gas
Futures, November 2019 Brent Crude Oil Last Day Financial Futures, and December 2019 NY Harbor ULSD Futures.
On June 13, 2018, Citibank NA was fined $7,500 for failure to notify or receive prior approval to
offset an error trade as required under
BSEF Rule 516 for a trade executed December 1, 2017.
On November 22, 2017, Citibank NA was fined $5,500 for failure to notify or receive prior approval to offset an error trade as required
under BSEF Rule 516 for a trade executed on June 6, 2017.
On September 25, 2017, Citibank, N.A. and London-based Citigroup Global Markets Limited were fined $550,000 for Swap Data
Reporting violations involving Legal Entity Identifier information and related supervision failures. As provisionally registered swap dealers,
CBNA and CGML are required to comply with certain recordkeeping and reporting requirements related to their swap transactions. In particular,
Parts 45 and 46 of the Regulations specify requirements for reporting the LEI of each counterparty to a swap. An LEI is a unique, 20-character,
alpha-numeric code, used to uniquely identify legally distinct entities that act as counterparties to swap transactions, among other financial
transactions. The reporting requirements are designed to enhance transparency, promote standardization, and reduce systemic risk. According to
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the Order, from at least April 2015 to December 2016,
Citi failed to report LEIs properly for tens of thousands of swaps. The Order finds that
many of Citi's LEI reporting errors stemmed from a design flaw in its swap
data reporting systems with respect to swap continuation data. As
stated in the Order, Citi did not design its swap data reporting systems to re-report trades based solely
upon a change in a counterparty's LEI,
absent another event that required the trade to be re-reported. As a result, Citi failed to report updated LEI information in
the continuation data
for thousands of swaps that were open as of April 2015. The Order also finds that the design flaw in Citi's swap data reporting systems
contributed to Citi failing to correct errors or omissions in its swap data reporting in a timely manner. The Order further finds that Citi violated
its reporting obligations by reporting "Name Withheld" as the counterparty identifier for tens of thousands of swaps with counterparties in
certain foreign jurisdictions. Recognizing potential conflicts between the CFTC's reporting requirements and non-U.S. privacy, secrecy, and
blocking laws, the CFTC's Division of Market Oversight (DMO) has issued certain time-limited and conditional no-action relief from LEI
reporting requirements. However, such no-action relief has been conditioned upon, among other things, the reporting party reporting, in place of
LEI, an alternative counterparty identifier, a "Privacy Law Identifier" or "PLI," that is unique, static, and consistent for each counterparty. The
Order also finds that CBNA and CGML failed to perform their supervisory duties diligently with respect to LEI swap data reporting by failing to
enforce existing policies, failing to adequately address compliance with no-action relief where they sought to rely upon such relief, and failing to
detect repeated LEI reporting errors. The Order recognizes Citi's cooperation with the CFTC's investigation.
On May 24, 2016, Citibank NA was fined $4,500 for failure to notify or receive prior approval to
offset an error trade as required under
BSEF Rule 516 for a trade executed December 7, 2016.
On November 17, 2016, Citibank NA was fined $2,000 for failure to notify or receive prior approval to offset an error trade as required
under BSEF Rule 516 for a trade executed on August 12, 2016.
On November 17, 2016, Citibank NA was fined $1,750 for failure to notify or receive prior approval to offset an error trade as required
under BSEF Rule 516 for a trade executed August 2, 2016. On May 25, 2016, Citibank NA and Japanese Affiliates to pay $175 million for
attempted manipulation of Yen LIBOR and Euroyen TIBOR, and false reporting of Euroyen TIBOR and U.S. Dollar LIBOR. Citibank, N.A.
(Citi); Citibank Japan Ltd. (CJL); and Citigroup Global Markets Japan Inc. (CGMJ) (collectively, Citi and its affiliates) were fined relating to
abuses of the London Interbank Offered Rate (LIBOR) and the Euroyen Tokyo Interbank Offered Rate (Euroyen TIBOR) benchmarks.
Specifically, CGMJ was charged with attempting to manipulate Yen LIBOR and Euroyen TIBOR, and CJL with false reporting of Euroyen
TIBOR, to benefit derivatives trading positions that were priced based on Yen LIBOR or Euroyen TIBOR. Separately, Citi was charged with the
false reporting of U.S. Dollar LIBOR at times to avoid generating negative media attention and to protect its reputation during the financial
crisis from the spring of 2008 through the summer of 2009.
Citi and its affiliates were ordered jointly and severally to pay a civil monetary penalty of $175 million, immediately cease and desist
from further violations of the Commodity Exchange Act as charged, and adhere to specific undertakings to ensure the integrity of its LIBOR,
Euroyen TIBOR, and other benchmark interest rate submissions.
The CFTC Order specifically finds that CGMJ, by and through the acts of certain of its traders, attempted to manipulate Yen LIBOR on
multiple occasions from at least February 2010 through August 2010, and Euroyen TIBOR, at times, from April 2010 through June 2010, to
benefit the derivatives trading positions of those traders. Specifically, a Tokyo-based senior Yen derivatives trader (Senior Yen Trader), hired by
CGMJ to enhance the bank's reputation in the Tokyo derivatives market, attempted to manipulate the benchmark fixings by using his contacts at
other Yen LIBOR panel banks and at interdealer brokers to influence the Yen LIBOR submissions of other Yen panel banks. In addition, a
senior manager who ran CGMJ's Tokyo interest rates derivatives trading desk (Senior Yen Manager) pressured CJL's Euroyen TIBOR
submitters to adjust their submissions to benefit the Senior Yen Trader's derivatives trading positions. CJL's Euroyen TIBOR submitters, on a
few occasions, took the Senior Yen Manager's requests into account when making Euroyen TIBOR submissions. The Order further finds that at
times from the spring of 2008 through the summer of 2009, Citi's U.S. Dollar LIBOR submitters based its U.S. Dollar LIBOR submissions on a
desire to avoid generating negative media attention and to protect Citi's reputation in the market. As the financial crisis progressed through
2008, Citi experienced financial challenges that included liquidity concerns. During this time, Citi received a significant infusion of funds from
the U.S. Government to alleviate the stresses in its funding. Citi, at times, had difficulty securing funding in the London interbank market at or
below Citi's LIBOR submissions, particularly in the longer tenors. Citi's U.S. Dollar LIBOR submitters became concerned about the signaling
effect that the Citi's U.S. Dollar LIBOR submissions could have in the market. The submitters realized that the Citi's submissions could draw
negative media attention and raise questions about the stability of the bank. Accordingly, during this period, Citi's submitters, at times, made
U.S. Dollar LIBOR submissions based in whole or in part on a desire to avoid that negative scrutiny, rather than based on the fact that Citi, at
times, would have had to pay above LIBOR in the London interbank market, particularly in the longer tenors, when securing funding for the
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bank. As a result, according to the Order, Citi's
U.S. Dollar LIBOR submissions, at times, did not accurately or solely reflect Citi's assessment
of the costs of borrowing unsecured funds in the London interbank
market.
According to the Order, Citi and its affiliates engaged in this conduct
after they knew that the CFTC was investigating Citi's U.S. Dollar
LIBOR submission practices. Moreover, during late 2009, in meetings with Citi senior managers, the
Senior Yen Trader talked openly about
how he had tried to manipulate Yen LIBOR at his prior place of employment. Even though they were aware of the CFTC's
investigation, the
senior managers did not notify the legal or compliance departments about the Senior Yen Trader's admissions. The Order recognizes the
cooperation of Citi and its affiliates with the CFTC Division of Enforcement's investigation. The CFTC also notes that in the summer of 2010,
Citi identified the misconduct with respect to Yen LIBOR and Euroyen TIBOR, and promptly self-reported the misconduct of the Yen traders to
the CFTC.
On April
5, 2016, Citibank NA was fined $1,250 for failure to notify or receive prior approval to offset an error trade as required under
BSEF Rule 516 for a trade executed on
February 10, 2016.
The CFTC announced on September 28, 2020 that it has issued an
order filing and simultaneously settling charges against Citibank N.A.,
and Citigroup Energy Inc., both provisionally registered swap dealers, and Citigroup Global
Markets, Inc., a provisionally registered swap dealer
and a registered futures commission merchant (collectively, Citi entities), for failing to diligently supervise their
audio preservation system. For
violations of CEA Rules 6(c) and 6(d) and violations of CFTC Rule 1633.3, Citibank's affiliates were fined $4.5 million dollars,
effective
September 28, 2020.
Societe Generale ("SG")
Like many financial institutions, SG is party to numerous litigations, including class actions lawsuits in the U.S., and to regulatory
investigations. The consequences, as assessed on a quarterly basis, of those that are liable to have or have recently had a material impact on the
financial condition of SG, its results or its business are provisioned in SG's financial statements. Details are set out in SG's registration
document and its updates concerning major cases. The current litigation disclosures in the 2021 registration statement, filed on 17 March 2021,
and updates thereto are set forth below. Other litigation matters and investigations either have no material effect on SG's financial condition or it
is still too early to determine at this stage whether they may have such an impact. The disclosures below as well as prior disclosures (dating back
10 years) are available on the SG website at www.societegenerale.com
On 24 October 2012, the Court of Appeal of Paris confirmed the first judgment
delivered on 5 October 2010, finding J. Kerviel guilty of
breach of trust, fraudulent insertion of data into a computer system, forgery and use of forged documents. J.
Kerviel was sentenced to serve a
prison sentence of five years, two years of which are suspended, and was ordered to pay EUR 4.9 billion in damages to the bank. On 19
March
2014, the Supreme Court confirmed the criminal liability of J. Kerviel. This decision puts an end to the criminal proceedings. On the civil front,
on 23 September 2016, the Versailles Court of Appeal rejected Jérôme Kerviel's request for an expert determination of the damage suffered by
Societe Generale, and therefore confirmed that the net accounting losses suffered by the Bank as a result of his criminal conduct amount to EUR
4.9 billion. It also declared J. Kerviel partially responsible for the damage caused to Societe Generale and sentenced him to pay to Societe
Generale EUR 1 million. Societe Generale and J. Kerviel did not appeal before the Supreme Court. Societe Generale considers that this decision
has no impact on its tax situation. However, as indicated by the Minister of the Economy and Finance in September 2016, the tax authorities
have examined the tax consequences of this book loss and indicated that they intended to call into question the deductibility of the loss caused
by the actions of J. Kerviel, amounting to EUR 4.9 billion. This proposed tax rectification has no immediate effect and will possibly have to be
confirmed by an adjustment notice sent by the tax authorities when Societe Generale is in a position to deduct the tax loss carryforwards arising
from the loss from its taxable income. Such a situation will not occur for several years according to the bank's forecasts. In view of the 2011
opinion of the French Supreme Administrative Court (Conseil d'état) and its established case law which was recently confirmed again in this
regard, Societe Generale considers that there is no need to provision the corresponding deferred tax assets. In the event that the authorities
decide, in due course, to confirm their current position, Societe Generale group will not fail to assert its rights before the competent courts. By a
decision handed down on the 20 September 2018, the Investigation Committee of the reviewing and reassessment Criminal Court has
furthermore declared inadmissible the request filed in May 2015 by J. Kerviel against his criminal sentence, confirming the absence of any new
element or fact that could justify the reopening of the criminal file.
Between 2003 and 2008, Societe Generale set up gold consignment lines with the Turkish group Goldas. In February 2008, Societe
Generale was alerted to a risk of fraud and embezzlement of gold stocks held by Goldas. These suspicions were rapidly confirmed following the
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failure by Goldas to pay or refund gold worth EUR 466.4
million. Societe Generale brought civil proceedings against its insurers and various
Goldas Group entities. Goldas launched various proceedings in Turkey and in the UK
against Société Générale. In the action brought by Société
Générale against Goldas in the UK, Goldas applied to have the action of
SG struck-out and applied to the UK court for damages. On 3 April
2017, the UK court granted both applications and will, after an inquiry into damages, rule on the amount
due to Goldas, if any. On 15 May 2018,
the Court of Appeal discharged entirely the inquiry into damages granted by the High Court to Goldas but rejected Societe
Generale's arguments
relating to service of the claims issued against Goldas, which are therefore time barred. On 18 December 2018, the Supreme Court refused
permission to appeal to both Societe Generale and Goldas. On 16 February 2017, the Paris Commercial Court dismissed Societe Generale's
claims against its insurers. Societe Generale filed an appeal against this decision.
Societe Generale Algeria ("SGA") and several of its branch managers are being prosecuted for breach of Algerian laws on exchange rates
and capital transfers with other countries and on money laundering and the financing of terrorism. The defendants are accused of having failed
to make complete or accurate statements to the Algerian authorities on capital transfers in connection with exports or imports made by clients of
SGA and on cash payment transactions made at SGA counters. The events were discovered during investigations by the Algerian authorities,
which subsequently filed civil claims before the criminal court. Sentences were delivered by the court of appeal against SGA and its employees
in some proceedings, while charges were dropped in other ones. To date, sixteen cases have ended in favour of SGA, one case has ended against
SGA and eight remain pending, seven of which before the Supreme Court.
In the early 2000s, the French banking industry decided to transition to a new digital system in order to streamline cheque clearing.
To support this reform (known as EIC—Echange d'Images Chèques), which has
contributed to the improvement of cheque payments'
security and to the fight against fraud, the banks established several interbank fees (including the CEIC which
was abolished in 2007). These
fees were implemented under the aegis of the banking sector supervisory authorities, and to the knowledge of the public
authorities.
On 20 September 2010, after several years of investigation, the French
competition authority ruled that the joint implementation and the
setting of the amount of the CEIC and of two additional fees for related services were in breach of
competition law. The authority fined all the
participants to the agreement (including the Banque de France) a total of approximately EUR 385 million. Societe Generale was
ordered to pay a
fine of EUR 53.5 million and Crédit du Nord, its subsidiary, a fine of EUR 7 million.
However, in its 23 February 2012 order, the French Court of Appeal, to which the matter was
referred by all the banks involved except
Banque de France, held that there was no competition law infringement, allowing the banks to recoup the fines paid. On 14 April
2015, the
Supreme Court quashed and annulled the Court of Appeal decision on the grounds that the latter did not examine the arguments of two third
parties who voluntarily intervened in the proceedings. The case was heard again on 3 and 4 November 2016 by the Paris Court of Appeal before
which the case was remanded. On 21 December 2017, the Court of Appeal confirmed the fines imposed on Societe Generale and Crédit du Nord
by the French competition authority. On 22 January 2018, Societe Generale and Crédit du Nord filed an appeal before the Supreme court against
this decision. On 29 January 2020, the Supreme Court partially quashed the order the Paris Court of Appeals decision of 21 December 2017 and
ordered the remand of the case to this same court of appeal but differently composed. On 13 March 2020, Societe Generale and Credit du Nord
filed a new appeal before the Paris Court of Appeal against the decision of the French competition authority. The court proceeding is
still pending.
In
August 2009, Societe Generale Private Banking (Switzerland) ("SGPBS"), along with several other financial institutions, was named
as a defendant in a putative
class action that was ultimately transferred to the US District Court for the Northern District of Texas. The plaintiffs
sought to represent a class of individuals who
were customers of Stanford International Bank Ltd. ("SIBL"), with money on deposit at SIBL
and/or holding Certificates of Deposit issued by SIBL as of 16
February 2009. The plaintiffs alleged that they suffered losses as a result of
fraudulent activity at SIBL and the Stanford Financial Group or related entities, and that
the defendants were responsible for those alleged
losses. The plaintiffs further sought to recoup payments made through or to the defendants on behalf of SIBL or related
entities on the basis that
they were alleged to have been fraudulent transfers. The Official Stanford Investors Committee ("OSIC") was permitted to intervene
and filed a
complaint against SGPBS and the other defendants seeking similar relief.
Following motions to dismiss, the Court ultimately in April 2015 permitted the substantial majority of the claims to proceed.
On 7 November 2017, the District Court denied the plaintiffs' motion for class
certification. On 3 May 2019, several hundred individual
plaintiffs filed motions to intervene in the pending OSIC action seeking recovery in their individual capacities
for losses on their Stanford
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investments.
By order of 18 September 2019 the court denied the motions to intervene. One group of plaintiffs appealed the denial, which was
rejected by the court of appeal on 3
February 2021, and the remaining group of plaintiffs initiated a separate action in Texas state court in
Houston in November 2019, now pending in the Southern District of
Texas. On 12 February 2021, all parties in the litigation filed motions for
summary judgment. SGPBS seeks dismissal of all pending claims, and OSIC, renewing a prior
unsuccessful motion for summary judgement
seeks return of a USD 95 million transfer to SGPBS in 2008. Discovery remains to be completed as to SGPBS.
Notwithstanding the agreements reached with US authorities regarding certain London Interbank
Offered Rates and the Euro Interbank
Offered Rate (the "IBOR matter"), the Bank continues to defend civil proceedings in the United States (as described below)
and to respond to
information requests received from other authorities, including the Attorneys General of various States of the United States and the New York
Department of Financial Services.
In the United States, Societe Generale, along with other financial institutions, has been named as a defendant in putative class actions
involving the setting of US Dollar Libor, Japanese Yen Libor, and Euribor rates and trading in instruments indexed to those rates. Societe
Generale has also been named in several individual (non-class) actions concerning the US Dollar Libor rate. All of these actions are pending in
the US District Court in Manhattan (the "District Court").
As to US Dollar Libor, all claims against Societe Generale have been dismissed by the District Court or voluntarily dismissed by the
plaintiffs, except in two putative class actions and one individual action that are effectively stayed. Certain individual plaintiffs whose claims
were dismissed have filed motions for leave to amend their complaints, to add or revive claims against Societe Generale, but those applications
were denied by the District Court. The class plaintiffs and a number of individual plaintiffs have appealed the dismissal of their antitrust claims
to the United States Court of Appeals for the Second Circuit.
On 13 January 2020, Societe Generale entered into a settlement agreement with the putative class of plaintiffs who purchased financial
products tied to US Dollar Libor on an exchange. As part of that settlement, Societe Generale has agreed to pay USD 5.125 million. This
settlement was finally approved by the District Court on 17 September 2020.
As to Japanese Yen Libor, the District Court dismissed the complaint brought by purchasers of Euroyen over-the-counter derivative
products. On 1 April 2020, the Court of Appeals reversed the dismissal and reinstated the claims. Plaintiffs filed a second amended complaint on
24 August 2020, and defendants have again filed motions to dismiss. In the other action, brought by purchasers or sellers of Euroyen derivative
contracts on the Chicago Mercantile Exchange, the District Court has allowed certain Commodity Exchange Act ("CEA") claims to proceed to
discovery. On 27 September 2019, Societe Generale (and other defendants) filed a motion for judgment on the pleadings that seeks dismissal of
plaintiff's remaining CEA claims. On 27 September 2019, plaintiff filed a motion for class certification. Briefing on plaintiff's motion for class
certification has been stayed until the District Court rules on defendants' motion for judgment on the pleadings. On 25 September 2020, the
District Court granted defendants' motion for judgment on the pleadings and dismissed plaintiffs' claims. Plaintiffs have appealed.
As to Euribor, the District Court dismissed all claims against Societe Generale in the putative
class action and denied the plaintiffs'
motion to file a proposed amended complaint. Plaintiffs have appealed those rulings to the United States Court of Appeals for
the
Second Circuit.
In Argentina, Societe Generale, along with other financial institutions, has been named as a defendant in litigation brought by a consumer
association on behalf of Argentine consumers who held government bonds or other specified instruments that paid interest tied to US Dollar
Libor. The allegations concern violations of Argentine consumer protection law in connection with alleged manipulation of the US Dollar Libor
rate. Societe Generale has not yet been served with the complaint in this matter.
Beginning on 15 January 2019, Societe Generale and SG Americas Securities, LLC, along with other financial institutions, have been
named in three putative antitrust class actions in the US District Court in Manhattan, which have since been consolidated. Plaintiffs allege that
the USD ICE Libor panel banks conspired to make artificially low submissions to that benchmark in order to profit on their trading in
derivatives tied to USD ICE Libor. Plaintiffs seek to certify a class comprised of US residents (individuals and entities) that transacted with a
defendant in floating rate debt instruments or interest rate swaps tied to USD ICE Libor and received a payment at any time between 1 February
2014 to the present, regardless of when the instrument was purchased. By order dated 26 March 2020, the District Court dismissed the action.
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Plaintiffs have appealed that ruling. On 6 April 2021,
the Second Circuit permitted a new proposed class representative to intervene as a plaintiff
in the appeal and denied defendants' motion which sought dismissal of
the appeal because the original proposed class representatives withdrew
from the action.
Societe Generale, along with several other financial institutions, was named as a defendant in a putative class action alleging violations of
US antitrust laws and the CEA in connection with foreign exchange spot and derivatives trading. The action was brought by persons or entities
that transacted in certain over-the-counter and exchange-traded foreign exchange instruments. Societe Generale reached a settlement of USD 18
million, which was approved by the Court on 6 August 2018. A separate putative class action on behalf of putative classes of indirect purchasers
was also filed. SG reached a settlement of USD 975,000 to resolve that proceeding. The settlement was finally approved by the Court on 19
November 2020. On 7 November 2018, a group of individual entities that elected to opt out of the main class action settlement filed a lawsuit
against SG, SG Americas Securities, LLC, and several other financial institutions. SG Americas Securities, LLC was dismissed by order dated
28 May 2020. Discovery is proceeding as to SG and the other remaining defendants. On 11 November 2020, Societe Generale has been named,
along with several other banks, in a UK action alleging collusion in the market for FX instruments. Societe Generale received the particulars of
claim from plaintiffs and intends to defend the action.
On 10 December 2012, the French Supreme Administrative Court (Conseil d'État) rendered two decisions confirming that the "précompte
tax" which used to be levied on corporations in France does not comply with EU law and defined a methodology for the reimbursement of the
amounts levied by the tax authorities. However, such methodology considerably reduces the amount to be reimbursed. Societe Generale
purchased in 2005 the "précompte tax" claims of two companies (Rhodia and Suez, now ENGIE) with a limited recourse on the selling
companies. One of the above decisions of the French Supreme Administrative Court relates to Rhodia. Societe Generale has brought
proceedings before the French administrative courts. The latest court decision rendered is a rejection, on 1 February 2016 by the French
Administrative Supreme Court, of an appeal lodged by ENGIE and Societe Generale.
Several French companies applied to the European Commission, who considered that the decisions handed down by the French Supreme
Administrative Court on 10 December 2012, which was supposed to implement the decision rendered by the Court of Justice of the European
Union C-310/09 on 15 September 2011, infringed a number of principles of European law. The European Commission subsequently brought
infringement proceedings against the French Republic in November 2014, and since then confirmed its position by publishing a reasoned
opinion on 28 April 2016 and by referring the matter to the Court of Justice of the European Union on 8 December 2016. The Court of Justice of
European Union rendered its judgement on 4 October 2018 and sentenced France for failure by the French Supreme Administrative Court to
disregard the tax on EU sub-subsidiaries in order to secure the withholding tax paid in error as well as on the absence of any preliminary
question. With regard to the practical implementation of the decision, Societe Generale will assert its rights before the competent courts and the
French tax authority, from which it expects diligent treatment and in accordance with the law. On 23 June 2020, the Administrative Court of
Appeal of Versailles issued a ruling in favour of Societe Generale on our 2002 and 2003 Suez claims, followed by a mid-July enforcement in
our favour. The judgment of Versailles held that the advance payment was not compatible with the Parent-Subsidiary Directive: the French
Supreme Administrative Court, which had also received a request for a priority question of constitutionality, also pointed out that the advance
payment was incompatible with Article 4 of the Parent-Subsidiary Directive but that a question should be referred to the ECJ for a preliminary
ruling in order to ascertain this. It is therefore now appropriate to await the response of the Court of Luxembourg, which should not occur before
the end of 2021.
Societe Generale, along with other financial institutions, has been named as a defendant in a
putative class action alleging violations of
US antitrust laws and the CEA in connection with its involvement in the London Gold Market Fixing. The action is brought on
behalf of persons
or entities that sold physical gold, sold gold futures contracts traded on the CME, sold shares in gold ETFs, sold gold call options traded on
CME, bought gold put options traded on CME, sold over-the-counter gold spot or forward contracts or gold call options, or bought
over-the-counter gold put options. The action is pending in the US District Court in Manhattan. Motions to dismiss the action were denied by an
order dated 4 October 2016, and fact discovery has now been completed. Societe Generale, along with other financial institutions, is also named
as a defendant in two putative class actions in Canada (in the Ontario Superior Court in Toronto and Quebec Superior Court in Quebec City)
involving similar claims.
Since August 2015, various former and current employees of the Societe Generale group have been under investigation by German
criminal prosecution and tax authorities for their alleged participation in the so called "CumEx" patterns in connection with withholding tax on
dividends on German shares. These investigations relate to a fund administered by SGSS GmbH proprietary trading activities and transactions
carried out on behalf of clients. The Group entities respond to the requests of the German authorities.
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SGSS GmbH was informed by the Bonn
District Court on 19 June 2019 that criminal proceedings had been initiated against two
individuals who were employed by a company having previously advised this fund, the
latter being suspected by the German prosecutors to have
been involved in potentially fraudulent CumEx transactions. On 19 August 2019, the Bonn District Court ordered
SGSS GmbH to join these
criminal 153 proceedings as a "secondary party". By order of 16 March 2020, the Bonn District Court, with consent of the Cologne
Prosecutors,
released SGSS GmbH as a secondary party immediately. In addition to being subject to investigations or criminal proceedings, SG Group
entities may be exposed to claims by third parties, including German tax offices, and become party to legal disputes.
In May 2019, SGAS was named, along with other financial institutions, as a defendant in a
putative class action in the US alleging
anticompetitive behaviour in the pricing of "agency bonds" issued by US Government Sponsored Enterprises (GSEs),
including Federal Home
Loan Bank (FHLB), Federal Home Loan Mortgage Corporation (Freddie Mac), and Federal National Mortgage Association (Fannie Mae).
SGAS, along with several other defendants, filed a motion to dismiss on 13 June 2019 which was granted on 29 August 2019 as against SGAS
and several other bank defendants. Plaintiffs filed an amended complaint on 9 September 2019, and a motion to dismiss this amended complaint
was filed on 17 September 2019. That motion was denied on 15 October 2019. On 16 December 2019, plaintiffs and twelve bank defendants,
including SGAS, submitted for court approval a stipulation of settlement in the class action, for USD 250 million. Although SGAS's share of the
settlement is not public, the amount was not material from a financial statement perspective. The class action settlement was finally approved by
the court on 16 June 2020. SGAS was also named in four separate individual opt-out litigations by the following plaintiffs: the State of
Louisiana (filed September 2019), the City of Baton Rouge/East Baton Rouge Parish and related entities (October 2019), Louisiana Asset
Management Pool (April 2020), and the City of New Orleans and related entities (September 2020). These suits also asserted antitrust claims
(and in some cases other related claims) against SGAS and multiple other bank defendants based on these plaintiffs' purchases of GSE bonds.
As to the opt-out litigations, a settlement was reached involving all defendants, of which SGAS's share was immaterial, and these actions have
been dismissed. SGAS also received a subpoena from the US Department of Justice (DOJ) in connection with its US agency bond business.
SGAS responded to these requests and is cooperating with the DOJ investigation.
Societe Generale and certain of its subsidiaries are defendants in an action pending in the US Bankruptcy Court in Manhattan brought by
the Trustee appointed for the liquidation of Bernard L. Madoff Investment Securities LLC (BLMIS). The action is similar to those brought by
the BLMIS Trustee against numerous institutions and seeks recovery of amounts allegedly received by the SG entities indirectly from BLMIS
through so-called "feeder funds" that were invested in BLMIS and from which the SG entities received redemptions. The suit alleges that the
amounts that the SG entities received are avoidable and recoverable under the US Bankruptcy Code and New York state law. The BLMIS
Trustee seeks to recover, in the aggregate, approximately USD 150 million from the SG entities. The SG entities are defending the action. In
decisions dated 22 November 2016 and 3 October 2018, the Court rejected most of the claims brought by the BLMIS Trustee. The Trustee
appealed to the US Court of Appeals for the Second Circuit. By order dated 25 February 2019, the Second Circuit vacated the judgements and
remanded for further proceedings. On 1 June 2020, the United States Supreme Court denied Defendant-Appellees' petition for a writ of
certiorari. The case will now be returned to the District Court for further proceedings.
On 10 July 2019, Societe Generale was named as a defendant in a litigation filed in the US District Court in Miami by plaintiffs seeking
to recover under the Cuban Liberty and Democracy Solidarity (Libertad) Act of 1996 (known as the Helms-Burton Act) for alleged losses
stemming from the expropriation by the Cuban government in 1960 of Banco Nunez in which they are alleged to have held an interest. Plaintiff
claims damages from Societe Generale under the terms of this statute. Plaintiff filed an amended complaint on 24 September 2019 adding three
other banks as defendants and adding several new factual allegations as to Societe Generale. Societe Generale filed a motion to dismiss, which
was fully briefed as of 10 January 2020. While the motion to dismiss was pending, plaintiffs filed an unopposed motion on 29 January 2020, to
transfer the case to federal court in Manhattan, which the court granted on 30 January 2020. Plaintiffs filed a second amended complaint on 11
September 2020, in which it dropped the three other banks as defendants, added a different bank as an additional defendant, and added as
additional plaintiffs who purport to be heirs of the founders of Banco Nunez. A motion to dismiss has been filed.
On 9 November 2020, Societe Generale was named as a defendant, together with another bank, in
similar Helms-Burton litigation filed in
the US District Court in Manhattan (Pujol I) by the purported heirs of former owners, and personal representatives of estates of
heirs or former
owners, of Banco Pujol, a Cuban bank alleged to have been confiscated by the Cuban government in 1960. On 27 January 2021, Societe
Generale filed a motion to dismiss. In response, as permitted by the judge's rules, plaintiffs chose to file an amended complaint and did so on 26
February 2021. Societe Generale filed a motion to dismiss to dismiss the amended complaint on 19 March 2021. On 16 March 2021, Societe
Generale was named as a defendant, together with another bank, in a nearly identical Helms-Burton litigation filed in the US District Court in
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Manhattan (Pujol II) by the personal representative of
one of the purported heirs to Banco Pujol who is also a plaintiff in Pujol I. The deadline
for the defendants to respond to the complaint in Pujol II is stayed through and
including the date of the court's decision on the motion to
dismiss in Pujol I.
On 5 June 2020, a shareholder of Societe Generale filed a derivative action in New York State court against 39 current and former
directors and officers of the Bank. The complaint alleges that a 2009 written agreement with US banking regulators required the Bank to
implement and maintain an effective anti-money laundering compliance and transaction monitoring system. According to the complaint, the
Bank failed to do so, leading to penalties and forfeitures imposed in November 2018 by a number of federal and New York state agencies and
criminal authorities relating to US sanctions and anti-money laundering laws. The complaint makes claims for, among other things, breaches of
duty related to these matters. This litigation is at an early procedural stage, and a motion to dismiss on a variety of grounds is expected.
On 16 October 2020, Vestia brought proceedings against Societe Generale before the High Court of
England regarding the conditions
pursuant to which Vestia contracted derivative products with Societe Generale between 2008 and 2011. Vestia claims that these transactions
were outside of its capacity and alleges they were induced by corruption. Vestia seeks to rescind the transactions and recover the amounts paid
to Societe Generale pursuant to these transactions. On 8 January 2021, Societe Generale filed its Statement of Defence and Counterclaim.
On 20 October 2020, Societe Generale Securities Australia Pty Ltd ("SGSAPL") was
sentenced by the Local Court in Sydney on charges
relating to breaches of client money obligations. SGSAPL was required to pay a total penalty of AUD 30,000 for facts
which occurred over the
period from December 2014 to February 2017 and which were self-declared to the Australian Securities and Investment Commission.
On June 1, 2021, a shareholder of Societe Generale initiated an action designated by him as a
"derivative action" ('action ut singuli')
before the Commercial Court of Paris against the CEO of the company ('directeur
général'), Mr. Frédéric Oudéa. The claimant alleges that Mr.
Oudéa has committed so-called acts of mismanagement in connection with the
business relationships established between 2007 and 2010 by
Societe Generale with Libyan financial institutions. Facts in connection with these business relationships have
already led to the signing of (i) a
convention judiciaire d'intérêt public on May 24, 2018 between Societe Generale and the Financial Public Prosecutor
(the "CJIP") and (ii) a
Deferred Prosecution Agreement on June 5, 2018 between Societe Generale and the United States Department of Justice (the
"DPA"). Plaintiff
is seeking an order that Mr. Oudéa pay to Societe Generale an amount equal to fines paid to the U.S. and French treasuries under the
CJIP and
the DPA. Societe Generale voluntarily joined these proceedings at the first procedural hearing. The company intends to seek the dismissal of the
claims made by the plaintiff on a variety of grounds.
Compliance Remediation Plan in the Wake of Agreements Entered Into With French and US Authorities
In June 2018, Societe Generale entered into agreements with the US Department of Justice (DOJ) and the US Commodity Futures
Trading Commission (CFTC) to resolve their investigations into IBOR submissions, and with the DOJ and the French Parquet National
Financier (PNF) to resolve their investigations into certain transactions involving Libyan counterparties.
In November 2018, Societe Generale entered into agreements with the US authorities to resolve their investigations into certain US dollar
transactions involving countries, persons or entities subject to US economic sanctions.
As part of these agreements, the Bank has committed to enhance its compliance system in order to prevent and detect any violation of
anti-corruption and bribery, market manipulation and US economic sanction regulations, and any violation of New York state laws. The Bank
has also committed to enhance corporate oversight of its economic sanctions compliance programme. The Bank will not be prosecuted if it
abides by the terms of the agreements, to which Societe Generale is fully committed.
The Bank has also agreed with the US Federal Reserve to hire an independent consultant to assess the Bank's progress on the
implementation of measures to strengthen its compliance programme.
To meet the commitments made by Societe Generale as part of these agreements, the Bank has developed a programme to implement
these commitments and strengthen its compliance system in the relevant areas. This programme has been placed under the direct supervision of
the Group Head of Compliance. In addition, the programme's Steering Committee is chaired by a member of the Bank's General Management,
and a programme progress report is presented to the Board of Directors on a monthly basis.
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In 2020, the Programme was rolled out according to the schedule presented to the internal Governance bodies and
the various authorities
receiving regular reports on the progress of remedial actions. Moreover, the external audits provided in the agreements have been conducted or
are under way.
On 14 December 2020, Societe Generale was notified of the termination of proceedings notice issued by the Financial Prosecutor of the
French Republic (the Procureur de la République Française, or PRF) in connection with certain transactions with Libyan counterparties.
United States Compliance Remediation Plan
On 19 November 2018, Societe Generale Group and its New York branch (SGNY) entered into an
agreement (enforcement action) with
the NY State Department of Financial Services regarding the SGNY anti-money laundering compliance programme. This agreement requires
(i)
submitting an enhanced anti-money laundering programme, (ii) an anti-money laundering governance plan, and (iii) the performance of an
external audit in 2020.
As background information, on 14 December 2017, Societe Generale and SGNY on the one hand, and the Board of Governors of the
Federal Reserve on the other hand, agreed to a Cease and Desist order (the "Order") regarding the SGNY compliance programme to adhere to
the Bank Secrecy Act ("BSA") and its anti-money laundering ("AML") obligations (the "Anti-Money Laundering Compliance Program"), and
regarding some aspects of its Know Your Customer programme.
This Cease and Desist Order signed on 14 December 2017 with the US Federal Reserve supersedes the Written Agreement entered into in
2009 between Societe Generale Group and SGNY on the one hand, and the US Federal Reserve and the New York State Financial Services
Department on the other hand.
Included by the Sponsor from the NFA website and not provided by Societe Generale
The foregoing discussion was provided by Societe Generale based upon its 2021 registration statement as noted above. Below are CFTC
releases related to other matters from the NFA website and not provided by Societe Generale.
CFTC Case #17-01, December 7, 2016. CFTC Orders Paris-Based Societe Generale SA to Pay a $450,000
Penalty for Failing to Timely
Report Swap Transactions
Washington, DC – The U.S. Commodity Futures Trading Commission (CFTC) today issued an Order filing and simultaneously settling
charges against Societe Generale SA (Societe Generale) for failing to properly report certain non-deliverable forward transactions to a swap data
repository (SDR), and failing to timely report to an SDR a large number of FX swap, FX forward, and non-deliverable forward transactions, in
violation of the Commodity Exchange Act (CEA) and CFTC Regulations. Societe Generale is a swap dealer headquartered in Paris, France that
has been provisionally registered with the CFTC in that capacity since December 31, 2012.
The CFTC Order requires Societe Generale to pay a $450,000 civil monetary penalty and to cease and desist from committing further
violations of the CEA and CFTC Regulations, as charged.
As stated in the Order, the accuracy and completeness of swap reporting are critical to the Commission's mission to protect market
participants and to ensure market integrity. In particular, the Order states that the CEA requires parties to a swap transaction to report swap
transaction information to a registered SDR in a timely manner, and requires swap dealers to report swap transactions to an SDR within such
time period as prescribed by the CFTC. The Order further states that CFTC Regulations 43 and 45 specify requirements for real-time public
reporting, public availability of swap transaction and pricing data, and reporting of creation and continuation data to an SDR. According to the
Order, the reporting requirements are designed to enhance transparency, promote standardization, and reduce systemic risk.
The Order finds that in July 2014 Societe Generale implemented a software update to its FX
trading platform which led to the trading
platform incorrectly coding Societe Generale's counterparty as the reporting counterparty for certain FX swap, FX forward,
and non-deliverable
forward transactions, which resulted in no reports being made to the SDR regarding the swaps. According to the Order, Societe Generale did not
discover the error until January 2015, and it was not until April 2015 that Societe Generale was able to fix it. The Order finds that Societe
Generale initiated a project to identify trades affected by the coding error and in September 2015 notified CFTC staff about its failure to report.
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According to the Order, Societe Generale back-loaded
approximately 51,821 unreported transactions in October 2015 and in April and May
2016 made submissions to its SDR for approximately 2,024 non-deliverable forward
transactions.
During the relevant period, Societe Generale inadvertently failed to
properly report non-deliverable forward transactions to a SDR in
violation of Section 2(a)(13)(F) and (G) of the Commodity Exchange Act, 7 U.S.C. § 2(a)(l3)(F), (G)
(2012) and Regulations 43.3(a)(3) and
43.4(a), 17 C.F.R. §§ 43.3(a)(3), 43.4(a) (2016). Similarly, during the relevant period, Societe Generale, as the reporting
counterparty,
mistakenly failed to timely report to a registered swap data repository a large number of FX swap, FX forward, and non-deliverable forward
transactions, including the requisite continuation data for those transactions, in violation of Section 4r(a)(3) of the Commodity Exchange Act, 7
U.S.C. § 6r(a)(3) (2012) and Regulations 45.3(c)(l) and 45.4(a), 17 C.F.R. §§ 45.3(c)(l), 45.4(a) (2016).
The Order recognizes that Societe Generale cooperated with the CFTC's investigation by
self-reporting its errors, undertaking an internal
investigation, and taking remedial action to correct its reporting failures.
CFTC Case #18-14, June 4, 2018. CFTC Orders Societe Generale S.A. to Pay $475 Million Penalty to
Resolve Charges of Manipulation,
Attempted Manipulation, and False Reporting of LIBOR and Euribor
Washington, DC – The Commodity Futures Trading Commission (CFTC) issued an Order today
filing and settling charges against
Societe Generale S.A. (Societe Generale or the Bank) for attempted manipulation of and false reporting in connection with the London
Interbank
Offered Rate (LIBOR) for U.S. Dollar, Yen and Euro, and the Euro Interbank Offered Rate (Euribor), certain instances of manipulation of Yen
LIBOR, and aiding and abetting traders at another bank in their attempts to manipulate Euribor. The Bank's misconduct spans more than six
years, from 2006 through mid-2012. The CFTC Order requires Societe Generale to pay a civil monetary penalty of $475 million, cease and
desist from further violations as charged, and adhere to specific undertakings to ensure the integrity of its LIBOR, Euribor, and other benchmark
interest rate submissions in the future.
LIBOR and Euribor are global interest rate benchmarks that act as the basis of pricing for trillions of dollars of financial instruments,
including U.S. based exchange-traded futures contracts and swaps transactions. Markets, investors, and consumers in the United States and
around the world rely on the integrity of these benchmark interest rates.
LIBOR and Euribor are fixed each day based on rates submitted by a select panel of banks. They are supposed to reflect or relate to the
true costs of borrowing unsecured funds in the relevant interbank market. In determining what rates to submit, each panel bank is to make an
honest assessment of those costs. Benchmark submissions thus convey market information about borrowing costs for unsecured funds, the
liquidity conditions and stress in the money markets, and a bank's ability to borrow funds in the particular markets. As reflected in the CFTC's
Order, at various times during the relevant period, Societe Generale made its submissions for U.S. Dollar, Euro and Yen LIBOR and Euribor
based on impermissible factors.
The Order finds that Societe Generale engaged in misconduct that undermined the integrity of LIBOR and Euribor for two distinct
purposes. From May 2010 through mid-2012, during a period of market strain due to the Greek sovereign debt crisis, Societe Generale made
false reports of U.S. Dollar and Euro LIBOR and Euribor to protect its reputation from speculation that it was having more difficulty borrowing
unsecured funds than other banks. Societe Generale made these false reports at the direction of certain members of executive management,
including the Chief Financial Officer and Head of Corporate Investment Banking, as well as senior Treasury managers, including the Global
Head of Treasury. At other times, as detailed below, Societe Generale made false reports concerning U.S. Dollar, Yen, and Euro LIBOR and
Euribor in attempts to manipulate the setting of those benchmarks, and for Yen LIBOR was, at certain times, successful in its attempts to
manipulate, in order to benefit trading positions that were priced based on LIBOR or Euribor, or in other words, for profit.
As the Order finds, Societe Generale engaged in misconduct even after it knew that the CFTC was
investigating the Bank's Euribor and
LIBOR submission practices as of July and September 2011. Societe Generale continued to make false U.S. Dollar LIBOR submissions
by
submitting rates lower than its true costs of borrowing funds in order to protect its reputation. Moreover, in early 2012, Societe Generale
conducted an internal audit of its LIBOR submission process, which produced an anemic report that failed to identify glaring improprieties and
concluded the Bank's submitted rates were "consistent with" British Bankers' Association guidelines despite an abundance of evidence to
the contrary.
Societe Generale
Makes False Submissions to Protect
Reputation As Directed by Executive Management from May 2010 through
Mid-2012
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The CFTC Order specifically finds that
in May 2010, during a period of market strain due to the Greek sovereign debt crisis to which
Societe Generale had exposure, Societe Generale's U.S. Dollar LIBOR
submissions garnered the attention of press and market analysts because
the submissions were consistently higher than the submissions of many other banks, reflecting to
the market that the Bank was paying higher
interest rates than other banks in order to borrow unsecured funds. This raised the concerns of certain members of Societe
Generale's executive
management that the relatively higher U.S. Dollar LIBOR submissions were creating an impression that the Bank was struggling to finance itself
and the Bank would appear less financially stable compared to its competitors, especially the French banks. Certain members of executive
management expressed anger over the Bank's submissions having a negative impact on its reputation. They instructed the Bank's Global Head
of Treasury that Societe Generale's submissions should not be among the highest of the non-eliminated banks and should not raise questions
about the Bank's financial stability. Societe Generale's Global Head of Treasury conveyed these executive managers' concerns and instructions
to the members of Treasury responsible for making the submissions. At the direction of these managers, the Bank's LIBOR and Euribor
submitters were to lower the Societe Generale's LIBOR submissions to ensure that there was no further scrutiny from the press or market
analysts and to assuage the concerns of the executive management. Societe Generale's submitters followed the instructions, with one manager
noting that it was "a total charade." Societe Generale also lowered its Euribor submissions to match the Bank's lower Euro LIBOR submissions
to avoid detection of their false depression of Euro LIBOR because the benchmarks tended to move in tandem.
The Order finds that at times, members of Societe Generale's Treasury Desks expressed
discomfort and concern about Societe Generale's
submission practices. "We have increased our market funding levels without moving our LIBOR contribution I
think we are leaving ourselves
exposed to a possible claim of market manipulation … I am extremely uncomfortable with this situation." Certain members of
executive
management were informed that submissions did not match what the Bank was paying in the market, being told at one point, "we remain in
breach," "we're very far away from reality," and "we're in cloud cuckoo land with our contributions." The Bank made false U.S. Dollar LIBOR
submissions until at least July 2012 and made false Euro LIBOR and Euribor submissions until at least July 2010.
According to the Order, as scrutiny of panel banks LIBOR submissions practices intensified and
Societe Generale's fear of exposure
grew, Societe Generale started to gradually increase its submissions, hoping to avoid any market reaction. Societe Generale also
took steps to
conceal its misconduct, including preparing fictitious borrowing costs data to submit to the LIBOR administrator to justify the Bank's
submissions, discussing, dissembling and justifying aberrant deals done at levels above the submissions, and sending false bids for U.S. Dollars
into the wider market while telling potential lenders one-on-one that the Bank was willing to pay much higher rates. These tactics were meant to
hide the disconnection between the costs of funds and its U.S. Dollar LIBOR submissions. The Order also finds that upon facing inquiry into
their misconduct, members of the Bank's Treasury desks wanted indemnification letters, discussed that they "played dumb" when questioned
about the Bank's LIBOR submission process and joked that, "I don't want to go to prison by myself…" and, "You'll have to bring us oranges
when we're in prison."
Societe Generale's Attempts to Manipulate U.S. Dollar, Yen, and Euro LIBOR and Euribor To Benefit Trading Positions
○
The CFTC Order further finds that at various times, Societe Generale, through the acts of members of its Paris Treasury Desk
and others, attempted to manipulate the fixing of LIBOR and Euribor by making false submissions to benefit money market
and derivatives trading positions. The Treasury Desks were profit centers for Societe Generale and traders' compensation was
based in part upon the profitability of the Desk.
○
From February 2009 to mid-May 2010, Societe Generale, through
its submitters, based the Bank's U.S. Dollar LIBOR submissions,
in whole or in part, on whatever the Paris Treasury Desk believed was most beneficial for the
desk's positions on
any given day. If successful in affecting the fixing, the Bank would profit on certain money market and derivatives positions
placed by the Paris Treasury Desk by increasing payments from counterparties on assets or decreasing payments to
counterparties on liabilities. At one point, as part of a strategy to push the U.S. Dollar LIBOR fixing higher to benefit a long
position in the one month tenor, Societe Generale attempted to make the highest submission that would be included in the calculation
for the final U.S. Dollar LIBOR fixing. From mid-September 2009 to mid-March 2010, 88% of the Bank's U.S. Dollar
LIBOR submissions in the one-month tenor were ranked as one of the three highest submissions in the calculation (i.e. the
tenth to twelfth highest submission in the panel) for the final fixing. And its submissions were consistently above its borrowing
costs and the LIBOR fixing.
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○
From 2006 to at least March 2007, Societe Generale, through its
submitters and derivatives traders, attempted to manipulate
Euribor. Senior Euro derivatives traders at the Bank regularly sent requests to the Bank's Euribor
submitters on the Paris
Treasury Desk to adjust the Bank's Euribor submissions to benefit trading positions, which were occasionally accommodated.
On certain occasions, the submitters did not accommodate the requests of the derivatives traders because the Paris
Treasury Desk itself held positions which would have benefited with an opposite movement in the fixing, at which point a
decision was made to submit toward the "middle" to accommodate both trading positions.
○
During the same period, Societe Generale aided and abetted a Barclays derivatives trader's attempts to manipulate Euribor
during the same period. At the time, certain Societe Generale Euro derivatives traders engaged in a two-way scheme of sending
submission requests to, and receiving requests from, Barclays derivatives traders to relay to their respective Euribor submitters.
Société Générale traders relayed Barclays traders' requests to Societe Generale's Euribor submitters to benefit either
the Barclays traders' trading positions, or both the Barclays traders' and the Société Générale traders' positions. On certain
occasions the Bank's submitters accommodated these requests.
○
In the fall of 2007, Societe Generale through its submitters
and certain traders and senior managers on the Paris Treasury
Desk, attempted to manipulate Euribor and Euro LIBOR to benefit the desk's money market and
derivatives trading positions
and mitigate losses. The Head of Paris Treasury, who eventually became the Global Head of Treasury, instructed the submitters
to skew the Bank's submissions to mitigate losses on a particularly large trading position held by the Desk. One submitter
commented, "We have been instructed to [ensure] that the [3 month Euirbor fixing] drops […] And when you're told you
have to, well….You do it." When the Head of London Treasury asked about it, the Head of Paris Treasury acknowledged,
"Yeah, it was some manipulation . . . ."
○
From July 2006 through August 2007, Societe Generale, through
its derivatives traders, submitters, and senior Treasury managers,
attempted to manipulate Yen LIBOR and on certain occasions, successfully manipulated Yen LIBOR. The
Société
Générale's Head of Treasury for Europe and Asia ordered the Yen Submitter to accommodate the submission requests of certain
Societe Generale Yen derivatives traders in Tokyo. Despite knowing the impropriety of the requests, the Yen LIBOR
Submitter complied with the order and accommodated these requests.
The Order also finds that Societe Generale's lack of internal controls, procedures, and policies concerning its LIBOR and Euribor
submission processes and its failure to adequately supervise its money market and derivatives trading desks and traders allowed this misconduct
to occur. Societe Generale did not have policies, internal controls, or procedures for determining or monitoring its benchmark interest rate
submissions to ensure that the Bank's LIBOR and Euribor submissions were appropriately submitted based on an assessment of the costs of
borrowing unsecured funds in the relevant interbank markets. Société Générale's failure to provide internal training or implement standards
around its LIBOR and Euribor submissions, to prohibit inappropriate communications between traders and submitters, and to recognize and
monitor obvious conflicts of interest, all led to a culture of misconduct and permitted such misconduct to continue for a number of years,
according to the Order.
In a related action by the U.S. Department of Justice (DOJ), Societe Generale entered into a deferred prosecution agreement for violations
of the Commodity Exchange Act for the same underlying misconduct and accepted a penalty of $275 million.
The CFTC Order recognizes the Bank's significant cooperation with the CFTC Division of Enforcement's investigation, including
identifying and disclosing additional specific misconduct in responding to the Division's requests for documents and information.
The CFTC thanks and acknowledges the valuable assistance of the Department of Justice, the
Washington Field Office of the Federal
Bureau of Investigation, The Autorité des marchés financiers in France, and the UK Financial Conduct Authority.
The foregoing discussion
was provided by Societe Generale. Below is
information from a CFTC release and has not been provided by Societe
Generale.
The Commodity Futures Trading Commission ("CFTC") on September 29, 2021 issued an Order filing and
settling charges against Société Générale S.A. ("Société Générale"), requiring Société
Générale to pay a $1.5 million civil
monetary penalty and to undertake remedial relief. The Order finds that from in or about 2013 to at least
July 2021,
Société Générale, a provisionally registered swap dealer, failed to supervise its mid-market mark disclosure process
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diligently, resulting in
Société Générale failing to comply with mid-market mark disclosure and swap data repository
("SDR") reporting
requirements for certain swap transactions. Société Générale's failure to perform its supervisory
obligations diligently with
respect to mid-market mark disclosures resulted in numerous violations of the Act and
Regulations. Specifically, for many years, Société
Générale failed to disclose daily mid-market marks ("daily marks")
entirely to a significant portion of its counterparties for
which Société Générale was subject to daily mark disclosure
requirements. For certain other swaps, Société
Générale provided counterparties inaccurate daily marks and reported
inaccurate swap valuation data to an SDR. Finally, Société
Générale also failed to disclose pre-trade mid-market marks to
counterparties to swaps it transacted over certain electronic trading platforms.
In each instance, Société Générale's
failures went undetected for extended periods due to its inadequate supervision and
controls over its mid-market mark
disclosure process.
UBS AG ("UBS")
UBS AG's ("UBS") principal business address is Bahnhofstrasse 45, Zurich, CH 8001, Switzerland. UBS is acting as a swap dealer for
the Funds. UBS AG is registered in the US with National Futures Association (NFA) as a provisionally registered Swap Dealer.
UBS AG is a subsidiary of UBS Group AG. From time to time, UBS AG, UBS Group AG and its and their
subsidiaries, officers and
employees are involved in proceedings and receive inquiries, subpoenas and notices of investigation relating to various aspects of its business
some of which result in sanction. Details are set out in UBS AG's and UBS Group AG's quarterly and annual reporting, which can be found at
https://www.ubs.com/global/en/investor-relations.html. Additional information can be found in the BrokerCheck Report of UBS Securities LLC,
a UBS AG affiliate, which is available at https://brokercheck.finra.org/firm/summary/7654 by clicking on Detailed Report.
The disclosures below are extracts from UBS AG's and UBS Group AG's Annual Reports
dating back five years:
2019 Annual Report
1. Inquiries regarding cross-border wealth management businesses.
Tax and regulatory authorities in a number of countries have made inquiries, served requests for
information or examined employees
located in their respective jurisdictions relating to the cross-border wealth management services provided by UBS and other financial
institutions. It is possible that the implementation of automatic tax information exchange and other measures relating to cross-border provision
of financial services could give rise to further inquiries in the future. UBS has received disclosure orders from the Swiss Federal Tax
Administration (FTA) to transfer information based on requests for international administrative assistance in tax matters. The requests concern a
number of UBS account numbers pertaining to current and former clients and are based on data from 2006 and 2008. UBS has taken steps to
inform affected clients about the administrative assistance proceedings and their procedural rights, including the right to appeal. The requests are
based on data received from the German authorities, who seized certain data related to UBS clients booked in Switzerland during their
investigations and have apparently shared this data with other European countries. UBS expects additional countries to file similar requests. The
Swiss Federal Administrative Court ruled in 2016 that, in the administrative assistance proceedings related to a French bulk request, UBS has
the right to appeal all final FTA client data disclosure orders. On 30 July 2018, the Swiss Federal Administrative Court granted UBS's appeal by
holding the French administrative assistance request inadmissible.
The FTA filed a final appeal with the Swiss Federal Supreme Court. On 26 July 2019, the Supreme Court reversed the decision of the
Federal Administrative Court. In December 2019, the court released its written decision. The decision requires the FTA to obtain confirmation
from the French authorities that transmitted data will be used only for the purposes stated in their request before transmitting any data. The
stated purpose of the original request was to obtain information relating to taxes owed by account holders. Accordingly, any information
transferred to the French authorities must not be passed to criminal authorities or used in connection with the ongoing case against UBS
discussed in this item.
Since 2013, UBS (France) S.A., UBS AG and certain former employees have been under investigation in France for alleged complicity in
unlawful solicitation of clients on French territory, regarding the laundering of proceeds of tax fraud, and banking and financial solicitation by
unauthorized persons. In connection with this investigation, the investigating judges ordered UBS AG to provide bail ("caution") of EUR 1.1
billion and UBS (France) S.A. to post bail of EUR 40 million, which was reduced on appeal to EUR 10 million.
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A trial in the court of first instance
took place from 8 October 2018 until 15 November 2018. On 20 February 2019, the court announced a
verdict finding UBS AG guilty of unlawful solicitation of clients on
French territory and aggravated laundering of the proceeds of tax fraud, and
UBS (France) S.A. guilty of aiding and abetting unlawful solicitation and laundering the
proceeds of tax fraud. The court imposed fines
aggregating EUR 3.7 billion on UBS AG and UBS (France) S.A. and awarded EUR 800 million of civil damages to the French
state. UBS has
appealed the decision. Under French law, the judgment is suspended while the appeal is pending. The trial in the Court of Appeal is scheduled
for June 2020. The Court of Appeal will retry the case de novo as to both the law and the facts, and the fines and penalties can be greater than or
less than those imposed by the court of first instance. A subsequent appeal to the Cour de Cassation, France's highest court, is possible with
respect to questions of law.
UBS believes that based on both the law and the facts the judgment of the court of first instance should be reversed. UBS believes it
followed its obligations under Swiss and French law as well as the European Savings Tax Directive. Even assuming liability, which it contests,
UBS believes the penalties and damage amounts awarded greatly exceed the amounts that could be supported by the law and the facts. In
particular, UBS believes the court incorrectly based the penalty on the total regularized assets rather than on any unpaid taxes on those assets for
which a fraud has been characterized and further incorrectly awarded damages based on costs that were not proven by the civil party.
Notwithstanding that UBS believes it should be acquitted, our balance sheet at 31 December 2019 reflected provisions with respect to this matter
in an amount of EUR 450 million (USD 505 million at 31 December 2019). The wide range of possible outcomes in this case contributes to a
high degree of estimation uncertainty. The provision reflected on our balance sheet at 31 December 2019 reflects our best estimate of possible
financial implications, although it is reasonably possible that actual penalties and civil damages could exceed the provision amount.
In 2016, UBS was notified by the Belgian investigating judge that it is under formal
investigation ("inculpé") regarding the laundering of
proceeds of tax fraud, of banking and financial solicitation by unauthorized persons, and of serious
tax fraud. In 2018, tax authorities and a
prosecutor's office in Italy asserted that UBS is potentially liable for taxes and penalties as a result of its activities
in Italy from 2012 to 2017. In
June 2019, UBS entered into a settlement agreement with the Italian tax authorities under which it paid EUR 101 million to resolve the
claims
asserted by the authority related to UBS AG's potential permanent establishment in Italy. In October 2019, the Judge of Preliminary
Investigations of the Milan Court approved an agreement with the Milan prosecutor under Article 63 of Italian Administrative Law 231 under
which UBS AG, UBS Switzerland AG and UBS Monaco have paid an aggregate of EUR 10.3 million to resolve claims premised on the alleged
inadequacy of historical internal controls. No admission of wrongdoing was required in connection with this resolution.
Our balance sheet at 31 December 2019 reflected provisions with respect to matters described in
this item 1 in an amount that UBS
believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established
provisions,
the future outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and
accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
2. Claims related to sales of residential mortgage-backed securities and
mortgages
From 2002 through 2007, prior to the crisis in the US residential loan
market, UBS was a substantial issuer and underwriter of US
residential mortgage-backed securities (RMBS) and was a purchaser and seller of US residential mortgages. A
subsidiary of
UBS, UBS Real Estate Securities Inc. (UBS RESI), acquired pools of
residential mortgage loans from originators and (through an
affiliate) deposited them into securitization trusts. In this manner, from 2004 through 2007, UBS RESI
sponsored approximately USD 80 billion
in RMBS, based on the original principal balances of the securities issued. UBS RESI also sold pools of loans acquired from
originators to
third-party purchasers. These whole loan sales during the period 2004 through 2007 totaled approximately USD 19 billion in original principal
balance. UBS was not a significant originator of US residential loans. A branch of UBS originated approximately USD 1.5 billion in US
residential mortgage loans during the period in which it was active from 2006 to 2008 and securitized less than half of these loans.
Lawsuits
related to contractual representations and warranties
concerning mortgages and RMBS:
When UBS acted as an RMBS sponsor or mortgage
seller, it
generally made certain representations relating to the characteristics of the underlying loans. In the event of a material breach of these
representations, UBS was in
certain circumstances contractually obligated to repurchase the loans to which the representations related or to
indemnify certain parties against losses. In 2012, certain
RMBS trusts filed an action in the US District Court for the Southern District of New
York seeking to enforce UBS RESI's obligation to repurchase loans in the
collateral pools for three RMBS securitizations issued and
underwritten by UBS with an original principal balance of approximately USD 2 billion. In July 2018, UBS and the
trustee entered into an
agreement under which UBS will pay USD 850 million to resolve this matter. A significant portion of this amount will be borne by other parties
that indemnified UBS. In January 2020, the settlement was approved by the court. Proceedings to determine how the settlement funds will be
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distributed to RMBS holders are ongoing. After giving
effect to this settlement, UBS considers claims relating to substantially all loan
repurchase demands to be resolved and believes that new demands to repurchase US
residential mortgage loans are time-barred under a decision
rendered by the New York Court of Appeals.
Mortgage-related regulatory matters:
Since 2014, the US Attorney's Office for the
Eastern
District of New York has sought information from UBS pursuant to the Financial Institutions Reform, Recovery and Enforcement Act of 1989
(FIRREA), related to UBS's RMBS business from 2005 through 2007. On 8 November 2018, the DOJ filed a civil complaint in the District
Court for the Eastern District of New York. The complaint seeks unspecified civil monetary penalties under FIRREA related to UBS's issuance,
underwriting and sale of 40 RMBS transactions in 2006 and 2007. UBS moved to dismiss the civil complaint on 6 February 2019. On 10
December 2019, the district court denied UBS's motion to dismiss.
Our balance sheet at 31 December 2019 reflected a provision with respect to matters described in this item 2 in an amount that UBS
believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions,
the future outflow of resources in respect of this matter cannot be determined with certainty based on currently available information and
accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
3. Madoff
In relation to the Bernard L. Madoff Investment Securities LLC (BMIS) investment fraud, UBS AG, UBS (Luxembourg) S.A. (now UBS
Europe SE, Luxembourg branch) and certain other UBS subsidiaries have been subject to inquiries by a number of regulators, including the
Swiss Financial Market Supervisory Authority (FINMA) and the Luxembourg Commission de Surveillance du Secteur Financier. Those
inquiries concerned two third-party funds established under Luxembourg law, substantially all assets of which were with BMIS, as well as
certain funds established in offshore jurisdictions with either direct or indirect exposure to BMIS. These funds faced severe losses, and the
Luxembourg funds are in liquidation. The documentation establishing both funds identifies UBS entities in various roles, including custodian,
administrator, manager, distributor and promoter, and indicates that UBS employees serve as board members.
In 2009 and 2010, the liquidators of the two Luxembourg funds filed claims against UBS entities, non-UBS entities and certain
individuals, including current and former UBS employees, seeking amounts totaling approximately EUR 2.1 billion, which includes amounts
that the funds may be held liable to pay the trustee for the liquidation of BMIS (BMIS Trustee).
A large number of alleged beneficiaries have filed claims against UBS entities (and non-UBS entities) for purported losses relating to the
Madoff fraud. The majority of these cases have been filed in Luxembourg, where decisions that the claims in eight test cases were inadmissible
have been affirmed by the Luxembourg Court of Appeal, and the Luxembourg Supreme Court has dismissed a further appeal in one of the test
cases. In the US, the BMIS Trustee filed claims against UBS entities, among others, in relation to the two Luxembourg funds and one of the
offshore funds. The total amount claimed against all defendants in these actions was not less than USD 2 billion. In 2014, the US Supreme Court
rejected the BMIS Trustee's motion for leave to appeal decisions dismissing all claims except those for the recovery of approximately USD 125
million of payments alleged to be fraudulent conveyances and preference payments. In 2016, the bankruptcy court dismissed these claims
against the UBS entities. In February 2019, the Court of Appeals reversed the dismissal of the BMIS Trustee's remaining claims. In August
2019, the defendants, including UBS, filed a petition to the US Supreme Court requesting that it review the Court of Appeals' decision. The
bankruptcy proceedings have been stayed pending a decision with respect to the defendants' petition.
4. Puerto Rico
Declines since 2013 in the market prices of Puerto Rico municipal bonds and of closed-end funds (funds) that are sole managed and
co-managed by UBS Trust Company of Puerto Rico and distributed by UBS Financial Services Incorporated of Puerto Rico (UBS PR) have led
to multiple regulatory inquiries, as well as customer complaints and arbitrations with aggregate claimed damages of USD 3.4 billion, of which
claims with aggregate claimed damages of USD 2.4 billion have been resolved through settlements, arbitration or withdrawal of the claim. The
claims have been filed by clients in Puerto Rico who own the funds or Puerto Rico municipal bonds and/or who used their UBS account assets
as collateral for UBS non-purpose loans; customer complaint and arbitration allegations include fraud, misrepresentation and unsuitability of the
funds and of the loans.
A shareholder derivative action was filed in 2014 against various UBS entities and current and certain former directors of the funds,
alleging hundreds of millions of US dollars in losses in the funds. In 2015, defendants' motion to dismiss was denied and a request for
permission to appeal that ruling was denied by the Puerto Rico Supreme Court. In 2014, a federal class action complaint also was filed against
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various UBS entities, certain members of UBS PR senior
management and the co-manager of certain of the funds, seeking damages for investor
losses in the funds during the period from May 2008 through May 2014. Following denial
of the plaintiffs' motion for class certification, the
case was dismissed in October 2018. In 2014 and 2015, UBS entered into settlements with the Office of the
Commissioner of Financial
Institutions for the Commonwealth of Puerto Rico, the US Securities and Exchange Commission (SEC) and the Financial Industry Regulatory
Authority in relation to their examinations of UBS's operations.
In 2011, a purported derivative action was filed on behalf of the Employee Retirement System of the Commonwealth of Puerto Rico
(System) against over 40 defendants, including UBS PR, which was named in connection with its underwriting and consulting services.
Plaintiffs alleged that defendants violated their purported fiduciary duties and contractual obligations in connection with the issuance and
underwriting of USD 3 billion of bonds by the System in 2008 and sought damages of over USD 800 million. In 2016, the court granted the
System's request to join the action as a plaintiff, but ordered that plaintiffs must file an amended complaint. In 2017, the court denied
defendants' motion to dismiss the amended complaint.
Beginning in 2015, and continuing through 2017, certain agencies and public corporations of the Commonwealth of Puerto Rico
(Commonwealth) defaulted on certain interest payments on Puerto Rico bonds. In 2016, US federal legislation created an oversight board with
power to oversee Puerto Rico's finances and to restructure its debt. The oversight board has imposed a stay on the exercise of certain creditors'
rights. In 2017, the oversight board placed certain of the bonds into a bankruptcy-like proceeding under the supervision of a Federal District
Judge. These events, further defaults or any further legislative action to create a legal means of restructuring Commonwealth obligations or to
impose additional oversight on the Commonwealth's finances, or any restructuring of the Commonwealth's obligations, may increase the
number of claims against UBS concerning Puerto Rico securities, as well as potential damages sought.
In May 2019, the oversight board filed complaints in Puerto Rico federal district court bringing claims against financial, legal and
accounting firms that had participated in Puerto Rico municipal bond offerings, including UBS, seeking a return of underwriting and swap fees
paid in connection with those offerings. UBS estimates that it received approximately USD 125 million in fees in the relevant offerings.
In August 2019 and February 2020, three US insurance companies that insured issues of Puerto Rico
municipal bonds sued UBS and
seven other underwriters of Puerto Rico municipal bonds. The two actions seek recovery of an aggregate of USD 955 million in damages from
the defendants. The plaintiffs in these cases claim that defendants failed to reasonably investigate financial statements in the offering materials
for the insured Puerto Rico bonds issued between 2002 and 2007, which plaintiffs argue they relied upon in agreeing to insure the bonds
notwithstanding that they had no contractual relationship with the underwriters.
Our balance sheet at 31 December 2019 reflected provisions with respect to matters described in this item 4 in amounts that UBS believes
to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, the future
outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly
may ultimately prove to be substantially greater (or may be less) than the provisions that we have recognized.
5. Foreign exchange, LIBOR and benchmark rates, and other trading practices
Foreign exchange-related regulatory matters:
Beginning in 2013, numerous authorities commenced investigations concerning possible
manipulation of
foreign exchange markets and precious metals prices. In 2014 and 2015, UBS reached settlements with the UK Financial
Conduct Authority (FCA) and the US Commodity Futures
Trading Commission (CFTC) in connection with their foreign exchange
investigations, FINMA issued an order concluding its formal proceedings relating to UBS's foreign
exchange and precious metals businesses,
and the Board of Governors of the Federal Reserve System (Federal Reserve Board) and the Connecticut Department of Banking issued
a Cease
and Desist Order and assessed monetary penalties against UBS AG.
In 2015, the DOJ's Criminal Division terminated the 2012 non-prosecution agreement with UBS AG related to UBS's submissions of
benchmark interest rates, and UBS AG pleaded guilty to one count of wire fraud, paid a fine and was subject to probation, which ended in early
January 2020.
In
2019 the European Commission announced two decisions with respect to foreign exchange trading. UBS was granted immunity by the
European Commission in these matters and
therefore was not fined. UBS has ongoing obligations to cooperate with these authorities and to
undertake certain remediation measures. UBS has also been granted
conditional immunity by the Antitrust Division of the DOJ and by
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authorities
in other jurisdictions in connection with potential competition law violations relating to foreign exchange and precious metals
businesses. Investigations relating to
foreign exchange matters by certain authorities remain ongoing notwithstanding these resolutions.
Foreign exchange-related civil litigation:
Putative class actions have
been filed since 2013 in US federal courts and in other jurisdictions
against UBS and other banks on behalf of putative classes of persons who engaged in foreign currency
transactions with any of the defendant
banks. UBS has resolved US federal court class actions relating to foreign currency transactions with the defendant banks and
persons who
transacted in foreign exchange futures contracts and options on such futures under a settlement agreement that provides for UBS to pay an
aggregate of USD 141 million and provide cooperation to the settlement classes. Certain class members have excluded themselves from that
settlement and have filed individual actions in US and English courts against UBS and other banks, alleging violations of US and European
competition laws and unjust enrichment.
In 2015, a putative class action was filed in federal court against UBS and numerous other banks on behalf of persons and businesses in
the US who directly purchased foreign currency from the defendants and alleged co-conspirators for their own end use. In March 2017, the court
granted UBS's (and the other banks') motions to dismiss the complaint. The plaintiffs filed an amended complaint in August 2017. In March
2018, the court denied the defendants' motions to dismiss the amended complaint.
In 2017, two putative class actions were filed in federal court in New York against UBS and numerous other banks on behalf of persons
and entities who had indirectly purchased foreign exchange instruments from a defendant or co-conspirator in the US, and a consolidated
complaint was filed in June 2017. In March 2018, the court dismissed the consolidated complaint. In October 2018, the court granted plaintiffs'
motion seeking leave to file an amended complaint. In January 2020, UBS and 11 other banks agreed in principle with the plaintiffs to settle the
class action for a total of USD 10 million. The settlement is subject to final documentation and court approval.
LIBOR and other benchmark-related regulatory matters:
Numerous government agencies, including the SEC, the CFTC, the DOJ, the
FCA, the UK Serious Fraud Office,
the Monetary Authority of Singapore, the Hong Kong Monetary Authority, FINMA, various state attorneys
general in the US and competition authorities in various
jurisdictions, have conducted investigations regarding potential improper attempts by
UBS, among others, to manipulate LIBOR and other benchmark rates at certain times.
UBS reached settlements or otherwise concluded
investigations relating to benchmark interest rates with the investigating authorities. UBS has ongoing obligations to
cooperate with the
authorities with whom we have reached resolutions and to undertake certain remediation measures with respect to benchmark interest rate
submissions. UBS has been granted conditional leniency or conditional immunity from authorities in certain jurisdictions, including the
Antitrust Division of the DOJ and the Swiss Competition Commission (WEKO), in connection with potential antitrust or competition law
violations related to certain rates. However, UBS has not reached a final settlement with WEKO, as the Secretariat of WEKO has asserted that
UBS does not qualify for full immunity.
LIBOR and other benchmark-related civil litigation:
A number of
putative class actions and other actions are pending in the federal courts
in New York against UBS and numerous other banks on behalf of parties who transacted in certain
interest rate benchmark-based derivatives.
Also pending in the US and in other jurisdictions are a number of other actions asserting losses related to various products
whose interest rates
were linked to LIBOR and other benchmarks, including adjustable rate mortgages, preferred and debt securities, bonds pledged as collateral,
loans, depository accounts, investments and other interest-bearing instruments. The complaints allege manipulation, through various means, of
certain benchmark interest rates, including USD LIBOR, Euroyen TIBOR, Yen LIBOR, EURIBOR, CHF LIBOR, GBP LIBOR, SGD SIBOR
and SOR and Australian BBSW, and seek unspecified compensatory and other damages under varying legal theories.
USD LIBOR class and individual actions in the US:
In 2013 and 2015, the district court in the USD LIBOR actions dismissed, in whole
or in part, certain
plaintiffs' antitrust claims, federal racketeering claims, CEA claims, and state common law claims. Although the Second
Circuit vacated the district court's
judgment dismissing antitrust claims, the district court again dismissed antitrust claims against UBS in 2016.
Certain plaintiffs have appealed that decision to the Second
Circuit. Separately, in 2018, the Second Circuit reversed in part the district court's
2015 decision dismissing certain individual plaintiffs' claims and
certain of these actions are now proceeding. UBS entered into an agreement in
2016 with representatives of a class of bondholders to settle their USD LIBOR class action.
The agreement has received preliminary court
approval and remains subject to final approval. In 2018, the district court denied plaintiffs' motions for class
certification in the USD class
actions for claims pending against UBS, and plaintiffs sought permission to appeal that ruling to the Second Circuit. In July 2018, the
Second
Circuit denied the petition to appeal of the class of USD lenders and in November 2018 denied the petition of the USD exchange class. In
December 2019, UBS entered into an agreement with representatives of the class of USD lenders to settle their USD LIBOR class action. The
agreement has received preliminary court approval and remains subject to final approval. In January 2019, a putative class action was filed in the
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District Court for the Southern District of New York
against UBS and numerous other banks on behalf of US residents who, since 1 February
2014, directly transacted with a defendant bank in USD LIBOR instruments. The
complaint asserts antitrust claims. The defendants moved to
dismiss the complaint in August 2019.
Other benchmark class actions in the US:
In 2014, the court in one of the Euroyen TIBOR lawsuits dismissed certain of the plaintiffs'
claims,
including a federal antitrust claim, for lack of standing. In 2015, this court dismissed the plaintiffs' federal racketeering claims on the
same basis and affirmed
its previous dismissal of the plaintiffs' antitrust claims against UBS. In 2017, this court also dismissed the other Yen
LIBOR / Euroyen TIBOR action in its entirety
on standing grounds, as did the court in the CHF LIBOR action. Also in 2017, the court in the
EURIBOR lawsuit dismissed the case as to UBS and certain other foreign
defendants for lack of personal jurisdiction. Plaintiffs in the other Yen
LIBOR, Euroyen TIBOR and the EURIBOR actions have appealed the dismissals. In October 2018, the
court in the SIBOR / SOR action
dismissed all but one of plaintiffs' claims against UBS. Plaintiffs in the CHF LIBOR and SIBOR / SOR actions filed amended complaints
following the dismissals, and the courts granted renewed motions to dismiss in July 2019 (SIBOR / SOR) and in September 2019 (CHF
LIBOR). Plaintiffs in both actions have appealed. In November 2018, the court in the BBSW lawsuit dismissed the case as to UBS and certain
other foreign defendants for lack of personal jurisdiction. Following that dismissal, plaintiffs in the BBSW action filed an amended complaint in
April 2019, which UBS and other defendants named in the amended complaint have moved to dismiss. In February 2020, the court in the BBSW
action granted in part and denied in part defendants' motions to dismiss the amended complaint. The court dismissed the GBP LIBOR action in
August 2019, and plaintiffs appealed the dismissal in September 2019.
Government bonds:
Putative class actions have been filed since 2015 in
US federal courts against UBS and other banks on behalf of
persons who participated in markets for US Treasury securities since 2007. A consolidated complaint was filed in
2017 in the US District Court
for the Southern District of New York alleging that the banks colluded with respect to, and manipulated prices of, US Treasury securities
sold at
auction and in the secondary market and asserting claims under the antitrust laws and for unjust enrichment. Defendants' motions to dismiss the
consolidated complaint are pending. Similar class actions have been filed concerning European government bonds and other government bonds.
UBS and reportedly other banks are responding to investigations and requests for information from
various authorities regarding
government bond trading practices. As a result of its review to date, UBS has taken appropriate action.
Government sponsored entities (GSE)
bonds:
Starting in February 2019, class action complaints were filed in the US District Court for the Southern District of New York against UBS
and other banks on behalf of plaintiffs who traded GSE bonds. A consolidated complaint was filed alleging collusion in GSE bond trading
between 1 January 2009 and 1 January 2016. In December 2019, UBS and eleven other defendants agreed to settle the class action for a total of
USD 250 million. The settlement is subject to court approval.
With respect to additional matters and jurisdictions not encompassed by the settlements and orders referred to above, our balance sheet at
31 December 2019 reflected a provision in an amount that UBS believes to be appropriate under the applicable accounting standard. As in the
case of other matters for which we have established provisions, the future outflow of resources in respect of such matters cannot be determined
with certainty based on currently available information and accordingly may ultimately prove to be substantially greater (or may be less) than
the provision that we have recognized.
6. Swiss retrocessions
The Federal Supreme Court of Switzerland ruled in 2012, in a test case against UBS, that distribution fees paid to a firm for distributing
third-party and intra-group investment funds and structured products must be disclosed and surrendered to clients who have entered into a
discretionary mandate agreement with the firm, absent a valid waiver. FINMA has issued a supervisory note to all Swiss banks in response to
the Supreme Court decision. UBS has met the FINMA requirements and has notified all potentially affected clients. The Supreme Court decision
has resulted, and may continue to result, in a number of client requests for UBS to disclose and potentially surrender retrocessions. Client
requests are assessed on a case-by-case basis. Considerations taken into account when assessing these cases include, among other things, the
existence of a discretionary mandate and whether or not the client documentation contained a valid waiver with respect to distribution fees. Our
balance sheet at 31 December 2019 reflected a provision with respect to matters described in this item 6 in an amount that UBS believes to be
appropriate under the applicable accounting standard. The ultimate exposure will depend on client requests and the resolution thereof, factors
that are difficult to predict and assess. Hence, as in the case of other matters for which we have established provisions, the future outflow of
resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly may
ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
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7. Securities transaction pricing
and disclosure
UBS identified and reported to the relevant authorities instances in
which some Global Wealth Management clients booked in Hong Kong
and Singapore may have been charged inappropriate spreads on debt securities transactions between 2008 and
2015. In November 2019, UBS
AG entered into a settlement with the Hong Kong Securities and Futures Commission (SFC) under which it was reprimanded and fined HKD
400 million (USD 51 million) and a settlement with the Monetary Authority of Singapore (MAS) under which it was fined SGD 11 million
(USD 8.3 million). In addition, UBS has commenced reimbursing affected customers an aggregate amount equivalent to USD 47 million,
including interest. Our balance sheet at 31 December 2019 reflected a provision with respect to the matter described in this item 7 in an amount
that UBS believes to be appropriate under the applicable accounting standard.
2018 Annual Report
1. Inquiries regarding cross-border wealth management businesses
Tax and regulatory authorities in a number of countries have made inquiries, served requests for information or examined employees
located in their respective jurisdictions relating to the cross-border wealth management services provided by UBS and other financial
institutions. It is possible that the implementation of automatic tax information exchange and other measures relating to cross-border provision
of financial services could give rise to further inquiries in the future. UBS has received disclosure orders from the Swiss Federal Tax
Administration (FTA) to transfer information based on requests for international administrative assistance in tax matters. The requests concern a
number of UBS account numbers pertaining to current and former clients and are based on data from 2006 and 2008. UBS has taken steps to
inform affected clients about the administrative assistance proceedings and their procedural rights, including the right to appeal. The requests are
based on data received from the German authorities, who seized certain data related to UBS clients booked in Switzerland during their
investigations and have apparently shared this data with other European countries. UBS expects additional countries to file similar requests.
The Swiss Federal Administrative Court ruled in 2016 that, in the administrative assistance
proceedings related to a French bulk request,
UBS has the right to appeal all final FTA client data disclosure orders. On 30 July 2018, the Swiss Federal Administrative
Court granted UBS's
appeal by holding the French administrative assistance request inadmissible. The FTA filed a final appeal with the Swiss Federal Supreme
Court. On 26 July 2019, the Supreme Court reversed the decision of the Federal Administrative Court. In December 2019, the court released its
written decision. The decision requires the FTA to obtain confirmation from the French authorities that transmitted data will be used only for the
purposes stated in their request before transmitting any data. The stated purpose of the original request was to obtain information relating to
taxes owed by account holders. Accordingly, any information transferred to the French authorities must not be passed to criminal authorities or
used in connection with the ongoing case against UBS discussed in this item.
Since 2013, UBS (France) S.A., UBS AG and certain former employees have been under investigation in France for alleged complicity in
unlawful solicitation of clients on French territory, regarding the laundering of proceeds of tax fraud, and banking and financial solicitation by
unauthorized persons. In connection with this investigation, the investigating judges ordered UBS AG to provide bail ("caution") of EUR 1.1
billion and UBS (France) S.A. to post bail of EUR 40 million, which was reduced on appeal to EUR 10 million.
A trial in the court of first instance took place from 8 October 2018 until 15 November 2018. On
20 February 2019, the court announced a
verdict finding UBS AG guilty of unlawful solicitation of clients on French territory and aggravated laundering of the proceeds of
tax fraud, and
UBS (France) S.A. guilty of aiding and abetting unlawful solicitation and laundering the proceeds of tax fraud. The court imposed fines
aggregating EUR 3.7 billion on UBS AG and UBS (France) S.A. and awarded EUR 800 million of civil damages to the French state. UBS has
appealed the decision. Under French law, the judgment is suspended while the appeal is pending. The trial in the Court of Appeal is scheduled
for June 2020. The Court of Appeal will retry the case de novo as to both the law and the facts, and the fines and penalties can be greater than or
less than those imposed by the court of first instance. A subsequent appeal to the Cour de Cassation, France's highest court, is possible with
respect to questions of law. UBS believes that based on both the law and the facts the judgment of the court of first instance should be reversed.
UBS believes it followed its obligations under Swiss and French law as well as the European Savings Tax Directive. Even assuming liability,
which it contests,
UBS believes the penalties and damage amounts awarded greatly exceed the amounts that could be
supported by the law and the facts. In
particular, UBS believes the court incorrectly based the penalty on the total regularized assets rather than on any unpaid taxes on
those assets for
which a fraud has been characterized and further incorrectly awarded damages based on costs that were not proven by the civil party.
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Notwithstanding that UBS believes it should be
acquitted, our balance sheet at 31 December 2019 reflected provisions with respect to this matter
in an amount of EUR 450 million (USD 505 million at 31 December 2019).
The wide range of possible outcomes in this case contributes to a
high degree of estimation uncertainty. The provision reflected on our balance sheet at 31 December 2019
reflects our best estimate of possible
financial implications, although it is reasonably possible that actual penalties and civil damages could exceed the provision
amount.
In 2016, UBS was notified by the Belgian investigating judge that it is
under formal investigation ("inculpé") regarding the laundering of
proceeds of tax fraud, of banking and financial solicitation by unauthorized persons,
and of serious tax fraud. In 2018, tax authorities and a
prosecutor's office in Italy asserted that UBS is potentially liable for taxes and penalties as a result of
its activities in Italy from 2012 to 2017. In
June 2019, UBS entered into a settlement agreement with the Italian tax authorities under which it paid EUR 101 million to
resolve the claims
asserted by the authority related to UBS AG's potential permanent establishment in Italy. In October 2019, the Judge of Preliminary
Investigations of the Milan Court approved an agreement with the Milan prosecutor under Article 63 of Italian Administrative Law 231 under
which UBS AG, UBS Switzerland AG and UBS Monaco have paid an aggregate of EUR 10.3 million to resolve claims premised on the alleged
inadequacy of historical internal controls. No admission of wrongdoing was required in connection with this resolution.
Our balance sheet at 31 December 2019 reflected provisions with respect to matters described in
this item 1 in an amount that UBS
believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established
provisions,
the future outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and
accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
2. Claims related to sales of residential mortgage-backed securities and mortgages
From 2002 through 2007, prior to the crisis in the US residential loan market, UBS was a substantial issuer and underwriter of US
residential mortgage-backed securities (RMBS) and was a purchaser and seller of US residential mortgages. A subsidiary of UBS, UBS Real
Estate Securities Inc. (UBS RESI), acquired pools of residential mortgage loans from originators and (through an affiliate) deposited them into
securitization trusts. In this manner, from 2004 through 2007, UBS RESI sponsored approximately USD 80 billion in RMBS, based on the
original principal balances of the securities issued.
UBS RESI also sold pools of loans acquired from originators to third-party purchasers. These whole loan sales during the period 2004
through 2007 totaled approximately USD 19 billion in original principal balance.
UBS was not a significant originator of US residential loans. A branch of UBS originated approximately USD 1.5 billion in US
residential mortgage loans during the period in which it was active from 2006 to 2008 and securitized less than half of these loans.
Lawsuits related to contractual representations and warranties concerning
mortgages and RMBS:
When UBS acted as an RMBS sponsor
or mortgage seller, it generally made
certain representations relating to the characteristics of the underlying loans. In the event of a material
breach of these representations, UBS was in certain
circumstances contractually obligated to repurchase the loans to which the representations
related or to indemnify certain parties against losses. In 2012, certain RMBS
trusts filed an action in the US District Court for the Southern
District of New York seeking to enforce UBS RESI's obligation to repurchase loans in the collateral
pools for three RMBS securitizations
issued and underwritten by UBS with an original principal balance of approximately USD 2 billion. In July 2018, UBS and the trustee
entered
into an agreement under which UBS will pay USD 850 million to resolve this matter. A significant portion of this amount will be borne by other
parties that indemnified UBS. In January 2020, the settlement was approved by the court. Proceedings to determine how the settlement funds
will be distributed to RMBS holders are ongoing. After giving effect to this settlement, UBS considers claims relating to substantially all loan
repurchase demands to be resolved and believes that new demands to repurchase US residential mortgage loans are time-barred under a decision
rendered by the New York Court of Appeals.
Mortgage-related regulatory matters:
Since 2014, the US
Attorney's Office for the Eastern District of New York has sought information
from UBS pursuant to the Financial Institutions Reform, Recovery and Enforcement Act of
1989 (FIRREA), related to UBS's RMBS business
from 2005 through 2007. On 8 November 2018, the DOJ filed a civil complaint in the District Court for the Eastern
District of New York. The
complaint seeks unspecified civil monetary penalties under FIRREA related to UBS's issuance, underwriting and sale of 40 RMBS transactions
in 2006 and 2007. UBS moved to dismiss the civil complaint on 6 February 2019. On 10 December 2019, the district court denied UBS's
motion to dismiss.
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Our balance sheet at 31 December 2019 reflected a provision with respect to matters described in this item 2 in an amount that UBS
believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions,
the future outflow of resources in respect of this matter cannot be determined with certainty based on currently available information and
accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
3. Madoff
In relation to the Bernard L. Madoff Investment Securities LLC (BMIS) investment fraud, UBS AG, UBS (Luxembourg) S.A. (now UBS
Europe SE, Luxembourg branch) and certain other UBS subsidiaries have been subject to inquiries by a number of regulators, including the
Swiss Financial Market Supervisory Authority (FINMA) and the Luxembourg Commission de Surveillance du Secteur Financier. Those
inquiries concerned two third-party funds established under Luxembourg law, substantially all assets of which were with BMIS, as well as
certain funds established in offshore jurisdictions with either direct or indirect exposure to BMIS. These funds faced severe losses, and the
Luxembourg funds are in liquidation. The documentation establishing both funds identifies UBS entities in various roles, including custodian,
administrator, manager, distributor and promoter, and indicates that UBS employees serve as board members.
In 2009 and 2010, the liquidators of the two Luxembourg funds filed claims against UBS entities, non-UBS entities and certain
individuals, including current and former UBS employees, seeking amounts totaling approximately EUR 2.1 billion, which includes amounts
that the funds may be held liable to pay the trustee for the liquidation of BMIS (BMIS Trustee).
A large number of alleged beneficiaries have filed claims against UBS entities (and non-UBS entities) for purported losses relating to the
Madoff fraud. The majority of these cases have been filed in Luxembourg, where decisions that the claims in eight test cases were inadmissible
have been affirmed by the Luxembourg Court of Appeal, and the Luxembourg Supreme Court has dismissed a further appeal in one of the test
cases. In the US, the BMIS Trustee filed claims against UBS entities, among others, in relation to the two Luxembourg funds and one of the
offshore funds. The total amount claimed against all defendants in these actions was not less than USD 2 billion. In 2014, the US Supreme Court
rejected the BMIS Trustee's motion for leave to appeal decisions dismissing all claims except those for the recovery of approximately USD 125
million of payments alleged to be fraudulent conveyances and preference payments. In 2016, the bankruptcy court dismissed these claims
against the UBS entities. In February 2019, the Court of Appeals reversed the dismissal of the BMIS Trustee's remaining claims. In August
2019, the defendants, including UBS, filed a petition to the US Supreme Court requesting that it review the Court of Appeals' decision. The
bankruptcy proceedings have been stayed pending a decision with respect to the defendants' petition.
4. Puerto Rico
Declines since 2013 in the market prices of Puerto Rico municipal bonds and of closed-end funds
(funds) that are sole-managed and
co-managed by UBS Trust Company of Puerto Rico and distributed by UBS Financial Services Incorporated of Puerto Rico (UBS PR) have led
to multiple regulatory inquiries, as well as customer complaints and arbitrations with aggregate claimed damages of USD 3.4 billion, of which
claims with aggregate claimed damages of USD 2.4 billion have been resolved through settlements, arbitration or withdrawal of the claim. The
claims have been filed by clients in Puerto Rico who own the funds or Puerto Rico municipal bonds and/or who used their UBS account assets
as collateral for UBS non-purpose loans; customer complaint and arbitration allegations include fraud, misrepresentation and unsuitability of the
funds and of the loans.
A shareholder derivative action was filed in 2014 against various UBS entities and current and certain former directors of the funds,
alleging hundreds of millions of US dollars in losses in the funds. In 2015, defendants' motion to dismiss was denied and a request for
permission to appeal that ruling was denied by the Puerto Rico Supreme Court. In 2014, a federal class action complaint also was filed against
various UBS entities, certain members of UBS PR senior management and the co-manager of certain of the funds, seeking damages for investor
losses in the funds during the period from May 2008 through May 2014. Following denial of the plaintiffs' motion for class certification, the
case was dismissed in October 2018.
In 2014 and 2015, UBS entered into settlements with the Office of the Commissioner of Financial Institutions for the Commonwealth of
Puerto Rico, the US Securities and Exchange Commission (SEC) and the Financial Industry Regulatory Authority in relation to their
examinations of UBS's operations. In 2011, a purported derivative action was filed on behalf of the Employee Retirement System of the
Commonwealth of Puerto Rico (System) against over 40 defendants, including UBS PR, which was named in connection with its underwriting
and consulting services. Plaintiffs alleged that defendants violated their purported fiduciary duties and contractual obligations in connection with
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the issuance and underwriting of USD 3 billion of bonds
by the System in 2008 and sought damages of over USD 800 million. In 2016, the
court granted the System's request to join the action as a plaintiff, but ordered that
plaintiffs must file an amended complaint. In 2017, the court
denied defendants' motion to dismiss the amended complaint.
Beginning in 2015, and continuing through 2017, certain agencies and public corporations of the
Commonwealth of Puerto Rico
(Commonwealth) defaulted on certain interest payments on Puerto Rico bonds. In 2016, US federal legislation created an oversight board with
power to oversee Puerto Rico's finances and to restructure its debt. The oversight board has imposed a stay on the exercise of certain creditors'
rights. In 2017, the oversight board placed certain of the bonds into a bankruptcy-like proceeding under the supervision of a Federal District
Judge. These events, further defaults or any further legislative action to create a legal means of restructuring Commonwealth obligations or to
impose additional oversight on the Commonwealth's finances, or any restructuring of the Commonwealth's obligations, may increase the
number of claims against UBS concerning Puerto Rico securities, as well as potential damages sought.
In May 2019, the oversight board filed complaints in Puerto Rico federal district court bringing claims against financial, legal and
accounting firms that had participated in Puerto Rico municipal bond offerings, including UBS, seeking a return of underwriting and swap fees
paid in connection with those offerings. UBS estimates that it received approximately USD 125 million in fees in the relevant offerings.
In August 2019 and February 2020, three US insurance companies that insured issues of Puerto Rico
municipal bonds sued UBS and
seven other underwriters of Puerto Rico municipal bonds. The two actions seek recovery of an aggregate of USD 955 million in damages from
the defendants. The plaintiffs in these cases claim that defendants failed to reasonably investigate financial statements in the offering materials
for the insured Puerto Rico bonds issued between 2002 and 2007, which plaintiffs argue they relied upon in agreeing to insure the bonds
notwithstanding that they had no contractual relationship with the underwriters.
5. Foreign exchange, LIBOR and benchmark rates, and other trading practices
Foreign exchange-related regulatory matters:
Beginning in 2013,
numerous authorities commenced investigations concerning possible
manipulation of foreign exchange markets and precious metals prices. In 2014 and 2015, UBS reached
settlements with the UK Financial
Conduct Authority (FCA) and the US Commodity Futures Trading Commission (CFTC) in connection with their foreign exchange
investigations, FINMA issued an order concluding its formal proceedings relating to UBS's foreign exchange and precious metals businesses,
and the Board of Governors of the Federal Reserve System (Federal Reserve Board) and the Connecticut Department of Banking issued a Cease
and Desist Order and assessed monetary penalties against UBS AG. In 2015, the DOJ's Criminal Division terminated the 2012 non-prosecution
agreement with UBS AG related to UBS's submissions of benchmark interest rates, and UBS AG pleaded guilty to one count of wire fraud, paid
a fine and was subject to probation, which ended in early January 2020. In 2019 the European Commission announced two decisions with
respect to foreign exchange trading. UBS was granted immunity by the European Commission in these matters and therefore was not fined. UBS
has ongoing obligations to cooperate with these authorities and to undertake certain remediation measures. UBS has also been granted
conditional immunity by the Antitrust Division of the DOJ and by authorities in other jurisdictions in connection with potential competition law
violations relating to foreign exchange and precious metals businesses. Investigations relating to foreign exchange matters by certain authorities
remain ongoing notwithstanding these resolutions.
Foreign exchange-related civil litigation:
Putative class actions have
been filed since 2013 in US federal courts and in other jurisdictions
against UBS and other banks on behalf of putative classes of persons who engaged in foreign currency
transactions with any of the defendant
banks. UBS has resolved US federal court class actions relating to foreign currency transactions with the defendant banks and
persons who
transacted in foreign exchange futures contracts and options on such futures under a settlement agreement that provides for UBS to pay an
aggregate of USD 141 million and provide cooperation to the settlement classes. Certain class members have excluded themselves from that
settlement and have filed individual actions in US and English courts against UBS and other banks, alleging violations of US and European
competition laws and unjust enrichment.
In 2015, a putative class action was filed in federal court against UBS and numerous other banks on behalf of persons and businesses in
the US who directly purchased foreign currency from the defendants and alleged co-conspirators for their own end use. In March 2017, the court
granted UBS's (and the other banks') motions to dismiss the complaint. The plaintiffs filed an amended complaint in August 2017. In March
2018, the court denied the defendants' motions to dismiss the amended complaint.
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In 2017, two putative class actions were filed in federal court in New York against UBS and numerous other banks
on behalf of persons
and entities who had indirectly purchased foreign exchange instruments from a defendant or co-conspirator in the US, and a consolidated
complaint was filed in June 2017. In March 2018, the court dismissed the consolidated complaint. In October 2018, the court granted plaintiffs'
motion seeking leave to file an amended complaint. In January 2020, UBS and 11 other banks agreed in principle with the plaintiffs to settle the
class action for a total of USD 10 million. The settlement is subject to final documentation and court approval.
LIBOR and other benchmark-related regulatory matters:
Numerous government agencies, including the SEC, the CFTC, the DOJ, the
FCA, the UK Serious Fraud Office,
the Monetary Authority of Singapore, the Hong Kong Monetary Authority, FINMA, various state attorneys
general in the US and competition authorities in various
jurisdictions, have conducted investigations regarding potential improper attempts by
UBS, among others, to manipulate LIBOR and other benchmark rates at certain times.
UBS reached settlements or otherwise concluded
investigations relating to benchmark interest rates with the investigating authorities. UBS has ongoing obligations to
cooperate with the
authorities with whom we have reached resolutions and to undertake certain remediation measures with respect to benchmark interest rate
submissions. UBS has been granted conditional leniency or conditional immunity from authorities in certain jurisdictions, including the
Antitrust Division of the DOJ and the Swiss Competition Commission (WEKO), in connection with potential antitrust or competition law
violations related to certain rates. However, UBS has not reached a final settlement with WEKO, as the Secretariat of WEKO has asserted that
UBS does not qualify for full immunity.
LIBOR and other benchmark-related civil litigation:
A number of
putative class actions and other actions are pending in the federal courts
in New York against UBS and numerous other banks on behalf of parties who transacted in certain
interest rate benchmark-based derivatives.
Also pending in the US and in other jurisdictions are a number of other actions asserting losses related to various products
whose interest rates
were linked to LIBOR and other benchmarks, including adjustable rate mortgages, preferred and debt securities, bonds pledged as collateral,
loans, depository accounts, investments and other interest-bearing instruments. The complaints allege manipulation, through various means, of
certain benchmark interest rates, including USD LIBOR, Euroyen TIBOR, Yen LIBOR, EURIBOR, CHF LIBOR, GBP LIBOR, SGD SIBOR
and SOR and Australian BBSW, and seek unspecified compensatory and other damages under varying legal theories.
USD LIBOR class and individual actions in the US:
In 2013 and 2015, the district court in the USD LIBOR actions dismissed, in whole
or in part, certain
plaintiffs' antitrust claims, federal racketeering claims, CEA claims, and state common law claims. Although the Second
Circuit vacated the district court's
judgment dismissing antitrust claims, the district court again dismissed antitrust claims against UBS in 2016.
Certain plaintiffs have appealed that decision to the Second
Circuit. Separately, in 2018, the Second Circuit reversed in part the district court's
2015 decision dismissing certain individual plaintiffs' claims and
certain of these actions are now proceeding. UBS entered into an agreement in
2016 with representatives of a class of bondholders to settle their USD LIBOR class action.
The agreement has received preliminary court
approval and remains subject to final approval. In 2018, the district court denied plaintiffs' motions for class
certification in the USD class
actions for claims pending against UBS, and plaintiffs sought permission to appeal that ruling to the Second Circuit. In July 2018, the
Second
Circuit denied the petition to appeal of the class of USD lenders and in November 2018 denied the petition of the USD exchange class. In
December 2019, UBS entered into an agreement with representatives of the class of USD lenders to settle their USD LIBOR class action. The
agreement has received preliminary court approval and remains subject to final approval. In January 2019, a putative class action was filed in the
District Court for the Southern District of New York against UBS and numerous other banks on behalf of US residents who, since 1 February
2014, directly transacted with a defendant bank in USD LIBOR instruments. The complaint asserts antitrust claims. The defendants moved to
dismiss the complaint in August 2019.
Other benchmark class actions in the US:
In 2014, the court in one of
the Euroyen TIBOR lawsuits dismissed certain of the plaintiffs'
claims, including a federal antitrust claim, for lack of standing. In 2015, this court dismissed the
plaintiffs' federal racketeering claims on the
same basis and affirmed its previous dismissal of the plaintiffs' antitrust claims against UBS. In 2017, this
court also dismissed the other Yen
LIBOR / Euroyen TIBOR action in its entirety on standing grounds, as did the court in the CHF LIBOR action. Also in 2017, the court in
the
EURIBOR lawsuit dismissed the case as to UBS and certain other foreign defendants for lack of personal jurisdiction. Plaintiffs in the other Yen
LIBOR, Euroyen TIBOR and the EURIBOR actions have appealed the dismissals. In October 2018, the court in the SIBOR / SOR action
dismissed all but one of plaintiffs' claims against UBS. Plaintiffs in the CHF LIBOR and SIBOR / SOR actions filed amended complaints
following the dismissals, and the courts granted renewed motions to dismiss in July 2019 (SIBOR / SOR) and in September 2019 (CHF
LIBOR). Plaintiffs in both actions have appealed. In November 2018, the court in the BBSW lawsuit dismissed the case as to UBS and certain
other foreign defendants for lack of personal jurisdiction. Following that dismissal, plaintiffs in the BBSW action filed an amended complaint in
April 2019, which UBS and other defendants named in the amended complaint have moved to dismiss. In February 2020, the court in the BBSW
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action granted in part and denied in part
defendants' motions to dismiss the amended complaint. The court dismissed the GBP LIBOR action in
August 2019, and plaintiffs appealed the dismissal in September
2019.
Government bonds:
Putative class actions have been filed since 2015 in US federal courts against UBS and other banks on behalf of
persons who participated in markets for US Treasury securities since 2007. A consolidated complaint was filed in 2017 in the US District Court
for the Southern District of New York alleging that the banks colluded with respect to, and manipulated prices of, US Treasury securities sold at
auction and in the secondary market and asserting claims under the antitrust laws and for unjust enrichment. Defendants' motions to dismiss the
consolidated complaint are pending. Similar class actions have been filed concerning European government bonds and other government bonds.
UBS and reportedly other banks are responding to investigations and requests for information from
various authorities regarding
government bond trading practices. As a result of its review to date, UBS has taken appropriate action.
Government sponsored entities (GSE) bonds:
Starting in February 2019, class action complaints were filed in the US District Court for
the Southern
District of New York against UBS and other banks on behalf of plaintiffs who traded GSE bonds. A consolidated complaint was
filed alleging collusion in GSE bond trading
between 1 January 2009 and 1 January 2016. In December 2019, UBS and eleven other defendants
agreed to settle the class action for a total of USD 250 million. The
settlement is subject to court approval.
With respect to additional matters and
jurisdictions not encompassed by the settlements and orders referred to above, our balance sheet at
31 December 2019 reflected a provision in an amount that UBS believes
to be appropriate under the applicable accounting standard. As in the
case of other matters for which we have established provisions, the future outflow of resources in
respect of such matters cannot be determined
with certainty based on currently available information and accordingly may ultimately prove to be substantially greater (or
may be less) than
the provision that we have recognized.
6. Swiss retrocessions
The Federal Supreme Court of Switzerland ruled in 2012, in a test case against UBS, that distribution fees paid to a firm for distributing
third-party and intra-group investment funds and structured products must be disclosed and surrendered to clients who have entered into a
discretionary mandate agreement with the firm, absent a valid waiver.
FINMA has issued a supervisory note to all Swiss banks in response to the Supreme Court decision. UBS has met the FINMA
requirements and has notified all potentially affected clients.
The Supreme Court decision has resulted, and may continue to result, in a number of client requests for UBS to disclose and potentially
surrender retrocessions. Client requests are assessed on a case-by-case basis. Considerations taken into account when assessing these cases
include, among other things, the existence of a discretionary mandate and whether or not the client documentation contained a valid waiver with
respect to distribution fees.
Our balance sheet at 31 December 2019 reflected a provision with respect to matters described in this item 6 in an amount that UBS
believes to be appropriate under the applicable accounting standard. The ultimate exposure will depend on client requests and the resolution
thereof, factors that are difficult to predict and assess. Hence, as in the case of other matters for which we have established provisions, the future
outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly
may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
7. Securities transaction pricing and disclosure
UBS identified and reported to the relevant authorities instances in which some Global Wealth
Management clients booked in Hong Kong
and Singapore may have been charged inappropriate spreads on debt securities transactions between 2008 and 2015. In November 2019,
UBS
AG entered into a settlement with the Hong Kong Securities and Futures Commission (SFC) under which it was reprimanded and fined HKD
400 million (USD 51 million) and a settlement with the Monetary Authority of Singapore (MAS) under which it was fined SGD 11 million
(USD 8.3 million). In addition, UBS has commenced reimbursing affected customers an aggregate amount equivalent to USD 47 million,
including interest.
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Our balance sheet at 31 December 2019 reflected a provision with respect to the matter described in this item 7 in an amount that UBS
believes to be appropriate under the applicable accounting standard.
2017 Annual Report
1. Inquiries regarding cross-border wealth management businesses
Tax and regulatory authorities in a number of countries have made inquiries, served requests for information or examined employees
located in their respective jurisdictions relating to the cross-border wealth management services provided by UBS and other financial
institutions. It is possible that the implementation of automatic tax information exchange and other measures relating to cross-border provision
of financial services could give rise to further inquiries in the future. UBS has received disclosure orders from the Swiss Federal Tax
Administration (FTA) to transfer information based on requests for international administrative assistance in tax matters. The requests concern a
number of UBS account numbers pertaining to current and former clients and are based on data from 2006 and 2008. UBS has taken steps to
inform affected clients about the administrative assistance proceedings and their procedural rights, including the right to appeal. The requests are
based on data received from the German authorities, who seized certain data related to UBS clients booked in Switzerland during their
investigations and have apparently shared this data with other European countries. UBS expects additional countries to file similar requests. The
Swiss Federal Administrative Court ruled in 2016 that in the administrative assistance proceedings related to a French bulk request, UBS has the
right to appeal all final FTA client data disclosure orders. Since 2013, UBS (France) S.A. and UBS AG and certain former employees have been
under investigation in France for alleged complicity in having illicitly solicited clients on French territory and regarding the laundering of
proceeds of tax fraud and of banking and financial solicitation by unauthorized persons. In connection with this investigation, the investigating
judges ordered UBS AG to provide bail ("
caution
") of EUR 1.1 billion and UBS (France) S.A. to post bail of EUR 40 million, which was
reduced on
appeal to EUR 10 million.
In February 2016, the investigating judges notified UBS AG
and UBS (France) S.A. that they have closed their investigation. In July
2016, UBS AG and UBS (France) S.A. received the National Financial Prosecutor's
recommendation ("
réquisitoire
"). In March 2017, the
investigating judges issued the trial order ("
ordonnance de
renvoi
") that charges UBS AG and UBS (France) S.A., as well as various former
employees, with illicit solicitation of clients on French territory and with participation in the laundering of the proceeds of tax fraud, and which
transfers the case to court. The trial schedule has not yet been announced. In October 2017, the Investigation Chamber of the Court of Appeals
decided that UBS (France) S.A. shall not be constituted as a civil party in the guilty plea proceedings against the former UBS (France) S.A.
Head of Front Office. UBS (France) S.A. has appealed this decision to the French Supreme Court ("
Cour de cassation
").
In 2016, UBS was notified by the Belgian investigating judge that it is under formal
investigation ("
inculpé
") regarding the laundering of
proceeds of tax fraud and of banking, financial solicitation by unauthorized persons and serious tax fraud. In 2015, UBS received inquiries from
the US Attorney's Office for the Eastern District of New York and from the US Securities and Exchange Commission (SEC), which are
investigating potential sales to US persons of bearer bonds and other unregistered securities in possible violation of the Tax Equity and Fiscal
Responsibility Act of 1982 (TEFRA) and the registration requirements of the US securities laws. UBS is cooperating with the authorities in
these investigations. In 2018, UBS was informed by the US Attorney's Office and the SEC that they have closed their investigations and that
they will not take any action. UBS has, and reportedly numerous other financial institutions have, received inquiries from authorities concerning
accounts relating to the Fédération Internationale de Football Association (FIFA) and other constituent soccer associations and related persons
and entities. UBS is cooperating with authorities in these inquiries.
Our balance sheet at 31 December 2017 reflected provisions with respect to matters described in this item 1 in an amount that UBS
believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions,
the future outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and
accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
2. Claims related to sales of residential mortgage-backed securities and
mortgages
From 2002 through 2007, prior to the crisis in the US residential loan
market, UBS was a substantial issuer and underwriter of US
residential mortgage-backed securities (RMBS) and was a purchaser and seller of US residential mortgages. A
subsidiary of UBS, UBS Real
Estate Securities Inc. (UBS RESI), acquired pools of residential mortgage loans from originators and (through an affiliate) deposited them into
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securitization trusts. In this manner, from 2004 through
2007, UBS RESI sponsored approximately USD 80 billion in RMBS, based on the
original principal balances of the securities issued.
UBS RESI also sold pools of loans acquired from originators to third-party purchasers. These
whole loan sales during the period 2004
through 2007 totaled approximately USD 19 billion in original principal balance.
UBS was not a significant originator of US residential loans. A branch of UBS originated
approximately USD 1.5 billion in US
residential mortgage loans during the period in which it was active from 2006 to 2008, and securitized less than half of these
loans.
Lawsuits related to contractual representations and
warranties concerning mortgages and RMBS:
When UBS acted as an RMBS sponsor
or mortgage
seller, it generally made certain representations relating to the characteristics of the underlying loans. In the event of a material
breach of these representations, UBS
was in certain circumstances contractually obligated to repurchase the loans to which the representations
related or to indemnify certain parties against losses. In 2012,
certain RMBS trusts filed an action (Trustee Suit) in the US
District Court for the
Southern District of New York (SDNY) seeking to enforce UBS RESI's obligation to repurchase loans in the
collateral pools for three RMBS securitizations with an
original principal balance of approximately USD 2 billion.
Approximately 9,000 loans
were at issue in a bench trial in the SDNY in 2016, following which the court issued an order ruling on
numerous legal and factual issues and applying those rulings to 20
exemplar loans. The court further ordered that a lead master be appointed to
apply the court's rulings to the loans that remain at issue following the trial. In
October 2017, UBS and certain holders of the RMBS in the
Trustee Suit entered into an agreement under which UBS has agreed to pay an aggregate of USD 543 million into the
relevant RMBS trusts, plus
certain attorneys' fees. A portion of these settlement costs will be borne by other parties that indemnified UBS. The agreement is subject
to the
trustee for the RMBS trusts becoming a party thereto by 9 March 2018. The trustee for the RMBS trusts has evaluated the proposed settlement
under the agreement between UBS and the RMBS holders and UBS has been in discussions with the trustee about the terms on which it would
become a party to a settlement. Giving effect to a settlement of the Trustee Suit, UBS considers claims relating to substantially all loan
repurchase demands to be resolved, and believes that new demands to repurchase US residential mortgage loans are time-barred under a decision
rendered by the New York Court of Appeals.
Mortgage-related regulatory matters:
In 2014, UBS received a subpoena
from the US Attorney's Office for the Eastern District of New
York issued pursuant to the Financial Institutions Reform, Recovery and Enforcement Act of 1989
(FIRREA), which seeks documents and
information related to UBS's RMBS business from 2005 through 2007. In 2015, the Eastern District of New York identified a number
of
transactions that are the focus of their inquiry, and subsequently provided a revised list of transactions. UBS has provided information in
response to this subpoena. UBS has also received and responded to subpoenas from the New York State Attorney General (NYAG) and other
state attorneys general relating to UBS's RMBS business. In 2017, the NYAG identified a number of transactions that are the focus of its
inquiry. In addition, UBS responded to inquiries from both the Special Inspector General for the Troubled Asset Relief Program (SIGTARP)
(who is working in conjunction with the US Attorney's Office for Connecticut and the DOJ) and the SEC relating to trading practices in
connection with purchases and sales of mortgage-backed securities in the secondary market from 2009 through 2014. UBS is cooperating with
the authorities in these matters.
Our balance sheet at 31 December 2017 reflected a provision with respect to matters described in this item 2 in an amount that UBS
believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions,
the future outflow of resources in respect of this matter cannot be determined with certainty based on currently available information and
accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
3. Madoff
UBS Europe SE, Luxembourg branch) and certain other UBS subsidiaries have been subject to inquiries by a number ofregulators,
including the Swiss Financial Market Supervisory Authority (FINMA) and the Luxembourg Commission de Surveillance du Secteur Financier
(CSSF). Those inquiries concerned two third-party funds established under Luxembourg law, substantially all assets of which were with BMIS,
as well as certain funds established in offshore jurisdictions with either direct or indirect exposure to BMIS. These funds faced severe losses, and
the Luxembourg funds are in liquidation. The documentation establishing both funds identifies UBS entities in various roles, including
custodian, administrator, manager, distributor and promoter, and indicates that UBS employees serve as board members. In 2009 and 2010, the
liquidators of the two Luxembourg funds filed claims against UBS entities, non-UBS entities and certain individuals, including current and
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former UBS employees, seeking amounts aggregating
approximately EUR 2.1 billion, which includes amounts that the funds may be held liable
to pay the trustee for the liquidation of BMIS (BMIS Trustee).
A large number of alleged beneficiaries have filed claims against UBS entities (and non-UBS
entities) for purported losses relating to the
Madoff fraud. The majority of these cases have been filed in Luxembourg, where decisions that the claims in eight test cases
were inadmissible
have been affirmed by the Luxembourg Court of Appeal, and the Luxembourg Supreme Court has dismissed a further appeal in one of the
test cases.
In the
US, the BMIS Trustee filed claims against UBS entities, among others, in relation to the two Luxembourg funds and one of the
offshore funds. The total amount claimed
against all defendants in these actions was not less than USD 2 billion. In 2014, the US Supreme Court
rejected the BMIS Trustee's motion for leave to appeal
decisions dismissing all claims except those for the recovery of fraudulent conveyances
and preference payments. In 2016, the Bankruptcy Court dismissed the remaining
claims against the UBS entities. The BMIS Trustee appealed.
In 2014, several claims, including a purported class action, were filed in the US by BMIS customers against UBS
entities, asserting claims
similar to those made by the BMIS Trustee, and seeking unspecified damages. These claims have either been voluntarily withdrawn or
dismissed on the basis that the courts did not have jurisdiction to hear the claims against the UBS entities. In 2016, the plaintiff in one of those
claims appealed the dismissal. In February 2018, the United States Court of Appeals for the Second Circuit affirmed the dismissal of the
plaintiff's claim.
4. Puerto Rico
Declines since 2013 in the market prices of Puerto Rico municipal bonds and of closed-end funds (funds) that are sole managed and
co-managed by UBS Trust Company of Puerto Rico and distributed by UBS Financial Services Incorporated of Puerto Rico (UBS PR) have led
to multiple regulatory inquiries, as well as customer complaints and arbitrations with aggregate claimed damages of USD 2.4 billion, of which
claims with aggregate claimed damages of USD 1.4 billion have been resolved through settlements, arbitration or withdrawal of the claim. The
claims are filed by clients in Puerto Rico who own the funds or Puerto Rico municipal bonds and / or who used their UBS account assets as
collateral for UBS non-purpose loans; customer complaint and arbitration allegations include fraud, misrepresentation and unsuitability of the
funds and of the loans. A shareholder derivative action was filed in 2014 against various UBS entities and current and certain former directors of
the funds, alleging hundreds of millions of US dollars in losses in the funds. In 2015, defendants' motion to dismiss was denied. Defendants'
requests for permission to appeal that ruling were denied by the Puerto Rico Court of Appeals and the Puerto Rico Supreme Court. In 2014, a
federal class action complaint also was filed against various UBS entities, certain members of UBS PR senior management and the co-manager
of certain of the funds, seeking damages for investor losses in the funds during the period from May 2008 through May 2014. In 2016,
defendants' motion to dismiss was granted in part and denied in part. In 2015, a class action was filed in Puerto Rico state court against UBS PR
seeking equitable relief in the form of a stay of any effort by UBS PR to collect on non-purpose loans it acquired from UBS Bank USA in
December 2013 based on plaintiffs' allegation that the loans are not valid. The trial court denied defendant's motion for summary judgment
based on a forum selection clause in the loan agreements. The Puerto Rico Supreme Court reversed that decision and remanded the case back to
the trial court for reconsideration. On reconsideration the trial court granted defendant's motion and dismissed the action.
In 2014, UBS reached a settlement with the Office of the Commissioner of Financial Institutions
for the Commonwealth of Puerto Rico
(OCFI) in connection with OCFI's examination of UBS's operations from January 2006 through September 2013, pursuant to
which UBS is
paying up to an aggregate of USD 7.7 million in investor education contributions and restitution.
In 2015, the SEC and the Financial Industry Regulatory Authority (FINRA) announced settlements
with UBS PR of their separate
investigations stemming from the 2013 market events. Without admitting or denying the findings in either matter, UBS PR agreed in the SEC
settlement to pay USD 15 million and USD 18.5 million in the FINRA matter. We also understand that the DOJ is conducting a criminal inquiry
into the impermissible reinvestment of non-purpose loan proceeds. We are cooperating with the authorities in this inquiry.
In 2011, a purported derivative action was filed on behalf of the Employee Retirement System of
the Commonwealth of Puerto Rico
(System) against over 40 defendants, including UBS PR, which was named in connection with its underwriting and consulting services.
Plaintiffs alleged that defendants violated their purported fiduciary duties and contractual obligations in connection with the issuance and
underwriting of USD 3 billion of bonds by the System in 2008 and sought damages of over USD 800 million. In 2016, the court granted the
System's request to join the action as a plaintiff, but ordered that plaintiffs must file an amended complaint. In 2017, the court denied
defendants' motion to dismiss the amended complaint.
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Beginning in 2012, two federal class action complaints, which were subsequently consolidated, were filed against
various UBS entities,
certain closed-end funds and certain members of UBS PR senior management, seeking damages for investor losses in the funds during the
period from January 2008 through May 2012. In 2016, the court denied plaintiffs' motion for class certification. In March 2017, the US Court of
Appeals for the First Circuit denied plaintiffs' petition seeking permission to bring an interlocutory appeal challenging the denial of their motion
for class certification.
Beginning in 2015, certain agencies and public corporations of the Commonwealth of Puerto Rico (Commonwealth) defaulted on certain
interest payments, in 2016, the Commonwealth defaulted on payments on its general obligation debt (GO Bonds), and in 2017 the Commonwealth
defaulted on payments on its debt backed by the Commonwealth's Sales and Use Tax (COFINA Bonds) as well as on bonds issued by
the Commonwealth's Employee Retirement System (ERS Bonds). The funds hold significant amounts of both COFINA and ERS Bonds and the
defaults on interest payments are expected to adversely affect dividends from the funds. Executive orders of the Governor that have diverted
funds to pay for essential services instead of debt payments and stayed any action to enforce creditors' rights on the Puerto Rico bonds continue
to be in effect. In 2016, US federal legislation created an oversight board with power to oversee Puerto Rico's finances and to restructure its
debt. The oversight board is authorized to impose, and has imposed, a stay on exercise of creditors' rights. In May and June 2017, the oversight
board placed the GO, COFINA and ERS Bonds, among others, into a bankruptcy-like proceeding under the supervision of a Federal District
Judge as authorized by the oversight board's enabling statute. These events, further defaults, any further legislative action to create a legal means
of restructuring Commonwealth obligations or to impose additional oversight on the Commonwealth's finances, or any restructuring of the
Commonwealth's obligations may increase the number of claims against UBS concerning Puerto Rico securities, as well as potential
damages sought.
Our
balance sheet at 31 December 2017 reflected provisions with respect to matters described in this item 4 in amounts that UBS believes
to be appropriate under the applicable
accounting standard. As in the case of other matters for which we have established provisions, the future
outflow of resources in respect of such matters cannot be
determined with certainty based on currently available information and accordingly
may ultimately prove to be substantially greater (or may be less) than the provisions
that we have recognized.
5. Foreign exchange, LIBOR and benchmark rates, and
other trading practices
Foreign exchange-related regulatory
matters:
Following an initial media report in 2013 of widespread irregularities in the foreign
exchange markets, UBS immediately commenced an internal review of its foreign exchange business, which includes our precious metals and
related structured products businesses. Numerous authorities commenced investigations concerning possible manipulation of foreign exchange
markets and precious metals prices. In 2014 and 2015, UBS reached settlements with the UK Financial Conduct Authority (FCA) and the US
Commodity Futures Trading Commission (CFTC) in connection with their foreign exchange investigations, FINMA issued an order concluding
its formal proceedings relating to UBS's foreign exchange and precious metals businesses, and the Board of Governors of the Federal Reserve
System (Federal Reserve Board) and the Connecticut Department of Banking issued a Cease and Desist Order and assessed monetary penalties
against UBS AG. In addition, the DOJ's Criminal Division (Criminal Division) terminated the 2012 Non-Prosecution Agreement (NPA) with
UBS AG related to UBS's submissions of benchmark interest rates and UBS AG pleaded guilty to one count of wire fraud, paid a fine and is
subject to probation through January 2020. In January 2018, UBS reached a settlement with the CFTC in connection with the CFTC's precious
metals investigations. As part of that settlement, UBS paid a USD 15 million civil monetary penalty. UBS has ongoing obligations to cooperate
with these authorities and to undertake certain remediation. UBS has also been granted conditional immunity by the Antitrust Division of the
DOJ (Antitrust Division) and by authorities in other jurisdictions in connection with potential competition law violations relating to foreign
exchange and precious metals businesses. Refer to Note 20b in the "Consolidated financial statements" section of the Annual Report 2016 for
more information on regulatory actions related to foreign exchange and precious metals and grants of conditional immunity or leniency.
Investigations relating to foreign exchange and precious metals matters by certain authorities remain ongoing notwithstanding these resolutions.
Foreign exchange-related civil litigation:
Putative class actions have been filed since 2013 in US federal courts and in other jurisdictions
against
UBS and other banks on behalf of putative classes of persons who engaged in foreign currency transactions with any of the defendant
banks. They allege collusion by the
defendants and assert claims under the antitrust laws and for unjust enrichment. In 2015, additional putative
class actions were filed in federal court in New York against
UBS and other banks on behalf of a putative class of persons who entered into or
held any foreign exchange futures contracts and options on foreign exchange futures
contracts since 2003. The complaints assert claims under
the Commodity Exchange Act (CEA) and the US antitrust laws. In 2015, a consolidated complaint was filed on behalf
of both putative classes of
persons covered by the US federal court class actions described above. UBS has entered into a settlement agreement that would resolve all of
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these US federal court class actions. The agreement,
which has been preliminarily approved by the court and is subject to final court approval,
requires, among other things, that UBS pay an aggregate of USD 141 million and
provide cooperation to the settlement classes.
A putative class action has been
filed in federal court in New York against UBS and other banks on behalf of participants, beneficiaries
and named fiduciaries of plans qualified under the Employee
Retirement Income Security Act of 1974 (ERISA) for whom a defendant bank
provided foreign currency exchange transactional services, exercised discretionary authority or
discretionary control over management of such
ERISA plan, or authorized or permitted the execution of any foreign currency exchange transactional services involving such
plan's assets. The
complaint asserts claims under ERISA. The parties filed a stipulation to dismiss the case with prejudice. The plaintiffs have appealed the
dismissal. The appeals court heard oral argument in June 2017.
In 2015, a putative class action was filed in federal court against UBS and numerous other banks on behalf of a putative class of persons
and businesses in the US who directly purchased foreign currency from the defendants and their co-conspirators for their own end use. That
action was transferred to federal court in New York. In March 2017, the court granted UBS's (and the other banks') motions to dismiss the
complaint. The plaintiffs filed an amended complaint in August 2017.
In 2016, a putative class action was filed in federal court in New York against UBS and numerous other banks on behalf of a putative
class of persons and entities who had indirectly purchased foreign exchange instruments from a defendant or co-conspirator in the US. The
complaint asserts claims under federal and state antitrust laws. In response to defendants' motion to dismiss, plaintiffs agreed to dismiss their
complaint. In April and June 2017, two new putative class actions were filed in federal court in New York against UBS and numerous other
banks on behalf of different proposed classes of indirect purchasers of currency, and a consolidated complaint was filed in June 2017.
In 2015, UBS was added to putative class actions pending against other banks in federal court in
New York and other jurisdictions on
behalf of putative classes of persons who had bought or sold physical precious metals and various precious metal products and
derivatives. The
complaints in these lawsuits assert claims under the antitrust laws and the CEA, and other claims. In 2016, the court in New York granted UBS's
motions to dismiss the putative class actions relating to gold and silver. Plaintiffs in those cases sought to amend their complaints to add new
allegations about UBS, which the court granted. The plaintiffs filed amended complaints in June 2017. In March 2017, the court in New York
granted UBS's motion to dismiss the platinum and palladium action. In May 2017, plaintiffs in the platinum and palladium action filed an
amended complaint that did not allege claims against UBS.
LIBOR and other benchmark-related regulatory matters:
Numerous
government agencies, including the SEC, the CFTC, the DOJ, the
FCA, the UK Serious Fraud Office (SFO), the Monetary Authority of Singapore (MAS), the Hong Kong Monetary
Authority (HKMA),
FINMA, various state attorneys general in the US and competition authorities in various jurisdictions, have conducted or are continuing to
conduct investigations regarding potential improper attempts by UBS, among others, to manipulate LIBOR and other benchmark rates at certain
times. In 2012, UBS reached settlements relating to benchmark interest rates with the FSA, the CFTC and the Criminal Division of the DOJ, and
FINMA issued an order in its proceedings with respect to UBS relating to benchmark interest rates. In addition, UBS entered into settlements
with the European Commission (EC) and with the Swiss Competition Commission (WEKO) regarding its investigation of bid-ask spreads in
connection with Swiss franc interest rate derivatives. UBS has ongoing obligations to cooperate with the authorities with whom we have reached
resolutions and to undertake certain remediation with respect to benchmark interest rate submissions. UBS has been granted conditional leniency
or conditional immunity from authorities in certain jurisdictions, including the Antitrust Division of the DOJ and WEKO, in connection with
potential antitrust or competition law violations related to certain rates. However, UBS has not reached a final settlement with WEKO as the
Secretariat of WEKO has asserted that UBS does not qualify for full immunity. Refer to Note 20b in the "Consolidated financial statements"
section of the Annual Report 2016 for more information on regulatory actions relating to benchmark rates and grants of conditional immunity or
leniency. Investigations by certain governmental authorities remain ongoing notwithstanding these resolutions.
LIBOR and other benchmark-related civil litigation:
A number of putative class actions and other actions are pending in the federal courts
in New York against
UBS and numerous other banks on behalf of parties who transacted in certain interest rate benchmark-based derivatives.
Also pending in the US and in other jurisdictions
are actions asserting losses related to various products whose interest rates were linked to
LIBOR and other benchmarks, including adjustable rate mortgages, preferred and
debt securities, bonds pledged as collateral, loans, depository
accounts, investments and other interest-bearing instruments. All of the complaints allege manipulation,
through various means, of various
benchmark interest rates, including USD LIBOR, Euroyen TIBOR, Yen LIBOR, EURIBOR, CHF LIBOR, GBP LIBOR, USD and SGD SIBOR
and SOR, Australian BBSW and USD ISDAFIX, and seek unspecified compensatory and other damages under varying legal theories.
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In 2013, the US district court in the
USD LIBOR action dismissed the federal antitrust and racketeering claims of certain USD LIBOR
plaintiffs and a portion of their claims brought under the CEA and state
common law. Certain plaintiffs appealed the decision to the Second
Circuit, which, in 2016, vacated the district court's ruling finding no antitrust injury and
remanded the case back to the district court for a further
determination on whether plaintiffs have antitrust standing. In December 2016, the district court again
dismissed plaintiffs' antitrust claims, this
time for lack of personal jurisdiction over UBS and other foreign banks. Certain plaintiffs appealed that decision to
the Second Circuit in 2017.
In 2018, the district court denied certain plaintiffs' motions for class certification.
In 2014, the court in one of the Euroyen TIBOR lawsuits dismissed certain of the
plaintiff's claims, including federal antitrust claims. In
2015, the same court dismissed plaintiff's federal racketeering claims and affirmed its previous
dismissal of plaintiff's antitrust claims. In 2017,
the court also dismissed the other Yen LIBOR / Euroyen TIBOR action in its entirety on standing grounds, as did
the court in the CHF LIBOR
action. Also in 2017, the courts in the EURIBOR and the SIBOR and SOR lawsuits dismissed the cases as to UBS and certain other foreign
defendants for lack of personal jurisdiction. Plaintiffs in the CHF LIBOR and SIBOR and SOR actions have filed amended complaints following
the dismissals, which UBS and other defendants have moved to dismiss. UBS and other defendants in other lawsuits have also moved to dismiss
the GBP LIBOR and Australian BBSW actions. In 2016, UBS entered into an agreement with representatives of a class of bondholders to settle
their USD LIBOR class action. The agreement has received preliminary court approval and remains subject to final approval.
Since 2014, putative class actions have been filed in federal court in New York and New Jersey
against UBS and other financial
institutions, among others, on behalf of parties who entered into interest rate derivative transactions linked to ISDAFIX. The court has
given
preliminary approval of a settlement agreement under which UBS would pay USD 14 million to settle the case in its entirety.
Government
bonds:
Putative class actions have been filed in US federal courts against UBS and other banks on behalf of persons who participated in markets
for US Treasury securities since 2007. The complaints generally allege that the banks colluded with respect to, and manipulated prices of, US
Treasury securities sold at auction. They assert claims under the antitrust laws and the CEA and for unjust enrichment. The cases have been
consolidated in the SDNY, and a consolidated complaint was filed in November 2017. Following filing of these complaints, UBS and reportedly
other banks are responding to investigations and requests for information from various authorities regarding US Treasury securities and other
government bond trading practices. As a result of its review to date, UBS has taken appropriate action.
With respect to additional matters and jurisdictions not encompassed by the settlements and orders referred to above, our balance sheet at
31 December 2017 reflected a provision in an amount that UBS believes to be appropriate under the applicable accounting standard. As in the
case of other matters for which we have established provisions, the future outflow of resources in respect of such matters cannot be determined
with certainty based on currently available information and accordingly may ultimately prove to be substantially greater (or may be less) than
the provision that we have recognized.
6. Swiss retrocessions
The Federal Supreme Court of Switzerland ruled in 2012, in a test case against UBS, that distribution fees paid to a firm for distributing
third-party and intra-group investment funds and structured products must be disclosed and surrendered to clients who have entered into a
discretionary mandate agreement with the firm, absent a valid waiver. FINMA has issued a supervisory note to all Swiss banks in response to
the Supreme Court decision. UBS has met the FINMA requirements and has notified all potentially affected clients. The Supreme Court decision
has resulted, and may continue to result, in a number of client requests for UBS to disclose and potentially surrender retrocessions. Client
requests are assessed on a case-by-case basis. Considerations taken into account when assessing these cases include, among other things, the
existence of a discretionary mandate and whether or not the client documentation contained a valid waiver with respect to distribution fees.
Our balance sheet at 31 December 2017 reflected a provision with respect to matters described in
this item 6 in an amount that UBS
believes to be appropriate under the applicable accounting standard. The ultimate exposure will depend on client requests and the
resolution
thereof, factors that are difficult to predict and assess. Hence, as in the case of other matters for which we have established provisions, the future
outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly
may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
7. Investigation of UBS's role in initial public offerings in Hong Kong
The Hong Kong Securities and Futures Commission (SFC) has been conducting investigations into
UBS's role as a sponsor of certain
initial public offerings listed on the Hong Kong Stock Exchange. The SFC has previously indicated that it intended to take
enforcement action
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against UBS and certain employees in relation to certain of these offerings. In March 2018, the SFC issued a decision notice in
relation to one of
the offerings under investigation. The notice provides for a fine of HKD 119 million and a suspension of UBS Securities Hong Kong Limited's
ability to act as a sponsor for Hong Kong listed initial public offerings for 18 months. UBS intends to appeal the decision.
2016 Annual Report
1. Inquiries regarding cross-border wealth management businesses
Tax and regulatory authorities in a number of countries have made inquiries, served requests for information or examined employees
located in their respective jurisdictions relating to the cross-border wealth management services provided by UBS and other financial
institutions. It is possible that implementation of automatic tax information exchange and other measures relating to cross-border provision of
financial services could give rise to further inquiries in the future. UBS has received disclosure orders from the Swiss Federal Tax Administration
(FTA) to transfer information based on requests for international administrative assistance in tax matters. The requests concern a number of
UBS account numbers pertaining to current and former clients and are based on data from 2006 and 2008. UBS has taken steps to inform
affected clients about the administrative assistance proceedings and their procedural rights, including the right to appeal. The requests are based
on data received from the German authorities, who seized certain data related to UBS clients booked in Switzerland during their investigations
and have apparently shared this data with other European countries. UBS expects additional countries to file similar requests. In addition, the
Swiss Federal Supreme Court ruled in September 2016 that the double taxation agreement between the Netherlands and Switzerland provides a
sufficient legal basis for an administrative assistance group request without specifying the names of the targeted taxpayers, which makes it more
likely that similar requests for administrative assistance will be granted by the FTA.
In 2013, as a result of investigations in France, UBS (France) S.A. and UBS AG were put under formal examination ("
mise en examen
")
for complicity in having illicitly solicited clients on French territory and were declared witness with legal assistance ("
témoin assisté
") regarding
the laundering of proceeds of tax fraud and of banking and financial solicitation by unauthorized persons. In 2014, UBS AG was placed under
formal examination with respect to the potential charges of laundering of proceeds of tax fraud, and the investigating judges ordered UBS AG to
provide bail ("caution") of EUR 1.1 billion. UBS AG appealed the determination of the bail amount, but both the appeal court ("
Cour d'Appel
")
and the French Supreme Court ("
Cour de Cassation
") upheld the bail amount and rejected the appeal in full in late 2014. UBS AG filed an
application
to the European Court of Human Rights (ECHR) to challenge various aspects of the French court's decision. In January 2017, the
ECHR denied UBS's application.
The Swiss Federal Administrative Court ruled in October 2016 that in the administrative assistance
proceedings related to the French bulk request, UBS has the right to
appeal all final FTA client data disclosure orders. In September 2015, the
former CEO of UBS Wealth Management was placed under formal examination in connection with these
proceedings. In addition, the
investigating judges have sought to issue arrest warrants against three Swiss-based former employees of UBS AG who did not appear when
summoned by the investigating judge.
In 2015, UBS (France) S.A. was placed under formal examination for complicity regarding the laundering of proceeds of tax fraud and of
banking and financial solicitation by unauthorized persons for the years 2004 until 2008 and declared witness with legal assistance for the years
2009 to 2012. A bail of EUR 40 million was imposed and subsequently reduced by the Court of Appeals to EUR 10 million. In February 2016,
the investigating judge notified UBS AG and UBS (France) S.A. that he has closed his investigation. In July 2016, UBS AG and UBS (France)
S.A. received the National Financial Prosecutor's recommendation
("
réquisitoire
"). As permitted, the parties have commented
on the
recommendation. The next procedural step will be for the judge to issue his final decree ("
ordonnance de renvoi en correctionnelle
"), which
would set out any charges for which UBS AG and UBS (France) S.A. will be tried, both legally and factually, and transfer the case to court.
UBS has been notified by the Belgian investigating judge that it is under formal investigation
("
inculpé
") regarding the laundering of
proceeds of tax fraud and of banking, financial solicitation by unauthorized persons and serious tax fraud.
In 2015, UBS received inquiries from the US Attorney's Office for the Eastern District of
New York and from the US Securities and
Exchange Commission (SEC), which are investigating potential sales to US persons of bearer bonds and other unregistered securities
in possible
violation of the Tax Equity and Fiscal Responsibility Act of 1982 (TEFRA) and the registration requirements of the US securities laws. UBS is
cooperating with the authorities in these investigations.
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UBS has, and reportedly numerous other financial institutions have, received inquiries from authorities
concerning accounts relating to
the Fédération Internationale de Football Association (FIFA) and other constituent soccer associations and related persons and
entities. UBS is
cooperating with authorities in these inquiries.
Our balance sheet at 31 December 2016 reflected provisions with respect to matters described in this item 1 in an amount that UBS
believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions,
the future outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and
accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
2. Claims related to sales of residential mortgage-backed securities and
mortgages
From 2002 through 2007, prior to the crisis in the US residential loan
market, UBS was a substantial issuer and underwriter of US
residential mortgage-backed securities (RMBS) and was a purchaser and seller of US residential mortgages. A
subsidiary of UBS, UBS Real
Estate Securities Inc. (UBS RESI), acquired pools of residential mortgage loans from originators and (through an affiliate) deposited them into
securitization trusts. In this manner, from 2004 through 2007, UBS RESI sponsored approximately USD 80 billion in RMBS, based on the
original principal balances of the securities issued.
UBS RESI also sold pools of loans acquired from originators to third-party purchasers. These whole loan sales during the period 2004
through 2007 totaled approximately USD 19 billion in original principal balance.
We were not a significant originator of US residential loans. A subsidiary of UBS originated approximately USD 1.5 billion in US
residential mortgage loans during the period in which it was active from 2006 to 2008 and securitized less than half of these loans.
RMBS-related
lawsuits concerning disclosures:
UBS is named as a defendant relating to its role as underwriter and issuer of RMBS in lawsuits related
to
approximately USD 2.5 billion in original face amount of RMBS underwritten or issued by UBS. Of the USD 2.5 billion in original face
amount of RMBS that remains at issue
in these cases, approximately USD 1.2 billion was issued in offerings in which a UBS subsidiary
transferred underlying loans (the majority of which were purchased from
third-party originators) into a securitization trust and made
representations and warranties about those loans (UBS sponsored RMBS). The remaining USD 1.3 billion of RMBS
to which these cases relate
was issued by third parties in securitizations in which UBS acted as underwriter (third-party RMBS).
In connection with certain of these lawsuits, UBS has indemnification rights against surviving
third-party issuers or originators for losses
or liabilities incurred by UBS, but UBS cannot predict the extent to which it will succeed in enforcing those
rights.
UBS is a defendant in a lawsuit brought by the National Credit Union
Administration (NCUA) as conservator for certain failed credit
unions, asserting misstatements and omissions in the offering documents for RMBS purchased by the credit
unions. The lawsuit was filed in the
US District Court for the District of Kansas. The original principal balance at issue in the case is approximately USD 1.15 billion.
In March
2017, UBS and NCUA reached an agreement in principle to resolve this matter. In the second quarter of 2016, UBS resolved a similar case
brought by the NCUA in the US District Court for the Southern District of New York (SDNY) relating to RMBS with an original principal
balance of approximately USD 400 million, for a total of approximately USD 69.8 million, in addition to reasonable attorneys' fees incurred
by NCUA.
Lawsuits related to contractual representations and warranties concerning mortgages and RMBS:
When UBS acted as an RMBS sponsor
or mortgage seller, we generally made certain representations relating
to the characteristics of the underlying loans. In the event of a material
breach of these representations, we were in certain circumstances contractually obligated to
repurchase the loans to which the representations
related or to indemnify certain parties against losses. UBS has received demands to repurchase US residential mortgage
loans as to which UBS
made certain representations at the time the loans were transferred to the securitization trust aggregating approximately USD 4.1 billion in
original principal balance. Of this amount, UBS considers claims relating to approximately USD 2 billion in original principal balance to be
resolved, including claims barred by the statute of limitations. Substantially all of the remaining claims are in litigation, including the matters
described in the next paragraph. UBS believes that new demands to repurchase US residential mortgage loans are time barred under a decision
rendered by the New York Court of Appeals.
In 2012, certain RMBS trusts filed an action (Trustee Suit) in the SDNY seeking to enforce UBS RESI's obligation to repurchase loans in
the collateral pools for three RMBS securitizations with an original principal balance of approximately USD 2 billion, for which Assured
Guaranty Municipal Corp., a financial guaranty insurance company, had previously demanded repurchase. A bench trial in the SDNY adjourned
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in May 2016. Approximately 9,000 loans were at issue in
the trial. In September 2016, the court issued an order ruling on numerous legal and
factual issues and applying those rulings to 20 exemplar loans. The court further
ordered that a lead master be appointed to apply the court's
rulings to the loans that remain at issue following the trial. With respect to the loans subject to the
Trustee Suit that were originated by
institutions still in existence, UBS intends to enforce its indemnity rights against those institutions.
We also have tolling agreements with certain institutional purchasers of RMBS concerning their
potential claims related to substantial
purchases of UBS-sponsored or third-party RMBS.
3. Madoff
In relation to the Bernard L. Madoff Investment Securities LLC (BMIS) investment fraud, UBS AG, UBS (Luxembourg) S.A. and certain
other UBS subsidiaries have been subject to inquiries by a number of regulators, including the Swiss Financial Market Supervisory Authority
(FINMA) and the Luxembourg Commission de Surveillance du Secteur Financier (CSSF). Those inquiries concerned two third-party funds
established under Luxembourg law, substantially all assets of which were with BMIS, as well as certain funds established in offshore
jurisdictions with either direct or indirect exposure to BMIS. These funds now face severe losses, and the Luxembourg funds are in liquidation.
The last reported net asset value of the two Luxembourg funds before revelation of the Madoff scheme was approximately USD 1.7 billion in
the aggregate although that figure likely includes fictitious profit reported by BMIS. The documentation establishing both funds identifies UBS
entities in various roles, including custodian, administrator, manager, distributor and promoter, and indicates that UBS employees serve as board
members. UBS (Luxembourg) S.A. and certain other UBS subsidiaries are responding to inquiries by Luxembourg investigating authorities,
without, however, being named as parties in those investigations. In 2009 and 2010, the liquidators of the two Luxembourg funds filed claims on
behalf of the funds against UBS entities, non-UBS entities and certain individuals, including current and former UBS employees.
The amounts claimed are approximately EUR 890 million and EUR 305 million, respectively. The
liquidators have filed supplementary
claims for amounts that the funds may possibly be held liable to pay the BMIS Trustee. These amounts claimed by the liquidator are
approximately EUR 564 million and EUR 370 million, respectively. In addition, a large number of alleged beneficiaries have filed claims
against UBS entities (and non-UBS entities) for purported losses relating to the Madoff scheme. The majority of these cases are pending in
Luxembourg, where appeals were filed by the claimants against the 2010 decisions of the court in which the claims in a number of test cases
were held to be inadmissible. In 2014, the Luxembourg Court of Appeal dismissed one test case appeal in its entirety, which decision was
appealed by the investor. In 2015, the Luxembourg Supreme Court found in favor of UBS and dismissed the investor's appeal. In June 2016, the
Luxembourg Court of Appeal dismissed the remaining test cases in their entirety. In the US, the BMIS Trustee filed claims in 2010 against UBS
entities, among others, in relation to the two Luxembourg funds and one of the offshore funds. The total amount claimed against all defendants
in these actions was not less than USD 2 billion. Following a motion by UBS, in 2011, the SDNY dismissed all of the BMIS Trustee's claims
other than claims for recovery of fraudulent conveyances and preference payments that were allegedly transferred to UBS on the ground that the
BMIS Trustee lacks standing to bring such claims. In 2013, the Second Circuit affirmed the District Court's decision and, in 2014, the US
Supreme Court denied the BMIS Trustee's petition seeking review of the Second Circuit ruling. In November 2016, the bankruptcy court issued
an opinion dismissing the remaining claims for recovery of subsequent transfers of fraudulent conveyances and preference payments on the
ground that the US Bankruptcy Code does not apply to transfers that occurred outside the US. The BMIS Trustee has indicated that he will
appeal. In 2014, several claims, including a purported class action, were filed in the US by BMIS customers against UBS entities, asserting
claims similar to the ones made by the BMIS Trustee, seeking unspecified damages. One claim was voluntarily withdrawn by the plaintiff. In
2015, following a motion by UBS, the SDNY dismissed the two remaining claims on the basis that the New York courts did not have
jurisdiction to hear the claims against the UBS entities. The plaintiff in one of those claims has appealed the dismissal. In Germany, certain
clients of UBS are exposed to Madoff managed positions through third-party funds and funds administered by UBS entities in Germany. A small
number of claims have been filed with respect to such funds. In 2015, a court of appeal ordered UBS to pay EUR 49 million, plus interest of
approximately EUR 15.3 million.
3. Puerto Rico
Declines since August 2013 in the market prices of Puerto Rico municipal bonds and of closed-end funds (the funds) that are
sole-managed and co-managed by UBS Trust Company of Puerto Rico and distributed by UBS Financial Services Incorporated of Puerto Rico
(UBS PR) have led to multiple regulatory inquiries, as well as customer complaints and arbitrations with aggregate claimed damages of
approximately USD 2.0 billion, of which claims with aggregate claimed damages of approximately USD 861 million have been resolved
through settlements, arbitration or withdrawal of the claim. The claims are filed by clients in Puerto Rico who own the funds or Puerto Rico
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municipal bonds and / or who used their UBS account
assets as collateral for UBS non-purpose loans; customer complaint and arbitration
allegations include fraud, misrepresentation and unsuitability of the funds and of the
loans. A shareholder derivative action was filed in 2014
against various UBS entities and current and certain former directors of the funds, alleging hundreds of millions
of US dollars in losses in the
funds. In 2015, defendants' motion to dismiss was denied. Defendants' requests for permission to appeal that ruling were denied
by the Puerto
Rico Court of Appeals and the Puerto Rico Supreme Court. In 2014, a federal class action complaint also was filed against various UBS entities,
certain members of UBS PR senior management, and the co-manager of certain of the funds seeking damages for investor losses in the funds
during the period from May 2008 through May 2014. Defendants had moved to dismiss that complaint, and in December 2016, defendants'
motion to dismiss was granted in part and denied in part. In 2015, a class action was filed in Puerto Rico state court against UBS PR seeking
equitable relief in the form of a stay of any effort by UBS PR to collect on non-purpose loans it acquired from UBS Bank USA in December
2013 based on plaintiffs' allegation that the loans are not valid. The trial court denied defendants' motion to dismiss the action based on a forum
selection clause in the loan agreements; the Puerto Rico Supreme Court has stayed the action pending its review of defendants' appeal from
that ruling.
In
2014, UBS reached a settlement with the Office of the Commissioner of Financial Institutions for the Commonwealth of Puerto Rico
(OCFI) in connection with OCFI's
examination of UBS's operations from January 2006 through September 2013, pursuant to which UBS is
paying up to an aggregate of USD 7.7 million in investor education
contributions and restitution. In 2015, the SEC and the Financial Industry
Regulatory Authority (FINRA) announced settlements with UBS PR of their separate investigations
stemming from the 2013 market events.
Without admitting or denying the findings in either matter, UBS PR agreed in the SEC settlement to pay USD 15 million and USD 18.5
million
in the FINRA matter. We also understand that the DOJ is conducting a criminal inquiry into the impermissible reinvestment of non-purpose loan
proceeds. We are cooperating with the authorities in this inquiry.
In 2011, a purported derivative action was filed on behalf of the Employee Retirement System of the Commonwealth of Puerto Rico
(System) against over 40 defendants, including UBS PR, which was named in connection with its underwriting and consulting services.
Plaintiffs alleged that defendants violated their purported fiduciary duties and contractual obligations in connection with the issuance and
underwriting of approximately USD 3 billion of bonds by the System in 2008 and sought damages of over USD 800 million. Defendants'
motion to dismiss is pending. In September 2016, the System announced its intention to join the action as a plaintiff, and the court has since
ordered that plaintiffs must file an amended complaint. Also, in 2013, an SEC Administrative Law Judge dismissed a case brought by the SEC
against two UBS executives, finding no violations. The charges had stemmed from the SEC's investigation of UBS's sale of closed-end funds in
2008 and 2009, which UBS settled in 2012. Beginning in 2012, two federal class action complaints, which were subsequently consolidated,
were filed against various UBS entities, certain of the funds, and certain members of UBS PR senior management, seeking damages for investor
losses in the funds during the period from January 2008 through May 2012 based on allegations similar to those in the SEC action. In September
2016, the court denied plaintiffs' motion for class certification. In October 2016, plaintiffs filed a petition with the US Court of Appeals for the
First Circuit seeking permission to bring an interlocutory appeal challenging the denial of their motion for class certification. Defendants have
filed an opposition to plaintiffs' petition.
Beginning in 2015, agencies and public corporations of the Commonwealth have defaulted on certain interest payments, and in July 2016,
the Commonwealth defaulted on payments on its general obligation debt. Executive orders of the Governor that have diverted funds to pay for
essential services instead of debt payments and stayed any action to enforce creditors' rights on the Puerto Rico bonds continue to be in effect.
In June 2016, US federal legislation created an oversight board with power to oversee Puerto Rico's finances and to restructure its debt. The
oversight board is authorized to impose, and has imposed, a stay on exercise of creditors' rights. These events, further defaults, any further
legislative action to create a legal means of restructuring Commonwealth obligations or to impose additional oversight on the Commonwealth's
finances, or any restructuring of the Commonwealth's obligations, may increase the number of claims against UBS concerning Puerto Rico
securities, as well as potential damages sought.
Our balance sheet at 31 December 2016 reflected provisions with respect to matters described in this item 4 in amounts that UBS believes
to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, the future
outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly
may ultimately prove to be substantially greater (or may be less) than the provisions that we have recognized.
5. Foreign exchange, LIBOR, and benchmark rates, and other trading practices
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Foreign
exchange-related regulatory matters
: Following an initial media report in 2013 of widespread irregularities in the foreign
exchange markets, UBS immediately commenced an internal review of its foreign exchange business, which includes our precious metals and
related structured products businesses. Since then, various authorities have commenced investigations concerning possible manipulation of
foreign exchange markets, including FINMA, the Swiss Competition Commission (WEKO), the DOJ, the SEC, the US Commodity Futures
Trading Commission (CFTC), the Board of Governors of the Federal Reserve System (Federal Reserve Board), the California State Attorney
General, the UK Financial Conduct Authority (FCA) (to which certain responsibilities of the UK Financial Services Authority (FSA) have
passed), the UK Serious Fraud Office (SFO), the Australian Securities and Investments Commission (ASIC), the Hong Kong Monetary
Authority (HKMA), the Korea Fair Trade Commission (KFTC) and the Brazil Competition Authority (CADE). In addition, WEKO is, and a
number of other authorities reportedly are, investigating potential manipulation of precious metals prices. UBS has taken and will continue to
take appropriate action with respect to certain personnel as a result of its ongoing review.
In 2014, UBS reached settlements with the FCA and the CFTC in connection with their foreign exchange investigations, and FINMA
issued an order concluding its formal proceedings with respect to UBS relating to its foreign exchange and precious metals businesses. UBS has
paid a total of approximately CHF 774 million to these authorities, including GBP 234 million in fines to the FCA, USD 290 million in fines to
the CFTC, and CHF 134 million to FINMA representing confiscation of costs avoided and profits. In 2015, the Federal Reserve Board and the
Connecticut Department of Banking issued an Order to Cease and Desist and Order of Assessment of a Civil Monetary Penalty Issued upon
Consent (Federal Reserve Order) to UBS AG. As part of the Federal Reserve Order, UBS AG paid a USD 342 million civil monetary penalty.
In 2015, the DOJ's Criminal Division (Criminal Division) terminated the December 2012
Non-Prosecution Agreement (NPA) with UBS
AG related to UBS's submissions of benchmark interest rates. As a result, UBS AG entered into a plea agreement with the
Criminal Division
pursuant to which UBS AG pleaded guilty to a one-count criminal information filed in the US District Court for the District of Connecticut
charging UBS AG with one count of wire fraud in violation of 18 USC Sections 1343 and 2. Sentencing occurred on 5 January 2017. Under the
plea agreement, UBS AG has paid a USD 203 million fine and is subject to a three-year term of probation starting on the sentencing date. The
criminal information charges that, between approximately 2001 and 2010, UBS AG engaged in a scheme to defraud counterparties to interest
rate derivatives transactions by manipulating benchmark interest rates, including Yen LIBOR. The Criminal Division terminated the NPA based
on its determination, in its sole discretion, that certain UBS AG employees committed criminal conduct that violated the NPA, including
fraudulent and deceptive currency trading and sales practices in conducting certain foreign exchange market transactions with clients and
collusion with other participants in certain foreign exchange markets.
We have ongoing obligations to cooperate with these authorities and to undertake certain remediation, including actions to improve
UBS's processes and controls. UBS has been granted conditional leniency or conditional immunity by the Antitrust Division of the DOJ
(Antitrust Division) from prosecution for EUR / USD collusion and entered into a non-prosecution agreement covering other currency pairs. As
a result, UBS AG will not be subject to prosecutions, fines or other sanctions for antitrust law violations by the Antitrust Division, subject to
UBS AG's continuing cooperation. However, the conditional leniency and conditional immunity grant does not bar government agencies from
asserting other claims and imposing sanctions against UBS AG, as evidenced by the settlements and ongoing investigations referred to above.
UBS has also been granted conditional immunity by authorities in certain jurisdictions, including WEKO, in connection with potential
competition law violations relating to foreign exchange and precious metals businesses and, as a result, will not be subject to prosecutions, fines
or other sanctions for antitrust or competition law violations in those jurisdictions, subject to UBS AG's continuing cooperation as the leniency
applicant. Investigations relating to foreign exchange and precious metals matters by numerous authorities, including the CFTC, remain ongoing
notwithstanding these resolutions.
Foreign exchange-related civil litigation:
Putative class actions have been filed since November 2013 in US
federal courts and in other jurisdictions
against UBS and other banks on behalf of putative classes of persons who engaged in foreign currency
transactions with any of the defendant banks. They allege collusion by
the defendants and assert claims under the antitrust laws and for unjust
enrichment. In 2015, additional putative class actions were filed in federal court in New York
against UBS and other banks on behalf of a
putative class of persons who entered into or held any foreign exchange futures contracts and options on foreign exchange
futures contracts
since 1 January 2003. The complaints assert claims under the Commodity Exchange Act (CEA) and the US antitrust laws. In 2015, a
consolidated complaint was filed on behalf of both putative classes of persons covered by the US federal court class actions described above.
UBS has entered into a settlement agreement that would resolve all of these US federal court class actions. The agreement, which has been
preliminarily approved by the court and is subject to final court approval, requires, among other things, that UBS pay an aggregate of USD 141
million and provide cooperation to the settlement classes.
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A putative class action has been filed in federal court in New York against UBS and other banks on behalf of
participants, beneficiaries,
and named fiduciaries of plans qualified under the Employee Retirement Income Security Act of 1974 (ERISA) for whom a defendant bank
provided foreign currency exchange transactional services, exercised discretionary authority or discretionary control over management of such
ERISA plan, or authorized or permitted the execution of any foreign currency exchange transactional services involving such plan's assets. The
complaint asserts claims under ERISA. The parties filed a stipulation to dismiss the case with prejudice. The plaintiffs have appealed the
dismissal. In 2015, a putative class action was filed in federal court against UBS and numerous other banks on behalf of a putative class of
persons and businesses in the US who directly purchased foreign currency from the defendants and their co-conspirators for their own end use.
That action has been transferred to federal court in New York. Motions to dismiss are pending. In 2016, a putative class action was filed in
federal court in New York against UBS and numerous other banks on behalf of a putative class of persons and entities who had indirectly
purchased FX instruments from a defendant or co-conspirator in the US. The complaint asserts claims under federal and state antitrust laws.
Motions to dismiss will be filed. In 2015, UBS was added to putative class actions pending against other banks in federal court in New York and
other jurisdictions on behalf of putative classes of persons who had bought or sold physical precious metals and various precious metal products
and derivatives. The complaints in these lawsuits assert claims under the antitrust laws and the CEA, and other claims. In October 2016, the
court in New York granted UBS's motions to dismiss the putative class actions relating to gold and silver. Plaintiffs in those cases are seeking to
amend their complaints to add new allegations about UBS. UBS's motion to dismiss the putative class action relating to platinum and palladium
remains pending.
LIBOR and other benchmark-related regulatory matters
: Numerous
government agencies, including the SEC, the CFTC, the DOJ, the
FCA, the SFO, the Monetary Authority of Singapore (MAS), the HKMA, FINMA, the various state attorneys
general in the US and competition
authorities in various jurisdictions have conducted or are continuing to conduct investigations regarding submissions with respect to
LIBOR and
other benchmark rates. These investigations focus on whether there were improper attempts by UBS, among others, either acting on our own or
together with others, to manipulate LIBOR and other benchmark rates at certain times.
In 2012, UBS reached settlements with the FSA, the CFTC and the Criminal Division of the DOJ in connection with their investigations
of benchmark interest rates. At the same time, FINMA issued an order concluding its formal proceedings with respect to UBS relating to
benchmark interest rates. UBS has paid a total of approximately CHF 1.4 billion in fines and disgorgement, including GBP 160 million in fines
to the FSA, USD 700 million in fines to the CFTC, USD 500 million in fines to the DOJ, and CHF 59 million in disgorgement to FINMA. UBS
Securities Japan Co. Ltd. (UBSSJ) entered into a plea agreement with the DOJ under which it entered a plea to one count of wire fraud relating
to the manipulation of certain benchmark interest rates, including Yen LIBOR. UBS entered into an NPA with the DOJ, which (along with the
plea agreement) covered conduct beyond the scope of the conditional leniency / immunity grants described below, required UBS to pay the USD
500 million fine to the DOJ after the sentencing of UBSSJ and provided that any criminal penalties imposed on UBSSJ at sentencing be
deducted from the USD 500 million fine. Under the NPA, we agreed, among other things, that for two years from 18 December 2012 UBS
would not commit any US crime and we would advise DOJ of any potentially criminal conduct by UBS or any of its employees relating to
violations of US laws concerning fraud or securities and commodities markets. The term of the NPA was extended by one year to 18 December
2015. In 2015, the Criminal Division terminated the NPA based on its determination, in its sole discretion, that certain UBS AG employees
committed criminal conduct that violated the NPA.
In 2014, UBS reached a settlement with the European Commission (EC) regarding its investigation of bid-ask spreads in connection with
Swiss franc interest rate derivatives and paid a EUR 12.7 million fine, which was reduced to this level based in part on UBS's cooperation with
the EC. In December 2016, UBS reached a settlement with WEKO regarding its investigation of bid-ask spreads in connection with Swiss franc
interest rate derivatives and received full immunity from fines. The MAS, HKMA and the Japan Financial Services Agency have also resolved
investigations of UBS (and in some cases, other banks). We have ongoing obligations to cooperate with the authorities with whom we have
reached resolutions and to undertake certain remediation with respect to benchmark interest rate submissions.
Investigations by the CFTC, ASIC and other governmental authorities remain ongoing
notwithstanding these resolutions. UBS has been
granted conditional leniency or conditional immunity from authorities in certain jurisdictions, including the Antitrust
Division of the DOJ and
WEKO, in connection with potential antitrust or competition law violations related to submissions for Yen LIBOR and Euroyen TIBOR. As a
result of these conditional grants, UBS will not be subject to prosecutions, fines or other sanctions for antitrust or competition law violations in
the jurisdictions where we have conditional immunity in connection with the matters covered by the conditional grants, subject to our continuing
cooperation as leniency applicant. However, since the Secretariat of WEKO has asserted that UBS does not qualify for full immunity, UBS has
been unable to reach a settlement with WEKO, and therefore the investigation will continue. Furthermore, the conditional leniency and
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conditional immunity grants we have received do not bar
government agencies from asserting other claims and imposing sanctions against us, as
evidenced by the settlements and ongoing investigations referred to above. In
addition, as a result of the conditional leniency agreement with the
DOJ, we are eligible for a limit on liability to actual rather than treble damages were damages to be
awarded in any civil antitrust action under
US law based on conduct covered by the agreement and for relief from potential joint and several liability in connection with
such civil antitrust
action, subject to our satisfying the DOJ and the court presiding over the civil litigation of our cooperation. The conditional leniency and
conditional immunity grants do not otherwise affect the ability of private parties to assert civil claims against us.
LIBOR and other benchmark-related civil litigation
: A number of putative class actions and other actions are pending in the federal courts
in New York
against UBS and numerous other banks on behalf of parties who transacted in certain interest rate benchmark-based derivatives.
Also pending in the US and in other
jurisdictions are actions asserting losses related to various products whose interest rates were linked to
LIBOR and other benchmarks, including adjustable rate mortgages,
preferred and debt securities, bonds pledged as collateral, loans, depository
accounts, investments and other interest-bearing instruments. All of the complaints allege
manipulation, through various means, of various
benchmark interest rates, including USD LIBOR, Euroyen TIBOR, Yen LIBOR, EURIBOR, CHF LIBOR, GBP LIBOR, USD ISDAFIX rates
and other benchmark rates, and seek unspecified compensatory and other damages under varying legal theories.
In 2013, the US district court in the USD LIBOR action dismissed the federal antitrust and
racketeering claims of certain USD LIBOR
plaintiffs and a portion of their claims brought under the CEA and state common law. Certain plaintiffs appealed the decision to
the Second
Circuit, which, in May 2016, vacated the district court's ruling finding no antitrust injury and remanded the case back to the district court for a
further determination on whether plaintiffs have antitrust standing. In December 2016, the district court again dismissed plaintiffs' antitrust
claims, this time for lack of personal jurisdiction over UBS and other foreign banks. In 2014, the court in one of the Euroyen TIBOR lawsuits
dismissed certain of the plaintiff's claims, including federal antitrust claims. In 2015, the same court dismissed plaintiff's federal racketeering
claims and affirmed its previous dismissal of plaintiff's antitrust claims. UBS and other defendants in other lawsuits including those related to
EURIBOR, CHF LIBOR, GBP LIBOR and SIBOR have filed motions to dismiss. UBS has entered into an agreement with representatives of a
class of bondholders to settle their USD LIBOR class action. The agreement is subject to court approval.
Since September 2014, putative class actions have been filed in federal court in New York and New Jersey against UBS and other
financial institutions, among others, on behalf of parties who entered into interest rate derivative transactions linked to ISDAFIX. The
complaints, which have since been consolidated into an amended complaint, allege that the defendants conspired to manipulate ISDAFIX rates
from 1 January 2006 through January 2014, in violation of US antitrust laws and certain state laws, and seek unspecified compensatory
damages, including treble damages. In March 2016, the court in the ISDAFIX action denied in substantial part defendants' motion to dismiss,
holding that plaintiffs have stated Sherman Act, breach of-contract and unjust-enrichment claims against defendants, including UBS AG.
Government bonds:
Putative class actions have been filed in US federal courts against UBS and other banks on behalf of persons who
participated in markets for US Treasury securities since 2007. The complaints generally allege that the banks colluded with respect to, and
manipulated prices of, US Treasury securities sold at auction. They assert claims under the antitrust laws and the CEA and for unjust
enrichment. The cases have been consolidated in the SDNY. Following filing of these complaints, UBS and reportedly other banks are
responding to investigations and requests for information from various authorities regarding US Treasury securities and other government bond
trading practices. As a result of its review to date, UBS has taken appropriate action.
With respect to additional matters and jurisdictions not encompassed by the settlements and order referred to above, our balance sheet at
31 December 2016 reflected a provision in an amount that UBS believes to be appropriate under the applicable accounting standard. As in the
case of other matters for which we have established provisions, the future outflow of resources in respect of such matters cannot be determined
with certainty based on currently available information and accordingly may ultimately prove to be substantially greater (or may be less) than
the provision that we have recognized.
6. Swiss retrocessions
The Federal Supreme Court of Switzerland ruled in 2012, in a test case against UBS, that distribution fees paid to a firm for distributing
third-party and intra-group investment funds and structured products must be disclosed and surrendered to clients who have entered into a
discretionary mandate agreement with the firm, absent a valid waiver. FINMA has issued a supervisory note to all Swiss banks in response to
the Supreme Court decision. UBS has met the FINMA requirements and has notified all potentially affected clients.
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The Supreme Court decision has
resulted, and may continue to result, in a number of client requests for UBS to disclose and potentially
surrender retrocessions. Client requests are assessed on a
case-by-case basis. Considerations taken into account when assessing these cases
include, among others, the existence of a discretionary mandate and whether or not the
client documentation contained a valid waiver with
respect to distribution fees.
Our balance sheet at 31 December 2016 reflected a provision with respect to matters described in this item 6 in an amount that UBS
believes to be appropriate under the applicable accounting standard. The ultimate exposure will depend on client requests and the resolution
thereof, factors that are difficult to predict and assess. Hence, as in the case of other matters for which we have established provisions, the future
outflow of resources in respect of such matters cannot be determined with certainty based on currently available information and accordingly
may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
7. Banco UBS Pactual tax indemnity
Pursuant to the 2009 sale of Banco UBS Pactual S.A. (Pactual) by UBS to BTG Investments, LP
(BTG), BTG has submitted contractual
indemnification claims that UBS estimates amount to approximately BRL 2.6 billion, including interest and penalties, which is net of
liabilities
retained by BTG. The claims pertain principally to several tax assessments issued by the Brazilian tax authorities against Pactual relating to the
period from December 2006 through March 2009, when UBS owned Pactual. These assessments are being challenged in administrative and
judicial proceedings. The majority of these assessments relate to the deductibility of goodwill amortization in connection with UBS's 2006
acquisition of Pactual and payments made to Pactual employees through various profit-sharing plans. In 2015, an intermediate administrative
court issued a decision that was largely in favor of the tax authority with respect to the goodwill amortization assessment. In May 2016, the
highest level of the administrative court agreed to review this decision on a number of the significant issues.
8. Investigation of UBS's role in initial public offerings in Hong Kong
The Hong Kong Securities and Futures Commission (SFC) has been conducting investigations into
UBS's role as a sponsor of certain
initial public offerings listed on the Hong Kong Stock Exchange. In October 2016, the SFC informed UBS that it intends to commence
action
against UBS and certain UBS employees with respect to sponsorship work in those offerings. If such action is taken, there may be financial
ramifications for UBS, including fines and obligations to pay investor compensation, and suspension of UBS's ability to provide corporate
finance advisory services in Hong Kong for a period of time. On 16 January 2017, a writ was filed by the SFC with Hong Kong's High Court in
which UBS is named as one of six defendants from whom the SFC is seeking compensation in an unspecified amount for losses incurred by
certain shareholders of China Forestry Holdings Company Limited, for whom UBS acted as a sponsor in connection with their 2009
listing application.
2015 Annual Report
1. Inquiries regarding cross-border wealth management businesses
Tax and regulatory authorities in a number of countries have made inquiries, served requests for information or examined employees
located in their respective jurisdictions relating to the cross-border wealth management services provided by UBS and other financial
institutions. It is possible that implementation of automatic tax information exchange and other measures relating to cross-border provision of
financial services could give rise to further inquiries in the future.
As a result of investigations in France, in 2013, UBS (France) S.A. and UBS AG were put under formal examination ("
mise en examen
")
for complicity in having illicitly solicited clients on French territory, and were declared witness with legal assistance ("
témoin assisté
")
regarding the laundering of proceeds of tax fraud and of banking and financial solicitation by unauthorized persons. In 2014, UBS AG was
placed under formal examination with respect to the potential charges of laundering of proceeds of tax fraud, and the investigating judges
ordered UBS to provide bail ("
caution
") of EUR 1.1 billion. UBS AG appealed the determination of the bail amount, but both the appeal court
("
Cour d'Appel
") and the French Supreme Court ("
Cour de Cassation")
upheld the bail amount and rejected the appeal in full in late 2014. UBS
AG has filed and has had accepted
a petition to the European Court of Human Rights to challenge various aspects of the French court's decision.
In September 2015, the former CEO of UBS Wealth Management was placed under formal examination in connection with these
proceedings. In addition, the investigating judges have sought to issue arrest warrants against three Swiss-based former employees of UBS AG
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who did not appear when summoned by the investigating
judge. In February 2016, the investigating judge notified UBS that he does not intend
to conduct further investigation. This notification commences a period in which the
prosecutor may file a request for a judge to issue
formal charges.
In March 2015, UBS (France) S.A. was placed under formal examination for complicity regarding the laundering of proceeds of tax fraud
and of banking and financial solicitation by unauthorized persons for the years 2004 until 2008 and declared witness with legal assistance for the
years 2009 to 2012. A bail of EUR 40 million was imposed, and was reduced by the Court of Appeals in May 2015 to EUR 10 million.
Separately, in 2013, the French banking supervisory authority's disciplinary commission reprimanded UBS (France) S.A. for having had
insufficiencies in its control and compliance framework around its cross-border activities and know your customer obligations. It imposed a
penalty of EUR 10 million, which was paid.
UBS AG has been notified by the Brussels public prosecutor's office that it is investigating various aspects of UBS's cross-border
business.
In
January 2015, UBS received inquiries from the US Attorney's Office for the Eastern District of New York and from the US Securities
and Exchange Commission (SEC),
which are investigating potential sales to US persons of bearer bonds and other unregistered securities in
possible violation of the Tax Equity and Fiscal Responsibility
Act of 1982 (TEFRA) and the registration requirements of the US securities laws.
UBS is cooperating with the authorities in these investigations.
UBS has, and reportedly numerous other financial institutions have, received inquiries from
authorities concerning accounts relating to
the Fédération Internationale de Football Association (FIFA) and other constituent soccer associations and related
persons and entities. UBS is
cooperating with authorities in these inquiries.
Our balance sheet at 31 December 2015 reflected provisions with respect to matters described in this item 1 in an amount that UBS
believes to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions,
the future outflow of resources in respect of such matters cannot be determined with certainty based on currently available information, and
accordingly may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
2. Claims related to sales of residential mortgage-backed securities and
mortgages
From 2002 through 2007, prior to the crisis in the US residential loan
market, UBS was a substantial issuer and underwriter of US
residential mortgage-backed securities (RMBS) and was a purchaser and seller of US residential mortgages. A
subsidiary of UBS, UBS Real
Estate Securities Inc. (UBS RESI), acquired pools of residential mortgage loans from originators and (through an affiliate) deposited them into
securitization trusts. In this manner, from 2004 through 2007, UBS RESI sponsored approximately USD 80 billion in RMBS, based on the
original principal balances of the securities issued.
UBS RESI also sold pools of loans acquired from originators to third-party purchasers. These whole loan sales during the period 2004
through 2007 totaled approximately USD 19 billion in original principal balance. We were not a significant originator of US residential loans. A
subsidiary of UBS originated approximately USD 1.5 billion in US residential mortgage loans during the period in which it was active from
2006 to 2008, and securitized less than half of these loans.
RMBS-related lawsuits concerning disclosures:
UBS is named as a
defendant relating to its role as underwriter and issuer of RMBS in
lawsuits related to approximately USD 6.2 billion in original face amount of RMBS underwritten or
issued by UBS. Of the USD 6.2 billion in
original face amount of RMBS that remains at issue in these cases, approximately USD 3.2 billion was issued in offerings in which
a UBS
subsidiary transferred underlying loans (the majority of which were purchased from third-party originators) into a securitization trust and made
representations and warranties about those loans (UBS-sponsored RMBS). The remaining USD 3 billion of RMBS to which these cases relate
was issued by third parties in securitizations in which UBS acted as underwriter (third party RMBS).
In connection with certain of these lawsuits, UBS has indemnification rights against surviving third-party issuers or originators for losses
or liabilities incurred by UBS, but UBS cannot predict the extent to which it will succeed in enforcing those rights. UBS is a defendant in two
lawsuits brought by the National Credit Union Administration (NCUA), as conservator for certain failed credit unions, asserting misstatements
and omissions in the offering documents for RMBS purchased by the credit unions. Both lawsuits were filed in US District Courts, one in the
District of Kansas and the other in the Southern District of New York (SDNY). The original principal balance at issue in the Kansas case is
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approximately USD 1.15 billion and the original
principal balance at issue in the SDNY case is approximately USD 400 million. In February
2016, UBS made an offer of judgment to NCUA in the SDNY case, which NCUA has
accepted, pursuant to which UBS will pay USD 33
million plus an amount of prejudgment interest that will be determined by the court and reasonable attorneys' fees.
Once these amounts are
determined and judgment is entered, the SDNY case will end. Prejudgment interest and attorneys' fees are expected to significantly increase
the
total amount to be paid in the SDNY case.
Lawsuits related to contractual representations and warranties concerning mortgages and RMBS:
When UBS acted as an RMBS sponsor
or mortgage seller, we generally made certain representations relating
to the characteristics of the underlying loans. In the event of a material
breach of these representations, we were in certain circumstances contractually obligated to
repurchase the loans to which the representations
related or to indemnify certain parties against losses. UBS has received demands to repurchase US residential mortgage
loans as to which UBS
made certain representations at the time the loans were transferred to the securitization trust aggregating approximately USD 4.1 billion in
original principal balance. Of this amount, UBS considers claims relating to approximately USD 2 billion in original principal balance to be
resolved, including claims barred by the statute of limitations. Substantially all of the remaining claims are in litigation, including the matters
described in the next paragraph. UBS believes that new demands to repurchase US residential mortgage loans are time-barred under a decision
rendered by the New York Court of Appeals.
In 2012, certain RMBS trusts filed an action (Trustee Suit) in the SDNY seeking to enforce UBS RESI's obligation to repurchase loans in
the collateral pools for three RMBS securitizations (Transactions) with an original principal balance of approximately USD 2 billion, for which
Assured Guaranty Municipal Corp. (Assured Guaranty), a financial guaranty insurance company, had previously demanded repurchase. In
January 2015, the court rejected plaintiffs' efforts to seek damages for all loans purportedly in breach of representations and warranties in any of
the three Transactions and limited plaintiffs to pursuing claims based solely on alleged breaches for loans identified in the complaint or other
breaches that plaintiffs can establish were independently discovered by UBS. In February 2015, the court denied plaintiffs' motion seeking
reconsideration of its ruling. With respect to the loans subject to the Trustee Suit that were originated by institutions still in existence, UBS
intends to enforce its indemnity rights against those institutions. Trial is currently scheduled for April 2016. We also have tolling agreements
with certain institutional purchasers of RMBS concerning their potential claims related to substantial purchases of UBS-sponsored or
third-party RMBS.
3. Madoff
In relation to the Bernard L. Madoff Investment Securities LLC (BMIS) investment fraud, UBS AG, UBS (Luxembourg) SA and certain
other UBS subsidiaries have been subject to inquiries by a number of regulators, including the Swiss Financial Market Supervisory Authority
(FINMA) and the Luxembourg Commission de Surveillance du Secteur Financier (CSSF). Those inquiries concerned two third-party funds
established under Luxembourg law, substantially all assets of which were with BMIS, as well as certain funds established in offshore
jurisdictions with either direct or indirect exposure to BMIS. These funds now face severe losses, and the Luxembourg funds are in liquidation.
The last reported net asset value of the two Luxembourg funds before revelation of the Madoff scheme was approximately USD 1.7 billion in
the aggregate, although that figure likely includes fictitious profit reported by BMIS. The documentation establishing both funds identifies UBS
entities in various roles including custodian, administrator, manager, distributor and promoter, and indicates that UBS employees serve as board
members. UBS (Luxembourg) SA and certain other UBS subsidiaries are responding to inquiries by Luxembourg investigating authorities,
without, however, being named as parties in those investigations. In 2009 and 2010, the liquidators of the two Luxembourg funds filed claims on
behalf of the funds against UBS entities, non-UBS entities and certain individuals including current and former UBS employees. The amounts
claimed are approximately EUR 890 million and EUR 305 million, respectively. The liquidators have filed supplementary claims for amounts
that the funds may possibly be held liable to pay the BMIS Trustee. These amounts claimed by the liquidator are approximately EUR 564
million and EUR 370 million, respectively.
In addition, a large number of alleged beneficiaries have filed claims against UBS entities (and
non-UBS entities) for purported losses
relating to the Madoff scheme. The majority of these cases are pending in Luxembourg, where appeals were filed by the claimants
against the
2010 decisions of the court in which the claims in a number of test cases were held to be inadmissible. In July 2014, the Luxembourg Court of
Appeal dismissed one test appeal in its entirety, which decision was appealed by the investor. In July 2015, the Luxembourg Supreme Court
found in favor of UBS and dismissed the investor's appeal. In the US, the BMIS Trustee filed claims in 2010 against UBS entities, among
others, in relation to the two Luxembourg funds and one of the offshore funds. The total amount claimed against all defendants in these actions
was not less than USD 2 billion. Following a motion by UBS, in 2011, the SDNY dismissed all of the BMIS Trustee's claims other than claims
for recovery of fraudulent conveyances and preference payments that were allegedly transferred to UBS on the ground that the BMIS Trustee
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lacks standing to bring such claims. In 2013, the Second
Circuit affirmed the District Court's decision and, in June 2014, the US Supreme Court
denied the BMIS Trustee's petition seeking review of the Second Circuit
ruling. In December 2014, several claims, including a purported class
action, were filed in the US by BMIS customers against UBS entities, asserting claims similar to the
ones made by the BMIS Trustee, seeking
unspecified damages. One claim was voluntarily withdrawn by the plaintiff. In July 2015, following a motion by UBS, the SDNY
dismissed the
two remaining claims on the basis that the New York courts did not have jurisdiction to hear the claims against the UBS entities. In Germany,
certain clients of UBS are exposed to Madoff-managed positions through third-party funds and funds administered by UBS entities in Germany.
A small number of claims have been filed with respect to such funds. In January 2015, a court of appeal reversed a lower court decision in favor
of UBS in one such case and ordered UBS to pay EUR 49 million, plus interest (approximately EUR 15.3 million). UBS filed an application for
leave to appeal the decision. That application was rejected by the German Federal Supreme Court in December 2015, meaning that the Court of
Appeal's decision is final.
4. Puerto Rico
Declines since August 2013 in the market prices of Puerto Rico municipal bonds and of closed-end funds (the funds) that are
sole-managed and co-managed by UBS Trust Company of Puerto Rico and distributed by UBS Financial Services Incorporated of Puerto Rico
(UBS PR) have led to multiple regulatory inquiries, as well as customer complaints and arbitrations with aggregate claimed damages of USD 1.6
billion, of which claims with aggregate claimed damages of approximately USD 374 million have been resolved through settlements or
arbitration. The claims are filed by clients in Puerto Rico who own the funds or Puerto Rico municipal bonds and / or who used their UBS
account assets as collateral for UBS non-purpose loans; customer complaint and arbitration allegations include fraud, misrepresentation and
unsuitability of the funds and of the loans. A shareholder derivative action was filed in 2014 against various UBS entities and current and certain
former directors of the funds, alleging hundreds of millions in losses in the funds. In 2015, defendants' motion to dismiss was denied.
Defendants are seeking leave to appeal that ruling to the Puerto Rico Supreme Court. In 2014, a federal class action complaint also was filed
against various UBS entities, certain members of UBS PR senior management, and the co-manager of certain of the funds seeking damages for
investor losses in the funds during the period from May 2008 through May 2014. Defendants have moved to dismiss that complaint. In March
2015, a class action was filed in Puerto Rico state court against UBS PR seeking equitable relief in the form of a stay of any effort by UBS PR to
collect on non-purpose loans it acquired from UBS Bank USA in December 2013 based on plaintiffs' allegation that the loans are not valid.
In 2014, UBS reached a settlement with the Office of the Commissioner of Financial Institutions
for the Commonwealth of Puerto Rico
(OCFI) in connection with OCFI's examination of UBS's operations from January 2006 through September 2013. Pursuant to the
settlement,
UBS contributed USD 3.5 million to an investor education fund, offered USD 1.68 million in restitution to certain investors and, among other
things, committed to undertake an additional review of certain client accounts to determine if additional restitution would be appropriate.
That review resulted in an additional USD 2.1 million in restitution being offered to certain
investors. In September 2015, the SEC and
the Financial Industry Regulatory Authority (FINRA) announced settlements with UBS PR of their separate investigations stemming
from the
2013 market events. Without admitting or denying the findings in either matter, UBS PR agreed in the SEC settlement to pay USD 15 million
(which includes USD 1.18 million in disgorgement, a civil penalty of USD 13.63 million and pre-judgment interest), and USD 18.5 million in
the FINRA matter (which includes up to USD 11 million in restitution to 165 UBS PR customers and a civil penalty of USD 7.5 million). The
SEC settlement involves a charge against UBS PR of failing to supervise the activities of a former financial advisor who had recommended the
impermissible investment of nonpurpose loan proceeds into the UBS PR closed-end funds, in violation of firm policy and the customer loan
agreements. In the FINRA settlement, UBS PR is alleged to have failed to supervise certain customer accounts which were both more than 75%
invested in UBS PR closed-end funds and leveraged against those positions. We also understand that the DOJ is conducting a criminal inquiry
into the impermissible reinvestment of non-purpose loan proceeds. We are cooperating with the authorities in this inquiry.
In 2011, a purported derivative action was filed on behalf of the Employee Retirement System of
the Commonwealth of Puerto Rico
(System) against over 40 defendants, including UBS PR and other consultants and underwriters, trustees of the System, and the President and
Board of the Government Development Bank of Puerto Rico. The plaintiffs alleged that defendants violated their purported fiduciary duties and
contractual obligations in connection with the issuance and underwriting of approximately USD 3 billion of bonds by the System in 2008 and
sought damages of over USD 800 million. UBS is named in connection with its underwriting and consulting services. In 2013, the case was
dismissed by the Puerto Rico Court of First Instance on the grounds that plaintiffs did not have standing to bring the claim, but that dismissal
was subsequently overturned on appeal. Defendants have renewed their motion to dismiss the complaint on grounds not addressed when the
court issued its prior ruling. Also, in 2013, an SEC Administrative Law Judge dismissed a case brought by the SEC against two UBS executives,
finding no violations. The charges had stemmed from the SEC's investigation of UBS's sale of closed-end funds in 2008 and 2009, which UBS
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settled in 2012. Beginning in 2012, two federal class
action complaints, which were subsequently consolidated, were filed against various UBS
entities, certain of the funds, and certain members of UBS PR senior management,
seeking damages for investor losses in the funds during the
period from January 2008 through May 2012 based on allegations similar to those in the SEC action. A motion for
class certification was denied
without prejudice to the right to refile the motion after limited discovery, and that motion has since been refiled.
In June 2015 Puerto Rico's Governor stated that the Commonwealth is unable to meet its
obligations. In addition, certain agencies and
public corporations of the Commonwealth have held discussions with their creditors to restructure their outstanding debt,
and certain agencies
and public corporations of the Commonwealth have defaulted on certain interest payments that were due in August 2015 and January 2016.
The United States Supreme Court has agreed to hear Puerto Rico's appeal of a US District
Court's invalidation of the Puerto Rico Public
Corporations Debt Enforcement and Recovery Act (the Act), under which Puerto Rico's public corporations would be
permitted to effect a
mandatory restructuring of their respective debts with a specified creditor vote that would be binding on all applicable creditors, once approved
by a court or, alternatively, under a court-supervised bankruptcy type restructuring. The foregoing events, any further defaults by the
Commonwealth or its agencies and public corporations on (or any debt restructurings proposed by them with respect to) their outstanding debt, a
Supreme Court decision upholding the Act (or sending it back to the District Court for further proceedings) and any further actions taken by
Puerto Rico's public corporations under the Act, as well as any market reactions to any of the foregoing, may increase the number of claims
against UBS concerning Puerto Rico securities as well as potential damages sought.
Our balance sheet at 31 December 2015 reflected provisions with respect to matters described in this item 4 in amounts that UBS believes
to be appropriate under the applicable accounting standard. As in the case of other matters for which we have established provisions, the future
outflow of resources in respect of such matters cannot be determined with certainty based on currently available information, and accordingly
may ultimately prove to be substantially greater (or may be less) than the provisions that we have recognized.
5. Foreign exchange, LIBOR, and benchmark rates, and other trading practices
Foreign exchange-related regulatory matters
: Following an initial media report in 2013 of widespread irregularities in the foreign
exchange markets,
UBS immediately commenced an internal review of its foreign exchange business, which includes our precious metals and
related structured products businesses. Since then,
various authorities have commenced investigations concerning possible manipulation of
foreign exchange markets, including FINMA, the Swiss Competition Commission (WEKO),
the DOJ, the SEC, the US Commodity Futures
Trading Commission (CFTC), the Board of Governors of the Federal Reserve System (Federal Reserve Board), the UK Financial
Conduct
Authority (FCA) (to which certain responsibilities of the UK Financial Services Authority (FSA) have passed), the UK Serious Fraud Office
(SFO), the Australian Securities and Investments Commission (ASIC), the Hong Kong Monetary Authority (HKMA), the Korea Fair Trade
Commission (KFTC) and the Brazil Competition Authority (CADE).
In addition, WEKO is, and a number of other authorities reportedly are, investigating potential manipulation of precious metals prices.
UBS has taken and will take appropriate action with respect to certain personnel as a result of its ongoing review. In 2014, UBS reached
settlements with the FCA and the CFTC in connection with their foreign exchange investigations, and FINMA issued an order concluding its
formal proceedings with respect to UBS relating to its foreign exchange and precious metals businesses. UBS has paid a total of approximately
CHF 774 million to these authorities, including GBP 234 million in fines to the FCA, USD 290 million in fines to the CFTC, and CHF 134
million to FINMA representing confiscation of costs avoided and profits. In May 2015, the Federal Reserve Board and the Connecticut
Department of Banking issued an Order to Cease and Desist and Order of Assessment of a Civil Monetary Penalty Issued upon Consent (Federal
Reserve Order) to UBS AG. As part of the Federal Reserve Order, UBS AG paid a USD 342 million civil monetary penalty.
In May 2015, the DOJ's Criminal Division (Criminal Division) terminated the December 2012
Non-Prosecution Agreement (NPA) with
UBS AG related to UBS's submissions of benchmark interest rates. As a result, UBS AG entered into a plea agreement with the
Criminal
Division pursuant to which UBS AG agreed to and did plead guilty to a one-count criminal information filed in the US District Court for the
District of Connecticut charging UBS AG with one count of wire fraud in violation of 18 USC Sections 1343 and 2. Under the plea agreement,
UBS AG agreed to a sentence that includes a USD 203 million fine and a three-year term of probation. The criminal information charges that
between approximately 2001 and 2010, UBS AG engaged in a scheme to defraud counterparties to interest rate derivatives transactions by
manipulating benchmark interest rates, including Yen LIBOR. Sentencing is currently scheduled for 9 May 2016. The Criminal Division
terminated the NPA based on its determination, in its sole discretion, that certain UBS AG employees committed criminal conduct that violated
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the NPA, including fraudulent and deceptive currency
trading and sales practices in conducting certain foreign exchange market transactions
with clients and collusion with other participants in certain foreign exchange
markets.
We have ongoing obligations to cooperate with these authorities and to
undertake certain remediation, including actions to improve
processes and controls.
UBS has been granted conditional immunity by the Antitrust Division of the DOJ (Antitrust Division) from prosecution for EUR / USD
collusion and entered into a non-prosecution agreement covering other currency pairs. As a result, UBS AG will not be subject to prosecutions,
fines or other sanctions for antitrust law violations by the Antitrust Division, subject to UBS AG's continuing cooperation. However, the
conditional immunity grant does not bar government agencies from asserting other claims and imposing sanctions against UBS AG, as
evidenced by the settlements and ongoing investigations referred to above. UBS has also been granted conditional leniency by authorities in
certain jurisdictions, including WEKO, in connection with potential competition law violations relating to precious metals, and as a result, will
not be subject to prosecutions, fines or other sanctions for antitrust or competition law violations in those jurisdictions, subject to UBS AG's
continuing cooperation.
In October 2015, UBS AG settled charges with the SEC relating to structured notes issued by UBS AG that were linked to the UBS V10
Currency Index with Volatility Cap. Investigations relating to foreign exchange and precious metals matters by numerous authorities, including
the CFTC, remain ongoing notwithstanding these resolutions.
Foreign exchange-related civil litigation:
Putative class actions have
been filed since November 2013 in US federal courts and in other
jurisdictions against UBS and other banks on behalf of putative classes of persons who engaged in foreign
currency transactions with any of the
defendant banks. They allege collusion by the defendants and assert claims under the antitrust laws and for unjust enrichment. In
2015,
additional putative class actions were filed in federal court in New York against UBS and other banks on behalf of a putative class of persons
who entered into or held any foreign exchange futures contracts and options on foreign exchange futures contracts since 1 January 2003.
The complaints assert claims under the Commodity Exchange Act (CEA) and the US antitrust laws. In
July 2015, a consolidated
complaint was filed on behalf of both putative classes of persons covered by the US federal court class actions described above. UBS has
entered into a settlement agreement that would resolve all of these US federal court class actions. The agreement, which has been preliminarily
approved by the court and is subject to final court approval, requires, among other things, that UBS pay an aggregate of USD 141 million and
provide cooperation to the settlement classes.
In June 2015, a putative class action was filed in federal court in New York against UBS and other banks on behalf of participants,
beneficiaries, and named fiduciaries of plans qualified under the Employee Retirement Income Security Act of 1974 (ERISA) for whom a
defendant bank provided foreign currency exchange transactional services, exercised discretionary authority or discretionary control over
management of such ERISA plan, or authorized or permitted the execution of any foreign currency exchange transactional services involving
such plan's assets. The complaint asserts claims under ERISA.
In 2015, UBS was added to putative class actions pending against other banks in federal court in New York and other jurisdictions on
behalf of putative classes of persons who bought or sold physical precious metals and various precious metal products and derivatives. The
complaints in these lawsuits assert claims under the antitrust laws and the CEA, and other claims.
LIBOR and other benchmark-related regulatory matters
: Numerous
government agencies, including the SEC, the CFTC, the DOJ, the
FCA, the SFO, the Monetary Authority of Singapore (MAS), the HKMA, FINMA, the various state attorneys
general in the US, and
competition authorities in various jurisdictions have conducted or are continuing to conduct investigations regarding submissions with respect to
LIBOR and other benchmark rates.
These investigations focus on whether there were improper attempts by UBS, among others, either acting on our own or together with
others, to manipulate LIBOR and other benchmark rates at certain times.
In 2012, UBS reached settlements with the FSA, the CFTC and the Criminal Division of the DOJ in connection with their investigations
of benchmark interest rates. At the same time, FINMA issued an order concluding its formal proceedings with respect to UBS relating to
benchmark interest rates. UBS has paid a total of approximately CHF 1.4 billion in fines and disgorgement – including GBP 160 million in fines
to the FSA, USD 700 million in fines to the CFTC, USD 500 million in fines to the DOJ, and CHF 59 million in disgorgement to FINMA. UBS
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Securities Japan Co. Ltd. (UBSSJ) entered into a plea
agreement with the DOJ under which it entered a plea to one count of wire fraud relating
to the manipulation of certain benchmark interest rates, including Yen
LIBOR.
UBS entered into an NPA with the DOJ, which (along with the plea agreement)
covered conduct beyond the scope of the conditional
leniency / immunity grants described below, required UBS to pay the USD 500 million fine to the DOJ after the
sentencing of UBSSJ, and
provided that any criminal penalties imposed on UBSSJ at sentencing be deducted from the USD 500 million fine. Under the NPA, we agreed,
among other things, that for two years from 18 December 2012 UBS would not commit any US crime, and we would advise DOJ of any
potentially criminal conduct by UBS or any of its employees relating to violations of US laws concerning fraud or securities and commodities
markets. The term of the NPA was extended by one year to 18 December 2015. In May 2015, the Criminal Division terminated the NPA based
on its determination, in its sole discretion, that certain UBS AG employees committed criminal conduct that violated the NPA. As a result, UBS
entered into a plea agreement with the DOJ under which it entered a guilty plea to one count of wire fraud relating to the manipulation of certain
benchmark interest rates, including Yen LIBOR, and agreed to pay a fine of USD 203 million and accept a three-year term of probation.
Sentencing is currently scheduled for 9 May 2016.
In 2014, UBS reached a settlement with the European Commission (EC) regarding its investigation of bid-ask spreads in connection with
Swiss franc interest rate derivatives and paid a EUR 12.7 million fine, which was reduced to this level based in part on UBS's cooperation with
the EC. The MAS, HKMA and the Japan Financial Services Agency have also resolved investigations of UBS (and in some cases, other banks).
We have ongoing obligations to cooperate with the authorities with whom we have reached resolutions and to undertake certain remediation
with respect to benchmark interest rate submissions.
Investigations by the CFTC, ASIC and other governmental authorities remain ongoing notwithstanding these resolutions.
UBS has been granted conditional leniency or conditional immunity from authorities in certain
jurisdictions, including the Antitrust
Division of the DOJ, WEKO and the EC, in connection with potential antitrust or competition law violations related to submissions
for Yen
LIBOR and Euroyen TIBOR. WEKO has also granted UBS conditional immunity in connection with potential competition law violations
related to submissions for CHF LIBOR and certain transactions related to CHF LIBOR. As a result of these conditional grants, we will not be
subject to prosecutions, fines or other sanctions for antitrust or competition law violations in the jurisdictions where we have conditional
immunity or leniency in connection with the matters covered by the conditional grants, subject to our continuing cooperation. However, the
conditional leniency and conditional immunity grants we have received do not bar government agencies from asserting other claims and
imposing sanctions against us, as evidenced by the settlements and ongoing investigations referred to above. In addition, as a result of the
conditional leniency agreement with the DOJ, we are eligible for a limit on liability to actual rather than treble damages, were damages to be
awarded in any civil antitrust action under US law based on conduct covered by the agreement and for relief from potential joint and several
liability in connection with such civil antitrust action, subject to our satisfying the DOJ and the court presiding over the civil litigation of our
cooperation. The conditional leniency and conditional immunity grants do not otherwise affect the ability of private parties to assert civil claims
against us.
LIBOR and other benchmark-related civil litigation
: A number of
putative class actions and other actions are pending in, or expected to
be transferred to, the federal courts in New York against UBS and numerous other banks on behalf of
parties who transacted in certain interest
rate benchmark-based derivatives.
Also pending are actions asserting losses related to various products whose interest rate was linked to USD LIBOR, including adjustable
rate mortgages, preferred and debt securities, bonds pledged as collateral, loans, depository accounts, investments and other interest-bearing
instruments. All of the complaints allege manipulation, through various means, of various benchmark interest rates, including USD LIBOR,
Euroyen TIBOR, Yen LIBOR, EURIBOR, CHF LIBOR, GBP LIBOR or USD ISDAFIX rates and seek unspecified compensatory and other
damages under varying legal theories. In 2013, the court in the USD action dismissed the federal antitrust and racketeering claims of certain
USD LIBOR plaintiffs and a portion of their claims brought under the CEA and state common law. Plaintiffs have appealed the dismissal, and
the appeal remains pending. In 2014, the court in one of the Euroyen TIBOR lawsuits dismissed certain of the plaintiff's claims, including
federal antitrust claims. In 2015, the same court dismissed plaintiff's federal racketeering claims and affirmed its previous dismissal of plaintiff's
antitrust claims. UBS and other defendants in other lawsuits including those related to EURIBOR, CHF LIBOR and GBP LIBOR have filed
motions to dismiss.
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Since September 2014, putative class actions have been filed in federal court in New York and New Jersey against UBS and other
financial institutions, among others, on behalf of parties who entered into interest rate derivative transactions linked to ISDAFIX.
The complaints, which have since been consolidated into an amended complaint, allege that the
defendants conspired to manipulate
ISDAFIX rates from 1 January 2006 through January 2014, in violation of US antitrust laws and the CEA, among other theories, and seeks
unspecified compensatory damages, including treble damages. UBS and other defendants have filed a motion to dismiss, which remains pending.
Government bonds:
Putative class actions have been filed in US federal courts against UBS and other banks on behalf of persons who
participated in markets for US Treasury securities since 2007. The complaints generally allege that the banks colluded with respect to and
manipulated prices of US Treasury securities sold at auction. They assert claims under the antitrust laws and the CEA and for unjust enrichment.
The cases have been consolidated in the SDNY. Following filing of these complaints, UBS and reportedly other banks have received requests
for information from various authorities regarding US Treasury securities and other government bond trading practices.
With respect to additional matters and jurisdictions not encompassed by the settlements and order
referred to above, our balance sheet at
31 December 2015 reflected a provision in an amount that UBS believes to be appropriate under the applicable accounting standard.
As in the
case of other matters for which we have established provisions, the future outflow of resources in respect of such matters cannot be determined
with certainty based on currently available information, and accordingly may ultimately prove to be substantially greater (or may be less) than
the provision that we have recognized.
6. Swiss retrocessions
The Federal Supreme Court of Switzerland ruled in 2012, in a test case against UBS, that distribution fees paid to a firm for distributing
third party and intra-group investment funds and structured products must be disclosed and surrendered to clients who have entered into a
discretionary mandate agreement with the firm, absent a valid waiver.
FINMA has issued a supervisory note to all Swiss banks in response to the Supreme Court decision. The note sets forth the measures
Swiss banks are to adopt, which include informing all affected clients about the Supreme Court decision and directing them to an internal bank
contact for further details. UBS has met the FINMA requirements and has notified all potentially affected clients.
The Supreme Court decision has resulted, and may continue to result, in a number of client
requests for UBS to disclose and potentially
surrender retrocessions. Client requests are assessed on a case-by-case basis. Considerations taken into account when
assessing these cases
include, among others, the existence of a discretionary mandate and whether or not the client documentation contained a valid waiver with
respect to distribution fees.
Our balance sheet at 31 December 2015 reflected a provision with respect to matters described in this item 6 in an amount that UBS
believes to be appropriate under the applicable accounting standard. The ultimate exposure will depend on client requests and the resolution
thereof, factors that are difficult to predict and assess. Hence, as in the case of other matters for which we have established provisions, the future
outflow of resources in respect of such matters cannot be determined with certainty based on currently available information, and accordingly
may ultimately prove to be substantially greater (or may be less) than the provision that we have recognized.
7. Banco UBS Pactual tax indemnity
Pursuant to the 2009 sale of Banco UBS Pactual S.A. (Pactual) by UBS to BTG Investments, LP
(BTG), BTG has submitted contractual
indemnification claims that UBS estimates
amount to approximately BRL 2.4 billion, including interest and penalties, which is net of
liabilities retained by BTG. The claims pertain principally to several tax
assessments issued by the Brazilian tax authorities against Pactual
relating to the period from December 2006 through March 2009, when UBS owned Pactual. The majority of
these assessments relate to the
deductibility of goodwill amortization in connection with UBS's 2006 acquisition of Pactual and payments made to Pactual employees
through
various profit-sharing plans. These assessments are being challenged in administrative and judicial proceedings. In May 2015, the administrative
court issued a decision that was largely in favor of the tax authority with respect to the goodwill amortization assessment. This decision has
been appealed.
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8.  Matters relating to the CDS market
In 2013, the EC issued a Statement of Objections against 13 credit default swap (CDS) dealers including UBS, as well as data service
provider Markit and the International Swaps and Derivatives Association (ISDA). The Statement of Objections broadly alleges that the dealers
infringed European Union antitrust rules by colluding to prevent exchanges from entering the credit derivatives market between 2006 and 2009.
In December 2015, the EC issued a statement that it had decided to close its investigation against all 13 dealers, including UBS. The EC's
investigation regarding Markit and ISDA is ongoing. Since mid-2009, the Antitrust Division of the DOJ has also been investigating whether
multiple dealers, including UBS, conspired with each other and with Markit to restrain competition in the markets for CDS trading, clearing and
other services. In 2014, putative class action plaintiffs filed consolidated amended complaints in the SDNY against 12 dealers, including UBS,
as well as Markit and ISDA, alleging violations of the US Sherman Antitrust Act and common law. Plaintiffs allege that the defendants
unlawfully conspired to restrain competition in and / or monopolize the market for CDS trading in the US in order to protect the dealers' profits
from trading CDS in the over-the-counter market. In September 2015, UBS and the other defendants entered into settlement agreements to
resolve the litigation, pursuant to which UBS has paid USD 75 million out of a total settlement amount paid by all defendants of approximately
USD 1.865 billion. The agreements have received preliminary court approval but are subject to final court approval.
Included by the Sponsor from the CFTC Website and not provided by UBS
The Commodity Futures Trading Commission (CFTC) on January 29, 2018 issued an Order filing and settling charges against UBS AG
(UBS), requiring UBS to pay a $15 million civil monetary penalty and to undertake remedial relief. The Order finds that from January 2008
through at least December 2013, UBS, by and through the acts of certain precious metals traders on the spot desk (Traders), attempted to
manipulate the price of precious metals futures contracts by utilizing a variety of manual spoofing techniques with respect to precious metals
futures contracts trading on the Commodity Exchange, Inc. (COMEX), including gold and silver, and by trading in a manner to trigger customer
stop-loss orders.
Goldman Sachs International ("GSI")
Goldman Sachs International is a subsidiary of The Goldman Sachs Group, Inc. ("Group, Inc."). From time to time, Group, Inc. (and its
subsidiaries, including Goldman Sachs International), its officers and employees are involved in proceedings and receive inquiries, subpoenas
and notices of investigation relating to various aspects of its business some of which result in sanction. Details are set out in Goldman Sachs
International's entry on the FCA/PRA Financial Services Register (https://register.fca.org.uk/ShPo_HomePage), Goldman Sachs International's
financial statements and Group Inc.'s various regulatory filings under applicable laws and regulations, Forms 10-K and 10-Q and periodic
filings pursuant to the U.S. Securities Exchange Act of 1934 (http://www.goldmansachs.com/investor-relations/financials/). Goldman Sachs
International is registered in the US with National Futures Association (NFA) as a provisionally registered Swap Dealer.
The disclosures below are extracts from Group Inc's financial statements dating back five
years available on the GS website:
The firm is involved in a number of judicial,
regulatory and arbitration proceedings (including those described below) concerning matters
arising in connection with the conduct of the firm's businesses. Many of
these proceedings are in early stages, and many of these cases seek an
indeterminate amount of damages.
Malaysia Development Berhad (1MDB)-Related Matters
The firm has received subpoenas and requests for documents and information from various governmental and regulatory bodies and
self-regulatory organizations as part of investigations and reviews relating to financing transactions and other matters involving 1MDB, a
sovereign wealth fund in Malaysia. Subsidiaries of the firm acted as arrangers or purchasers of approximately $6.5 billion of debt securities of
1MDB. On November 1, 2018, the U.S. Department of Justice (DOJ) unsealed a criminal information and guilty plea by Tim Leissner, a former
participating managing director of the firm, and an indictment against Ng Chong Hwa, a former managing director of the firm, and Low Taek
Jho. Leissner pleaded guilty to a two-count criminal information charging him with conspiring to launder money and conspiring to violate the
U.S. Foreign Corrupt Practices Act's (FCPA) anti-bribery and internal accounting controls provisions. Low and Ng were charged in a
three-count indictment with conspiring to launder money and conspiring to violate the FCPA's anti-bribery provisions. On August 28, 2018,
Leissner's guilty plea was accepted by the U.S. District Court for the Eastern District of New York and Leissner was adjudicated guilty on both
counts. Ng was also charged in this indictment with conspiring to violate the FCPA's internal accounting controls provisions. The charging
documents state, among other things, that Leissner and Ng participated in a conspiracy to misappropriate proceeds of the 1MDB offerings for
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themselves and to pay bribes to various government
officials to obtain and retain 1MDB business for the firm. The plea and charging documents
indicate that Leissner and Ng knowingly and willfully circumvented the
firm's system of internal accounting controls, in part by repeatedly
lying to control personnel and internal committees that reviewed these offerings. The indictment
of Ng and Low alleges that the firm's system of
internal accounting controls could be easily circumvented and that the firm's business culture, particularly in
Southeast Asia, at times prioritized
consummation of deals ahead of the proper operation of its compliance functions. On May 6, 2019, Ng pleaded not guilty to the
DOJ's criminal
charges. On February 4, 2020, the FRB disclosed that Andrea Vella, a former participating managing director whom the DOJ had previously
referred to as an unindicted co-conspirator, had agreed, without admitting or denying the FRB's allegations, to a consent order that prohibited
him from participating in the banking industry. No other penalties were imposed by the consent order. On December 17, 2018, the Attorney
General of Malaysia filed criminal charges in Malaysia against Goldman Sachs International (GSI), as the arranger of three offerings of debt
securities of 1MDB, aggregating approximately $6.5 billion in principal amount, for alleged disclosure deficiencies in the offering documents
relating to, among other things, the use of proceeds for the debt securities, as well as against Goldman Sachs (Asia) LLC (GS Asia) and
Goldman Sachs (Singapore) PTE (GS Singapore). Criminal charges have also been filed against Leissner, Low, Ng and Jasmine Loo Ai Swan.
In a related press release, the Attorney General of Malaysia indicated that prosecutors in Malaysia will seek criminal fines against the accused in
excess of $2.7 billion plus the $600 million of fees received in connection with the debt offerings. On August 9, 2019, the Attorney General of
Malaysia announced that criminal charges had also been filed against seventeen current and former directors of GSI, GS Asia and GS Singapore.
The Malaysia Securities Commission issued notices to show cause against Goldman Sachs (Malaysia) Sdn Bhd (GS Malaysia) in December
2018 and March 2019 that (i) allege possible violations of Malaysian securities laws and (ii) indicate that the Malaysia Securities Commission is
considering whether to revoke GS Malaysia's license to conduct corporate finance and fund management activities in Malaysia. The firm has
received multiple demands, beginning in November 2018, from alleged shareholders under Section 220 of the Delaware General Corporation
Law for books and records relating to, among other things, the firm's involvement with 1MDB and the firm's compliance procedures. On
December 13, 2019, an alleged shareholder filed a lawsuit in the Court of Chancery of the State of Delaware seeking books and records relating
to, among other things, the firm's involvement with 1MDB and the firm's compliance procedures. On February 19, 2019, a purported
shareholder derivative action relating to 1MDB was filed in the U.S. District Court for the Southern District of New York against Group Inc. and
the directors at the time and a former chairman and chief executive officer of the firm. The amended complaint filed on July 12, 2019, which
seeks unspecified damages, disgorgement and injunctive relief, alleges breaches of fiduciary duties, including in connection with alleged insider
trading by certain current and former directors, unjust enrichment and violations of the anti-fraud provisions of the Exchange Act, including in
connection with Group Inc.'s common stock repurchases and solicitation of proxies. Defendants moved to dismiss this action on September 12,
2019. Beginning in March 2019, the firm has also received demands from alleged shareholders to investigate and pursue claims against certain
current and former directors and executive officers based on their oversight and public disclosures regarding 1MDB and related internal
controls. On November 21, 2018, a summons with notice was filed in New York Supreme Court, County of New York, by International
Petroleum Investment Company, which guaranteed certain debt securities issued by 1MDB, and its subsidiary Aabar Investments PJS. The
summons with notice makes unspecified claims relating to 1MDB and seeks unspecified compensatory and punitive damages and other relief
against Group Inc., GSI, GS Asia, GS Singapore, GS Malaysia, Leissner, Ng, and Vella, as well as individuals (who are not current or former
employees of the firm) previously associated with the plaintiffs. On December 20, 2018, a putative securities class action lawsuit was filed in the
U.S. District Court for the Southern District of New York against Group Inc. and certain former officers of the firm alleging violations of the
anti-fraud provisions of the Exchange Act with respect to Group Inc.'s disclosures concerning 1MDB and seeking unspecified damages. The
plaintiffs filed the second amended complaint on October 28, 2019, which the defendants moved to dismiss on January 9, 2020. The firm is
cooperating with the DOJ and all other governmental and regulatory investigations relating to 1MDB. The firm is also engaged in discussions
with certain governmental and regulatory authorities with respect to potential resolution of their investigations and proceedings. There can be no
assurance that the discussions will lead to resolution of any of those matters. Any such resolution, as well as proceedings by the DOJ or other
governmental or regulatory authorities, could result in the imposition of significant fines, penalties and other sanctions against the firm,
including restrictions on the firm's activities.
Interest Rate Swap Antitrust Litigation
Group Inc., GS&Co., GSI, GS Bank USA and Goldman Sachs Financial Markets, L.P. (GSFM) are among the defendants named in a
putative antitrust class action relating to the trading of interest rate swaps, filed in November 2015 and consolidated in the U.S. District Court for
the Southern District of New York. The same Goldman Sachs entities also are among the defendants named in two antitrust actions relating to
the trading of interest rate swaps, commenced in April 2016 and June 2018, respectively, in the U.S. District Court for the Southern District of
New York by three operators of swap execution facilities and certain of their affiliates. These actions have been consolidated for pretrial
proceedings. The complaints generally assert claims under federal antitrust law and state common law in connection with an alleged conspiracy
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among the defendants to preclude exchange trading of
interest rate swaps. The complaints in the individual actions also assert claims under state
antitrust law. The complaints seek declaratory and injunctive relief, as well
as treble damages in an unspecified amount. Defendants moved to
dismiss the class and the first individual action and the district court dismissed the state common law
claims asserted by the plaintiffs in the first
individual action and otherwise limited the state common law claim in the putative class action and the antitrust claims in
both actions to the
period from 2013 to 2016. On November 20, 2018, the court granted in part and denied in part the defendants' motion to dismiss the second
individual action, dismissing the state common law claims for unjust enrichment and tortious interference, but denying dismissal of the federal
and state antitrust claims. On March 13, 2019, the court denied the plaintiffs' motion in the putative class action to amend their complaint to add
allegations related to 2008-2012 conduct, but granted the motion to add limited allegations from 2013-2016, which the plaintiffs added in a
fourth consolidated amended complaint filed on March 22, 2019. The plaintiffs in the putative class action moved for class certification on
March 7, 2019.
Commodities-Related Litigation
GSI is among the defendants named in putative class actions relating to trading in platinum and
palladium, filed beginning on
November 25, 2014 and most recently amended on May 15, 2017, in the U.S. District Court for the Southern District of New York. The
amended complaint generally alleges that the defendants violated federal antitrust laws and the Commodity Exchange Act in connection with an
alleged conspiracy to manipulate a benchmark for physical platinum and palladium prices and seek declaratory and injunctive relief, as well as
treble damages in an unspecified amount. Defendants moved to dismiss the third consolidated amended complaint on July 21, 2017. GS&Co.,
GSI, J. Aron & Company and Metro, a previously consolidated subsidiary of Group Inc. that was sold in the fourth quarter of 2014, are among
the defendants in a number of putative class and individual actions filed beginning on August 1, 2013 and consolidated in the U.S. District Court
for the Southern District of New York. The complaints generally allege violations of federal antitrust laws and state laws in connection with the
storage of aluminum and aluminum trading. The complaints seek declaratory, injunctive and other equitable relief, as well as unspecified
monetary damages, including treble damages. In December 2016, the district court granted defendants' motions to dismiss as to all remaining
claims. Certain plaintiffs subsequently appealed in December 2016. On August 27, 2019, the Second Circuit vacated the district court's
dismissals and remanded the case to district court for further proceedings.
Included by the Sponsor from the NFA Website and not provided by Goldman Sachs International:
TRS Case #17-001 (May 26, 2017) – Failure to report a canceled or amended transaction.
513-Cancelled trades and amended trade
information. Fine of $1,000.
BLB Case #161 (August 12, 2016) – For trade date June 2, 2016, Goldman Sachs International did not notify nor receive prior approval to
offset an error trade as required under BSEF Rule 516. Fine of $1,250.
For trade date March 13, 2020, GSI failed to report two Block Trades to BSEF within 10 minutes after the Participants agreed to and
executed the terms of each Block Trade as required under BSEF Rule 531.A(d). Summary Notice of Fine ($1250), effective November 11, 2020.
Royal Bank of Canada ("RBC")
RBC is a large global institution that is subject to many different complex legal and regulatory requirements that continue to evolve. RBC
is and has been subject to a variety of legal proceedings, including civil claims and lawsuits, regulatory examinations, investigations, audits and
requests for information by various governmental regulatory agencies and law enforcement authorities in various jurisdictions. Some of these
matters may involve novel legal theories and interpretations and may be advanced under criminal as well as civil statutes, and some proceedings
could result in the imposition of civil, regulatory enforcement or criminal penalties. RBC reviews the status of all proceedings on an ongoing
basis and will exercise judgment in resolving them in such manner as RBC believes to be in its best interest. This is an area of significant
judgment and uncertainty and the extent of its financial and other exposure to these proceedings after taking into account current accruals could
be material to RBC's results of operations in any particular period. The following is a description of RBC's significant legal proceedings.
LIBOR regulatory investigations and litigation
Royal Bank of Canada and other U.S. dollar panel banks have been named as defendants in private lawsuits filed in the U.S. with respect
to the setting of U.S. dollar LIBOR including a number of class action lawsuits which have been consolidated before the U.S. District Court for
the Southern District of New York. The complaints in those private lawsuits assert claims against us and other panel banks under various U.S.
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laws, including U.S. antitrust laws, the U.S. Commodity
Exchange Act, and state law. In addition to the LIBOR actions, in January 2019, a
number of financial institutions, including Royal Bank of Canada and RBC Capital Markets
LLC, were named in a purported class action in
New York alleging violations of the U.S. antitrust laws and common law principles of unjust enrichment in the setting of
LIBOR after the
Intercontinental Exchange took over administration of the benchmark interest rate from the British Bankers' Association in 2014. On March 26,
2020, Royal Bank of Canada and RBC Capital Markets LLC were dismissed from the purported class action in New York alleging violations of
the U.S. antitrust laws and common law principles of unjust enrichment in the setting of LIBOR after the Intercontinental Exchange took over
administration of the benchmark interest rate from the British Bankers' Association in 2014. On April 24, 2020, the plaintiffs filed a notice of
appeal. Based on the facts currently known, it is not possible at this time for us to predict the ultimate outcome of these proceedings or the
timing of their resolution.
Royal Bank of Canada Trust Company (Bahamas) Limited proceedings
On April 13, 2015, a French investigating judge notified Royal Bank of Canada Trust Company (Bahamas) Limited (RBC Bahamas) of
the issuance of an ordonnance de renvoi referring RBC Bahamas and other unrelated persons to the French tribunal correctionnel to face the
charge of complicity in estate tax fraud relating to actions taken relating to a trust for which RBC Bahamas serves as trustee. RBC Bahamas
believes that its actions did not violate French law and contested the charge in the French court. On January 12, 2017, the French court acquitted
all parties including RBC Bahamas, and on June 29, 2018, the French appellate court affirmed the acquittals. The acquittals were appealed and
the hearing took place in November 25, 2020. The court's decision is expected to be issued in January 2021. On October 28, 2016, Royal Bank
of Canada was granted an exemption by the U.S. Department of Labor that allows Royal Bank of Canada and its current and future affiliates to
continue to qualify for the Qualified Professional Asset Manager (QPAM) exemption under the Employee Retirement Income Security Act
despite any potential conviction of RBC Bahamas in the French proceeding for a temporary one year period from the date of conviction. On
November 3, 2020, the Solicitor of Labor of the U.S. 210 Royal Bank of Canada: Annual Report 2020 Consolidated Financial Statements
Department of Labor issued an opinion stating that a conviction under non-U.S. law is not a disqualifying event for purposes of the QPAM
exemption. Based on that opinion, any conviction in a French court would not trigger disqualification of Royal Bank of Canada and its current
and future affiliates under the QPAM exemption.
RBC Bahamas continues to review the trustee's and the trust's legal obligations, including liabilities and potential liabilities under
applicable tax and other laws. Based on the facts currently known, it is not possible at this time to predict the ultimate outcome of these matters;
however, we believe that the ultimate resolution will not have a material effect on our consolidated financial position, although it may be
material to our results of operations in the period it occurs.
Interchange fees litigation
Since 2011, seven proposed class actions have been commenced in Canada: Bancroft-Snell v. Visa
Canada Corporation, et al., 9085-4886
Quebec Inc. v. Visa Canada Corporation, et al., Coburn and Watson's Metropolitan Home v. Bank of America Corporation, et al.
(Watson),
Macaronies Hair Club and Laser Centre Inc. v. BofA Canada Bank, et al., 1023926 Alberta Ltd. v. Bank of America Corporation, et al., The
Crown & Hand Pub Ltd. v. Bank of America Corporation, et al., and Hello Baby Equipment Inc. v. BofA Canada Bank, et al. The defendants in
each action are VISA Canada Corporation (Visa), MasterCard International Incorporated (MasterCard), Royal Bank of Canada and other
financial institutions. The plaintiff class members are Canadian merchants who accept Visa and/or MasterCard branded credit cards for payment.
The actions allege, among other things, that from March 2001 to the present, Visa and MasterCard conspired with their issuing banks and
acquirers to set default interchange rates and merchant discount fees and that certain rules (Honour All Cards and No Surcharge) have the effect
of increasing the merchant discount fees. The actions include claims of civil conspiracy, breach of the Competition Act (the Act), interference
with economic relations and unjust enrichment. The claims seek unspecified general and punitive damages. In Watson, a decision to partially
certify the action as a class proceeding was released on March 27, 2014, and was appealed. On August 19, 2015, the British Columbia Court of
Appeal struck the plaintiff class representative's cause of action under section 45 of the Competition Act and reinstated the plaintiff class
representative's cause of action in civil conspiracy by unlawful means, among other rulings. In October 2016, the trial court in Watson denied a
motion by the plaintiff to revive the stricken section 45 Act claim, and also denied the plaintiff's motion to add new causes of action. The
Supreme Court of Canada declined the B.C. class action plaintiffs' request to appeal the decision striking the plaintiffs' cause of action under
section 45 of the Competition Act. In October 2020, the parties agreed to adjourn the Watson trial.
In 9085-4886 Quebec Inc. v. Visa Canada Corporation, et al., the Quebec-court dismissed the Competition Act claims by Quebec
merchants for post-2010 damages and certified a class action as to the remaining claims. The merchants appealed and on July 25, 2019, the
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Quebec Court of Appeal allowed the appeal to also
authorize the merchants to proceed under section 45 of the Competition Act for claims after
March 12, 2010 and for claims under section 49 of the Competition
Act.
Foreign exchange matters
Various regulators are conducting inquiries regarding potential violations of antitrust law by a number of banks, including Royal Bank of
Canada, regarding foreign exchange trading. Beginning in 2015, putative class actions were brought against Royal Bank of Canada and/or RBC
Capital Markets, LLC in the United States and Canada. These actions were each brought against multiple foreign exchange dealers and allege,
among other things, collusive behaviour in global foreign exchange trading.
In August 2018, the U.S. District Court entered a final order approving RBC Capital Markets' pending settlement with class plaintiffs. In
November 2018, certain institutional plaintiffs who had previously opted-out of participating in the settlement filed their own lawsuit in US
District Court. In May 2020, the US District Court dismissed Royal Bank of Canada from the November 2018 lawsuit brought by certain
institutional plaintiffs who had previously opted-out of participating in the August 2018 settlement with class plaintiffs. The Canadian class
actions and one other U.S. action that is purportedly brought on behalf of different classes of plaintiffs remain pending. Based on the facts
currently known, it is not possible at this time to predict the ultimate outcome of the Foreign Exchange Matters or the timing of their
ultimate resolution.
Panama Papers inquiries
Following media reports on the contents of files misappropriated from a Panamanian-based law firm, Mossack Fonseca & Co about
special purpose entities associated with that firm, regulatory, tax and enforcement authorities are conducting inquiries. The inquiries focus on,
among other issues, the potential use of such entities by third parties to avoid tax and disclosure obligations. Royal Bank of Canada has
responded to information and document requests by a number of such authorities.
Inquiries on sales practices
RBC has received inquiries about its sales practices and related compensation arrangements. In
addition, in March 2017, the Financial
Consumer Agency of Canada announced that it will begin a review of sales practices in the Canadian federally regulated financial
sector. The
Office of the Superintendent of Financial Institutions is also involved in conducting this joint sales practices review. On March 20, 2018, the
Financial Consumer Agency of Canada (FCAC) released their industry report on its review of sales practices.
Other matters
RBC is a defendant in a number of other actions alleging that certain of its practices and actions were improper. The lawsuits involve a
variety of complex issues and the timing of their resolution is varied and uncertain. Management believes that RBC will ultimately be successful
in resolving these lawsuits, to the extent that RBC is able to assess them, without material financial impact to the Bank. This is, however, an area
of significant judgment and the potential liability resulting from these lawsuits could be material to its results of operations in any
particular period.
Various other legal proceedings are pending that challenge certain of its other practices or
actions. While this is an area of significant
judgment and some matters are currently inestimable, RBC considers that the aggregate liability, to the extent that RBC is
able to assess it,
resulting from these other proceedings will not be material to its consolidated financial position or results of operations.
Morgan Stanley & Co. International PLC (MSIP or MSLplc)
Morgan Stanley & Co. International plc ("MSIplc") is acting as a swap dealer for
ProShares Trust II. MSIplc is provisionally registered in
the U.S. with the National Futures Association ("NFA") as a Swap Dealer (NFA ID: 0238917). The NFA
BASIC tool identifies one regulatory
action involving MSIplc:
Pursuant to an offer of settlement in which MSIplc neither admitted nor denied the rule violation upon which the penalty is based, on
September 26, 2017, a Panel of the Chicago Board of Trade ("CBOT") Business Conduct Committee ("BCC" or "Panel") found that on
October 26, 2015, MSIP facilitated the execution of two Exchange for Related Position ("EFRP") transactions in the 10-Year U.S. Treasury
Note futures market that were contingent upon each other for the purpose of rebalancing positions, which offset the related position without the
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incurrence of material market risk. Additionally, the
Panel found that the quantity of the related position was not approximately equivalent to the
quantity of the Exchange component of the EFRP. The Panel thus concluded that
MSIP thereby violated CBOT Rules 538.C. and 538.E. In
accordance with the settlement offer, the Panel ordered MSIP to pay a fine of $25,000.
MSIplc is a wholly-owned subsidiary of Morgan Stanley ("MS" or the
"Firm"). MS files annual reports and quarterly reports in which it
discloses material information about legal proceedings, including actions brought by
regulatory organizations and government agencies, relating
to its derivatives, securities and commodities business that allege various violations of federal and state
securities laws, including information
about any material litigation or regulatory investigation. Full details on the items noted below can be found at:
https://www.morganstanley.com/pub/content/msdotcom/en/about-us-ir/sec-filings.html
This disclosure does not include any new matters or updates to existing matters arising during or
after the second quarter of 2021. For
active matters initiated prior to the second quarter of 2021, updates were based on the matters' public U.S. state or federal
court dockets. Such
material litigation disclosure identifies the following matters relating to MSIplc:
On July 15, 2010, China Development Industrial Bank ("CDIB") filed a complaint
against the Firm, styled China Development Industrial
Bank v. Morgan Stanley & Co. Incorporated et al., which is pending in the Supreme Court of the State of New York,
New York County
("Supreme Court of NY"). The complaint relates to a $275 million CDS referencing the super senior portion of the STACK 2006-1 CDO. The
complaint asserts claims for common law fraud, fraudulent inducement and fraudulent concealment and alleges that the Firm misrepresented the
risks of the STACK 2006-1 CDO to CDIB, and that the Firm knew that the assets backing the CDO were of poor quality when it entered into the
CDS with CDIB. The complaint seeks compensatory damages related to the approximately $228 million that CDIB alleges it has already lost
under the CDS, rescission of CDIB's obligation to pay an additional $12 million, punitive damages, equitable relief, pre- and post-judgment
interest, fees and costs. On February 28, 2011, the court denied the Firm's motion to dismiss the complaint. On December 21, 2018, the court
denied the Firm's motion for summary judgment and granted in part the Firm's motion for sanctions related to the spoliation of evidence. On
January 18, 2019, CDIB filed a motion to clarify and resettle the portion of the court's December 21, 2018 order granting spoliation sanctions.
On January 24, 2019, CDIB filed a notice of appeal from the court's December 21, 2018 order, and the Firm filed a notice of appeal from the
same order. On March 7, 2019, the court denied the relief sought by CDIB in its January 18, 2019 motion. On May 21, 2020, the Appellate
Division, First Department ("First Department"), modified the Supreme Court of NY's order to deny the Firm's motion for sanctions relating to
spoliation of evidence and otherwise affirmed the denial of the Firm's motion for summary judgment. On June 19, 2020, the Firm moved for
leave to appeal the First Department's decision to the New York Court of Appeals ("Court of Appeals"), which the First Department denied on
July 24, 2020.
On October 11, 2011, an Italian financial institution, Banco Popolare Societá Cooperativa
("Banco Popolare"), filed a civil claim against
the Firm in the Milan courts, styled Banco Popolare Societá Cooperativa v Morgan Stanley & Co.
International plc & others, related to its
purchase of €100 million of bonds issued by Parmalat. The claim asserted by Banco Popolare alleges, inter alia, that
the Firm was aware of
Parmalat's impending insolvency and conspired with others to deceive Banco Popolare into buying bonds by concealing both Parmalat's true
financial condition and certain features of the bonds from the market and Banco Popolare. Banco Popolare seeks damages of €76 million
(approximately $93 million) plus damages for loss of opportunity and moral damages. The Firm filed its answer on April 20, 2012. On
September 11, 2018, the court dismissed in full the claim against the Firm. On March 11, 2019, the plaintiff filed an appeal in the Court of
Appeal of Milan. On May 31, 2019, the Firm filed its response to the plaintiff's appeal. The parties filed final submissions in the Court of
Appeal of Milan in November 2020. On February 2, 2021, the Firm was served with the Court of Appeal's judgment, which partially upheld
Banco Popolare's appeal on limited grounds and awarded Banco Popolare approximately €2.3 million (approximately $2.8 million) in damages
plus interest and certain legal and other expenses
On June 22, 2017, the public prosecutor for the Court of Accounts for the Republic of Italy filed a claim against the Firm styled Case No.
2012/00406/MNV, which is pending in the Regional Prosecutor's Office at the Judicial Section of the Court of Auditors for Lazio, Italy. The
claim related to certain derivative transactions between the Republic of Italy and the Firm. The transactions were originally entered into between
1999 and 2005, and were restructured (and certain of the transactions were terminated) in December 2011 and January 2012. The claim alleged,
inter alia, that the Firm effectively acted as an agent of the state in connection with these transactions and asserts claims related to, among other
things, whether the Ministry of Finance was authorized to enter into these transactions, whether the transactions were appropriate, and whether
the Firm's conduct related to the termination of certain transactions was proper. The prosecutor sought damages through an administrative
process against the Firm for €2.76 billion (approximately $3.4 billion). On March 30, 2018, the Firm filed its defense to the claim. On June 15,
2018, the Court issued a decision declining jurisdiction and dismissing the claim against the Firm. A hearing of the public prosecutor's appeal
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was held on January 10, 2019. On March 7, 2019, the
Appellate Division of the Court of Accounts for the Republic of Italy issued a decision
affirming the decision below declining jurisdiction and dismissing the claim
against the Firm. On April 19, 2019, the public prosecutor filed an
appeal with the Italian Supreme Court seeking to overturn this decision. On June 14, 2019, the Firm
filed its response to the public prosecutor's
affirmed the earlier decisions that the Court of Accounts lacked jurisdiction to hear the claim against the Firm,
thereby dismissing the public
prosecutor's claim against the Firm
In matters styled Case number 15/3637 and Case number 15/4353, the Dutch Tax Authority ("Dutch Authority") is challenging in the
Dutch courts the prior set-off by the Firm of approximately €124 million (approximately $152 million) plus accrued interest of withholding tax
credits against the Firm's corporation tax liabilities for the tax years 2007 to 2013. The Dutch Authority alleges that the Firm was not entitled to
receive the withholding tax credits on the basis, inter alia, that a Firm subsidiary did not hold legal title to certain securities subject to
withholding tax on the relevant dates. The Dutch Authority has also alleged that the Firm failed to provide certain information to the Dutch
Authority and keep adequate books and records. On April 26, 2018, the District Court in Amsterdam issued a decision dismissing the Dutch
Authority's claims with respect to certain of the tax years in dispute. On May 12, 2020, the Court of Appeal in Amsterdam granted the Dutch
Authority's appeal in matters re-styled Case number 18/00318 and Case number 18/00319. On June 22, 2020, the Firm filed an appeal against
the decision of the Court of Appeal in Amsterdam before the Dutch High Court.
On October 5, 2017, various institutional investors filed a claim against the Firm and another bank in a matter now styled Case number
B-803-18 (previously BS 99-6998/2017), in the City Court of Copenhagen, Denmark concerning their roles as underwriters of the initial public
offering ("IPO") in March 2014 of the Danish company OW Bunker A/S. The claim seeks damages of approximately DKK 529 million
(approximately $87 million) plus interest in respect of alleged losses arising from investing in shares in OW Bunker, which entered into
bankruptcy in November 2014. Separately, on November 29, 2017, another group of institutional investors joined the Firm and another bank as
defendants to pending proceedings in the High Court of Eastern Denmark against various other parties involved in the IPO in a matter styled
Case number B-2073-16. The claim brought against the Firm and the other bank has been given its own Case number B-2564-17. The investors
claim damages of approximately DKK 767 million (approximately $126 million) plus interest, from the Firm and the other bank on a joint and
several basis with the Defendants to these proceedings. Both claims are based on alleged prospectus liability; the second claim also alleges
professional liability of banks acting as financial intermediaries. On June 8, 2018, the City Court of Copenhagen, Denmark ordered that the
matters now styled Case number B-803-18, B-2073-16 and Case number B-2564-17 be heard together before the High Court of Eastern
Denmark. On June 29, 2018, the Firm filed its defense to the matter now styled Case number B-2564-17. On February 4, 2019, the Firm filed its
defense to the matter now styled Case number B-803-18.
Beginning in February of 2016, the Firm was named as a defendant in multiple purported antitrust class actions now consolidated into a
single proceeding in the United States District Court for the Southern District of New York ("SDNY") styled In Re: Interest Rate Swaps
Antitrust Litigation. Plaintiffs allege, inter alia, that the Firm, together with a number of other financial institution defendants, violated U.S. and
New York state antitrust laws from 2008 through December of 2016 in connection with their alleged efforts to prevent the development of
electronic exchange based platforms for interest rates swaps trading. Complaints were filed both on behalf of a purported class of investors who
purchased interest rates swaps from defendants, as well as on behalf of two swap execution facilities that allegedly were thwarted by the
defendants in their efforts to develop such platforms. The consolidated complaints seek, among other relief, certification of the investor class of
plaintiffs and treble damages. On July 28, 2017, the court granted in part and denied in part the defendants' motion to dismiss the complaints.
The following are extracts from MS's filings on Form 10-Q throughout 2021, which relate to
MSIplc:
1Q 2021 10-Q
Legal Proceedings
The following developments have occurred since previously reporting certain matters in the
Firm's 2020 Form 10-K and the Firm's
Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2021 (the "First Quarter Form 10-Q").
See also the disclosures set
forth under "Legal Proceedings" in the 2020 Form 10-K and the First Quarter Form 10-Q.
Residential Mortgage and Credit Crisis Related Matter
On March 22, 2021, the parties in China Development Industrial Bank v. Morgan Stanley & Co.
Incorporated entered into a settlement
agreement. On April 16, 2021, the court entered a stipulation of voluntary discontinuance, with prejudice.
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European
Matters
Tax
On January 29, 2021, the Advocate General of the Dutch High Court in matters re-styled Case
number 15/3637 and Case number 15/4353
issued an advisory opinion on the Firm's appeal, which rejected the Firm's principal grounds of appeal. On February 11,
2021, the Firm and the
Dutch Tax Authority each responded to this opinion.
2Q 2021 10-Q
Legal Proceedings
The following developments have occurred since previously reporting certain matters in the Firm's 2020 Form 10-K, the Firm's Quarterly
Reports on Form 10-Q for the quarterly period ended March 31, 2021 (the "First Quarter Form 10-Q") and the quarterly period ended June 30,
2021 (the "Second Quarter Form 10-Q"). See also the disclosures set forth under "Legal Proceedings" in the 2020 Form 10-K, the First Quarter
Form 10-Q, and the Second Quarter Form 10-Q.
European Matter
On June 22, 2021, Dutch criminal authorities sought various documents in connection with an investigation of the Firm related to the civil
claims asserted by the Dutch Tax Authority in matters re-styled Case number 18/00318 and Case number 18/00319, concerning the accuracy of
the Dutch subsidiary's tax returns and the maintenance of its books and records for 2007 to 2012.
MSIplc does not file its own periodic reports with the U.S. Securities and Exchange Commission. However, MSIplc files periodic
financial statements including with the U.K. Financial Conduct Authority (the "FCA"), which include current descriptions of litigations,
proceedings, and investigations which are considered material to MSIplc.
The following is an extract from MSIplc's financial statements for the year ended 31 December 2020 (the "Group" includes MSIplc and
its subsidiaries):
Litigation matters
In addition to the matters described below, in the normal course of business, the Group has been named, from time to time, as a defendant
in various legal actions, including arbitrations, class actions and other litigation, arising in connection with its activities as a global diversified
financial services institution. Certain of the actual or threatened legal actions include claims for substantial compensatory and/or punitive
damages or claims for indeterminate amounts of damages. In some cases, the entities that would otherwise be the primary defendants in such
cases are bankrupt or are in financial distress.
The Group is also involved, from time to time, in other reviews, investigations and proceedings (both formal and informal) by
governmental and self-regulatory agencies regarding the business, and involving, among other matters, sales and trading activities, financial
products or offerings sponsored, underwritten or sold by the Group, and accounting and operational matters, certain of which may result in
adverse judgments, settlements, fines, penalties, injunctions or other relief.
The Group contests liability and/or the amount of damages as appropriate in each pending matter. Where available information indicates
that it is probable a liability had been incurred at the date of the consolidated financial statements and the Group can reasonably estimate the
amount of that loss, the Group accrues the estimated loss by a charge to income. The future legal expenses may fluctuate from period to period,
given the current environment regarding government investigations and private litigation affecting global financial services firms, including
the Group.
In many
proceedings and investigations, however, it is inherently difficult to determine whether any loss is probable or even possible, or
to estimate the amount of any loss. The
Group cannot predict with certainty if, how or when such proceedings or investigations will be resolved
or what the eventual settlement, fine, penalty or other relief, if
any, may be, particularly for proceedings and investigations where the factual
record is being developed or contested or where plaintiffs or government entities seek
substantial or indeterminate damages, restitution,
disgorgement or penalties. Numerous issues may need to be resolved before a loss or additional loss or range of loss or
additional range of loss
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can be
reasonably estimated for a proceeding or investigation, including through potentially lengthy discovery and determination of important
factual matters, determination of
issues related to class certification and the calculation of damages or other relief, and by addressing novel or
unsettled legal questions relevant to the proceedings or
investigations in question.
Subject to the foregoing, the Group believes, based on
current knowledge and after consultation with counsel, that the outcome of such
proceedings and investigations will not have a material adverse effect on the financial
condition of the Group, although the outcome of such
proceedings or investigations could be material to the Group's operating results and cash flows for a particular
period depending on, among
other things, the level of the Group's revenues or income for such period.
While the Group has identified below certain proceedings that the Group believes to be material,
individually or collectively, there can be
no assurance that additional material losses will not be incurred from claims that have not yet been asserted or are not yet
determined to
be material.
On 15 July 2010, China Development Industrial Bank ("CDIB") filed a complaint against the Group and another Morgan Stanley Group
affiliate, styled China Development Industrial Bank v. Morgan Stanley & Co. Incorporated et al., which is pending in the Supreme Court of the
State of New York, New York County ("Supreme Court of NY"). The complaint relates to a $275 million credit default swap ("CDS")
referencing the super senior portion of the STACK 2006-1 collateralised debt obligation ("CDO"). The complaint asserts claims for common
law fraud, fraudulent inducement and fraudulent concealment and alleges that the Group and another Morgan Stanley Group affiliate
misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that the Group and another Morgan Stanley Group affiliate knew that the
assets backing the CDO were of poor quality when it entered into the CDS with CDIB. The complaint seeks compensatory damages related to
the approximately $228 million that CDIB alleges it has already lost under the CDS, rescission of CDIB's obligation to pay an additional $12
million, punitive damages, equitable relief, pre- and post-judgment interest, fees and costs. On 28 February 2011, the court denied the Group's
and another Morgan Stanley Group affiliate's motion to dismiss the complaint. On 21 December 2018, the court denied the Group's and another
Morgan Stanley Group affiliate's motion for summary judgment and granted in part the Group's and another Morgan Stanley Group affiliate's
motion for sanctions related to the spoliation of evidence. On 18 January 2019, CDIB filed a motion to clarify and resettle the portion of the
court's 21 December 2018 order granting spoliation sanctions. On 24 January 2019, CDIB filed a notice of appeal from the court's 21 December
2018 order, and the Group and another Morgan Stanley Group affiliate filed a notice of appeal from the same order. On 7 March 2019, the court
denied the relief sought by CDIB in its 18 January 2019 motion. On 21 May 2020, the Appellate Division, First Department ("First
Department"), modified the Supreme Court of NY's order` to deny the Group's and another Morgan Stanley Group affiliate's motion for
sanctions relating to spoliation of evidence and otherwise affirmed the denial of the Group's and another Morgan Stanley Group affiliate's
motion for summary judgment. On 19 June 2020, the Group and another Morgan Stanley Group affiliate moved for leave to appeal the First
Department's decision to the New York Court of Appeals, which the First Department denied on 24 July 2020. On 22 March 2021, the parties
reached a settlement in this matter. On 5 April 2021, the parties filed a stipulation of voluntary discontinuance, dismissing the action
with prejudice.
On
11 October 2011, an Italian financial institution, Banco Popolare Societá Cooperativa ("Banco Popolare"), filed a civil claim against
the Group and
another Morgan Stanley Group affiliate in the Milan courts, styled Banco Popolare Societá Cooperativa v Morgan Stanley & Co.
International plc &
others,related to its purchase of €100 million of bonds issued by Parmalat. The claim asserted by Banco Popolare alleges,
inter alia, that the Group and another
Morgan Stanley Group affiliate were aware of Parmalat's impending insolvency and conspired with others
to deceive Banco Popolare into buying bonds by concealing both
Parmalat's true financial condition and certain features of the bonds from the
market and Banco Popolare. Banco Popolare seeks damages of €76 million
(approximately $93 million) plus damages for loss of opportunity
and moral damages. The Group and another Morgan Stanley Group affiliate filed their answer on 20 April
2012. On 11 September 2018, the
court dismissed in full the claim against the Group and another Morgan Stanley Group affiliate. On 11 March 2019, the plaintiff filed an
appeal
in the Court of Appeal of Milan. On 31 May 2019, the Group and another Morgan Stanley Group affiliate filed their response to the plaintiff's
appeal. The parties filed final submissions in the Court of Appeal of Milan in November 2020. On 2 February 2021, the Group and another
Morgan Stanley Group affiliate were served with the Court of Appeal's judgment, which partially upheld Banco Popolare's appeal on limited
grounds and awarded Banco Popolare approximately €2.3 million (approximately $2.8 million) in damages plus interest and certain legal and
other expenses.
On
22 June 2017, the public prosecutor for the Court of Accounts for the Republic of Italy filed a claim against the Group styled Case No.
2012/00406/MNV, which is pending in
the Regional Prosecutor's Office at the Judicial Section of the Court of Auditors for Lazio, Italy. The
claim related to certain derivative transactions between the
Republic of Italy and the Group and another Morgan Stanley Group affiliate. The
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transactions
were originally entered into between 1999 and 2005, and were restructured (and certain of the transactions were terminated) in
December 2011 and January 2012. The claim
alleged, inter alia, that the Group effectively acted as an agent of the state in connection with these
transactions and asserts claims related to, among other things,
whether the Ministry of Finance was authorised to enter into these transactions,
whether the transactions were appropriate, and whether the Group's conduct related
to the termination of certain transactions was proper. The
prosecutor sought damages through an administrative process against the Group for €2.76 billion
(approximately $3.4 billion). On 30 March
2018, the Group filed its defence to the claim. On 15 June 2018, the Court issued a decision declining jurisdiction and
dismissing the claim
against the Group. A hearing of the public prosecutor's appeal was held on 10 January 2019. On 7 March 2019, the Appellate Division of the
Court of Accounts for the Republic of Italy issued a decision affirming the decision below declining jurisdiction and dismissing the claim
against the Group. On 19 April 2019, the public prosecutor filed an appeal with the Italian Supreme Court seeking to overturn this decision. On
14 June 2019, the Group filed its response to the public prosecutor's appeal. On 17 November 2020, an appeal hearing took place before the
Italian Supreme Court. On 1 February 2021, the Italian Supreme Court affirmed the earlier decisions that the Court of Accounts lacked
jurisdiction to hear the claim against the Group, thereby dismissing the public prosecutor's claim against the Group.
In matters styled Case number 15/3637 and Case number 15/4353, the Dutch Tax Authority
("Dutch Authority") is challenging in the
Dutch courts the prior set-off by a subsidiary undertaking of the Group of approximately €124 million
(approximately $152 million) plus
accrued interest of withholding tax credits against the subsidiary undertaking of the Group's corporation tax liabilities for the
tax years 2007 to
2013. The Dutch Authority alleges that the subsidiary undertaking of the Group was not entitled to receive the withholding tax credits on the
basis, inter alia, that the subsidiary undertaking of the Group did not hold legal title to certain securities subject to withholding tax on the
relevant dates. The Dutch Authority has also alleged that the subsidiary undertaking of the Group failed to provide certain information to the
Dutch Authority and keep adequate books and records. On 26 April 2018, the District Court in Amsterdam issued a decision dismissing the
Dutch Authority's claims with respect to certain of the tax years in dispute. On 12 May 2020, the Court of Appeal in Amsterdam granted the
Dutch Authority's appeal in matters re-styled Case number 18/00318 and Case number 18/00319. On 22 June 2020, the subsidiary undertaking
of the Group filed an appeal against the decision of the Court of Appeal in Amsterdam before the Dutch High Court. The Group's tax charge for
the period includes a tax expense of $212 million principally associated with the remeasurement of provisions for this matter, see note 8.
On 5 October 2017, various institutional investors filed a claim against the Group and another
bank in a matter now styled Case number
B-803-18(previously BS 99-6998/2017), in the City Court of Copenhagen, Denmark concerning their roles as underwriters of the
initial public
offering ("IPO") in March 2014 of the Danish company OW Bunker A/S. The claim seeks damages of DKK 534,270,456 (approximately $87
million) plus interest in respect of alleged losses arising from investing in shares in OW Bunker, which entered into bankruptcy in November
2014. Separately, on 29 November 2017, another group of institutional investors joined the Group and another bank as defendants to pending
proceedings in the High Court of Eastern Denmark against various other parties involved in the IPO in a matter styled Case number B-2073-16.
The claim brought against the Group and the other bank has been given its own Case number B-2564-17. The investors claim damages of DKK
767,235,885 (approximately $126 million) plus interest, from the Group and the other bank on a joint and several basis with the defendants to
these proceedings. Both claims are based on alleged prospectus liability; the second claim also alleges professional liability of banks acting as
financial intermediaries. On 8 June 2018, the City Court of Copenhagen, Denmark ordered that the matters now styled Case number B-803-18,
B-2073-16 and Case number B-2564-17 be heard together before the High Court of Eastern Denmark. On 29 June 2018, the Group filed its
defence to the matter now styled Case number B-2564-17. On 4 February 2019, the Group filed its defence to the matter now styled Case
number B-803-18.
The Group and other financial institutions are responding to a number of governmental
investigations and civil litigation matters related
to allegations of anticompetitive conduct in various aspects of the financial services industry, including the matter
described below.
Beginning in February of 2016, the Group and certain Morgan Stanley
Group affiliates were named as a defendant in multiple purported
antitrust class actions now consolidated into a single proceeding in the United States District Court for
the Southern District of New York styled
In Re: Interest Rate Swaps Antitrust Litigation. Plaintiffs allege, inter alia, that the Group and certain Morgan Stanley Group
affiliates, together
with a number of other financial institution defendants, violated United States and New York state antitrust laws from 2008 through December
of 2016 in connection with their alleged efforts to prevent the development of electronic exchange-based platforms for interest rates swaps
trading. Complaints were filed both on behalf of a purported class of investors who purchased interest rates swaps from defendants, as well as on
behalf of two swap execution facilities that allegedly were thwarted by the defendants in their efforts to develop such platforms. The
consolidated complaints seek, among other relief, certification of the investor class of plaintiffs and treble damages. On 28 July 2017, the court
granted in part and denied in part the motion to dismiss the complaints.
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Included by the Sponsor from the NFA website and not provided by MSIP
Pursuant to an offer of settlement in which Morgan Stanley & Co. International Plc
("MSIP") neither admitted nor denied the rule
violation upon which the penalty is based, on September 26, 2017, a Panel of the Chicago Board of Trade
("CBOT") Business Conduct
Committee ("BCC" or "Panel") found that on October 26, 2015, MSIP facilitated the execution of two Exchange
for Related Position ("EFRP")
transactions in the 10-Year U.S. Treasury Note futures market that were contingent upon each other for the purpose of rebalancing
positions,
which offset the related position without the incurrence of material market risk. Additionally, the Panel found that the quantity of the related
position was not approximately equivalent to the quantity of the Exchange component of the EFRP. The Panel thus concluded that MSIP thereby
violated CBOT Rules 538.C. and 538.E. In accordance with the settlement offer, the Panel ordered MSIP to pay a fine of $25,000, effective
September 28, 2017
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APPENDIX A—GLOSSARY OF DEFINED
TERMS
The Glossary of Defined Terms below defines certain of the terms and meanings used throughout this Prospectus. Each term also is
defined the first time it is used in this Prospectus.
1933 Act
Securities Act of 1933, as amended
1934 Act
Securities Exchange Act of 1934, as amended
1940 Act
Investment Company Act of 1940, as amended
Administrator
The Bank of New York Mellon, as administrator for the Funds
Advisers Act
The Investment Advisers Act of 1940
Authorized Participant
Those who may purchase (
i.e
., create) or redeem Creation Units directly from the Funds
Authorized Participant
Agreement
The agreement that is entered into between an Authorized Participant, the Sponsor and the Trust that
allows an Authorized Participant to purchase or redeem Creation Units directly
from the Funds
Authorized Participant
Procedures Handbook
A handbook that details the procedures for placing and processing Purchase Orders and Redemption
Orders in Creation Units
BNYM
The Bank of New York Mellon
Business Day
Any day on which the NAV of a specified Fund is determined.
Cboe
Chicago Board Options Exchange, Incorporated
CBOT
Chicago Board of Trade
CEA
Commodity Exchange Act, as amended
CFE
Cboe Futures Exchange
CFTC
United States Commodity Futures Trading Commission
CME
Chicago Mercantile Exchange
Code
Internal Revenue Code of 1986, as amended
Creation Unit
A block of 25,000 or 50,000 Shares, as applicable, that is created for sale by the Trust to Authorized
Participants and/or submitted to the Trust for redemption by an Authorized
Participant.
Currency Fund(s)
The UltraShort Australian Dollar Fund, the Ultra Euro Fund, the Short Euro Fund, the UltraShort Euro
Fund, the Ultra Yen Fund and/or the UltraShort Yen Fund
Custodian
The Bank of New York Mellon, as custodian for the Funds
Distributor
SEI Investments Distribution Co., as distributor for the Funds
Dodd-Frank Act
Dodd-Frank Wall Street Reform and Consumer Protection Act
DSTA
Delaware Statutory Trust Act
DTC
Depository Trust Company
EMU
European Monetary Union
EU
European Union
Exchange
The exchange on which a Fund is primarily listed and traded (
i.e
., NYSE Arca or Cboe BZX Exchange,
Inc.)
FCM
Futures Commission Merchant
-1
1933 Act
Securities Act of 1933, as amended
Financial Instrument
Instruments whose value is derived from the value of an underlying asset, rate, benchmark or an equity
market volatility index, including futures contracts, swap agreements, forward
contracts, option contracts,
and other instruments.
FINRA
Financial Industry Regulatory Authority, Inc.
Fund(s)
One or more of the series of the Trust offered herein.
Geared Funds
The Ultra Funds, the UltraShort Funds and the Short Euro Fund
Gold Subindex
Bloomberg Gold Subindex
ICE
Intercontinental Exchange
IRS
United States Internal Revenue Service
Matching Fund
The VIX Futures Fund
Natural Gas Funds
The Ultra Natural Gas Fund and the UltraShort Natural Gas Fund
Natural Gas Subindex
Bloomberg Natural Gas Subindex
NAV
Net Asset Value
NFA
National Futures Association
NSCC
National Securities Clearing Corporation
NYMEX
New York Mercantile Exchange
NYSE
New York Stock Exchange
NYSE Arca
NYSE Arca Equities, Inc.
Other Fund
A series of the Trust that is not being offered pursuant to this Prospectus.
OTC
Over-The-Counter
PDI
ProFunds Distributors, Inc.
Position Limit Rules
The requirement of U.S. commodities exchanges to establish corresponding speculative position limits.
Precious Metals Fund(s)
The UltraShort Silver Fund and/or the UltraShort Gold Fund
PTP
Publicly-traded partnership
Reference Asset
The underlying asset that is used to determine the value of a Financial Instrument.
Regulations
The income tax regulations promulgated under the Code.
S&P
Standard & Poor's
SEC
United States Securities and Exchange Commission
SEI
SEI Investments Distribution Co.
Shares
Common units of beneficial interest that represent units of fractional undivided beneficial interest in and
ownership of the Funds.
Short Fund
Short Euro
Silver Subindex
Bloomberg Silver Subindex
Sponsor
ProShare Capital Management LLC
Title VII
Title VII of Dodd Frank
Transfer Agent
The Bank of New York Mellon, as transfer agent for the Funds
-2
1933 Act
Securities Act of 1933, as amended
Trust
ProShares Trust II
Trust Agreement
The Amended and Restated Trust Agreement of ProShares Trust II, as amended by Amendment No. 1.
Trustee
Wilmington Trust Company
U.K.
United Kingdom
Ultra Fund(s)
The Ultra Natural Gas Fund, the Ultra Euro Fund, and/or the Ultra Yen Fund
UltraShort Fund(s)
The UltraShort Natural Gas Fund, the UltraShort Australian Dollar Fund, the UltraShort Euro Fund, the
UltraShort Yen Fund and/or the Precious Metals Funds
U.S.
United States of America
VIX
Cboe Volatility Index
VIX Index
Cboe Volatility Index
-3
(February ___, 2022)
-4
PART II
Information Not Required in Prospectus
Item 14.
Other Expenses of Issuance and Distribution.
The following chart reflects estimated amounts required to prepare and file this Registration Statement and complete the offering of the Shares
registered hereby.
Approximate
Amount
Securities and Exchange Commission Registration Fee
$
(1)
FINRA Filing Fee
$
0
Printing Expenses
$
15,000
Fees of Certified Public Accountants
$
7,500
Fees of Counsel
$
15,000
Total
$
(2)
(1)
Applicable registration fees have been deferred in accordance with Rules 456(d) and 457(u) under the Securities
Act and will be paid on an annual net basis no later than 90 days after the end of each fiscal year and are therefore not estimable at this time.
(2)
Because an indeterminable amount of securities is covered by this Registration Statement, the total expenses in
connection with the issuance and distribution of the Shares are, therefore, not currently determinable.
Item 15.
Indemnification of
Directors and Officers.
The amended and restated Trust Agreement of the Trust provides for, and as amended from
time-to-time,
will provide for, the indemnification of the Sponsor. The Sponsor (including Covered Persons as will be provided under each amended and restated Trust Agreement) shall be indemnified by the
Trust (or any Fund separately to the extent the matter in question relates to a single Fund or is otherwise disproportionate), against any losses, judgments, liabilities, expenses and amounts paid in settlement of any claims sustained by it in
connection with the defense or disposition of any action, suit or other proceeding, whether civil or criminal, before any court or administrative or legislative body, in which such Sponsor may be or may have been involved as a party or otherwise or
with which such Sponsor may be or may have been threatened, while in office or thereafter, by reason of any alleged act or omission as the Sponsor or by reason of his or her being or having been the Sponsor except with respect to any matter as to
which such Sponsor shall have been finally adjudicated in any such action, suit or other proceeding not to have acted in good faith in the reasonable belief that such Sponsor's action was in the best interests of the Trust and except that the
Sponsor shall not be indemnified against any liability to the Trust or its Shareholders by reason of willful misconduct or gross negligence of such Sponsor.
Item 16.
Exhibits.
The following
documents (unless otherwise indicated) are filed herewith and made a part of this Registration Statement:
(a) Exhibits. The following
exhibits are filed herewith:
Exhibit
Number
Description of Document
4.1
Amended and Restated Trust Agreement of ProShares Trust II(1)
4.1(a)
Amendment No.1 to Amended and Restated Trust Agreement of ProShares Trust II(6)
4.2
Form of Authorized Participant Agreement(6)
5.1
Opinion of Richards, Layton & Finger, P.A. as to legality
8.1
Opinion of Morgan, Lewis & Bockius LLP as to income tax matters
10.1
Form of Sponsor Agreement(3)
10.2
Form of Transfer Agency and Service Agreement(4)
10.3
Form of Custodian Agreement(6)
10.4
Form of Distribution Agreement(2)
10.5
Form of Futures Account Agreement(2)
10.6
Form of Institutional Master Futures Client Account Agreement(5)
10.7
Form of Administration and Accounting Agreement(4)
II-1
23.1
Consent of Richards, Layton & Finger, P.A. (included in Exhibit 5.1)
23.2
Consent of Morgan, Lewis & Bockius LLP (included in Exhibit 8.1)
23.3
Consent of PricewaterhouseCoopers LLP
24.1
Power of Attorney for Louis M. Mayberg and Michael L. Sapir (included on the signature page to this Registration Statement)
107
Filing Fee Table
(1)
Incorporated by reference to the Trust's Registration Statement, filed on September 18, 2008.
(2)
Incorporated by reference to the Trust's Registration Statement, filed on November 17, 2008.
(3)
Incorporated by reference to the Trust's Registration Statement, filed on August 15, 2008.
(4)
Incorporated by reference to the Trust's Form
8-K,
filed on
September 26, 2018.
(5)
Incorporated by reference to the Trust's Registration Statement filed, on September 16, 2011.
(6)
Incorporated by reference to the Trust's Registration Statement, filed on March 6, 2020.
(b)
Financial Statements. No financial statements are filed herewith.
Item 17.
Undertakings.
(a)
The undersigned registrant hereby undertakes:
(1)
To file, during any period in which offers or sales are being made, a post-effective amendment to this
registration statement;
(i)
To include any prospectus required by section 10(a)(3) of the Securities Act of 1933, as amended;
(ii)
To reflect in the prospectus any facts or events arising after the effective date of the registration statement
(or the most recent post-effective amendment thereof) which, individually or in the aggregate, represent a fundamental change in the information set forth in the registration statement.
Notwithstanding the foregoing, any increase or decrease in volume of securities offered (if the total dollar value of securities offered would
not exceed that which was registered) and any deviation from the low or high end of the estimated maximum offering range may be reflected in the form of prospectus filed with the Commission pursuant to Rule 424(b) if, in the aggregate, the changes
in volume and price represent no more than a 20 per cent change in the maximum aggregate offering price set forth in the "Calculation of Registration Fee" table in the effective registration statement;
(iii)
To include any material information with respect to the plan of distribution not previously disclosed in the
registration statement or any material change to such information in the registration statement;
Provided
,
however
, that paragraphs (a)(1)(i), (a)(1)(ii) and (a)(1)(iii) of this section do not apply if the registration statement is on Form S–3 or Form F–3 and the information required to be included in a post-effective amendment by those
paragraphs is contained in reports filed with or furnished to the Commission by the registrant pursuant to section 13 or section 15(d) of the Securities Exchange Act of 1934 that are incorporated by reference in the registration statement, or is
contained in a form of prospectus filed pursuant to Rule 424(b) that is part of the registration statement.
(2)
That, for the purpose of determining any liability under the Securities Act of 1933, each such post-effective
amendment shall be deemed to be a new registration statement relating to the securities offered therein, and the offering of such securities at that time shall be deemed to be the
bona fide
offering thereof.
(3)
To remove from registration by means of a post-effective amendment any of the securities being registered which
remain unsold at the termination of the offering.
(4)
That, for the purpose of determining liability under the Securities Act of 1933 to any purchaser:
(i)
If the registrant is relying on Rule 430B:
(A) Each prospectus filed by the registrant pursuant to Rule 424(b)(3) shall be deemed to be a part of the registration statement as of the
date the filed prospectus was deemed part of and included in the registration statement; and
II-2
(B) Each prospectus required to be filed pursuant to Rule 424(b)(2), (b)(5), or (b)(7) as
part of a registration statement in reliance on Rule 430B relating to an offering made pursuant to Rule 415(a)(1)(i), (vii), or (x) for the purpose of providing the information required by section 10(a) of the Securities Act of 1933 shall be
deemed to be part of and included in the registration statement as of the earlier of the date such form of prospectus is first used after effectiveness or the date of the first contract of sale of securities in the offering described in the
prospectus. As provided in Rule 430B, for liability purposes of the issuer and any person that is at that date an underwriter, such date shall be deemed to be a new effective date of the registration statement relating to the securities in the
registration statement to which that prospectus relates, and the offering of such securities at that time shall be deemed to be the initial bona fide offering thereof. Provided, however, that no statement made in a registration statement or
prospectus that is part of the registration statement or made in a document incorporated or deemed incorporated by reference into the registration statement or prospectus that is part of the registration statement will, as to a purchaser with a time
of contract of sale prior to such effective date, supersede or modify any statement that was made in the registration statement or prospectus that was part of the registration statement or made in any such document immediately prior to such
effective date.
(5)
That, for the purpose of determining liability of the registrant under the Securities Act of 1933 to any
purchaser in the initial distribution of the securities:
The undersigned registrant undertakes that in a primary
offering of securities of the undersigned registrant pursuant to this registration statement, regardless of the underwriting method used to sell the securities to the purchaser, if the securities are offered or sold to such purchaser by means of any
of the following communications, the undersigned registrant will be a seller to the purchaser and will be considered to offer or sell such securities to such purchaser:
(i)
Any preliminary prospectus or prospectus of the undersigned registrant relating to the offering required to be
filed pursuant to Rule 424;
(ii)
Any free writing prospectus relating to the offering prepared by or on behalf of the undersigned registrant or
used or referred to by the undersigned registrant;
(iii)
The portion of any other free writing prospectus relating to the offering containing material information about
the undersigned registrant or their securities provided by or on behalf of the undersigned registrant; and
(iv)
Any other communication that is an offer in the offering made by the undersigned registrant to the purchaser.
(b)
The undersigned registrant hereby undertakes that, for purposes of determining any liability under the
Securities Act of 1933, each filing of the registrant's annual report pursuant to Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934 (and, where applicable, each filing of an employee benefit plan's annual
report pursuant to Section 15(d) of the Securities Exchange Act of 1934) that is incorporated by reference in the registration statement shall be deemed to be a new registration statement relating to the securities offered therein, and the
offering of such securities at that time shall be deemed to be the initial
bona fide
offering thereof.
(c)
Insofar as indemnification for liabilities under the Securities Act of 1933 may be permitted to directors,
officers or persons controlling the registrant pursuant to the provisions described in Item 15 above, or otherwise, the registrant has been informed that in the opinion of the Securities and Exchange Commission such indemnification is against public
policy as expressed in the Act and is, therefore, unenforceable. In the event that a claim for indemnification against such liabilities (other than the payment by the registrant of expenses incurred or paid by a director, officer or controlling
person of the registrant in the successful defense of any such action, suit or proceeding) is asserted by such director, officer or controlling person in connection with the securities being registered, the registrant will, unless in the opinion of
their respective counsel the matter has been settled by controlling precedent, submit to a court of appropriate jurisdiction the question whether such indemnification by it is against public policy as expressed in the Act and will be governed by the
final adjudication of such issue.
II-3
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933, the Registrant has duly caused this Registration Statement on Form
S-1
to be signed on its behalf by the undersigned, thereunto duly authorized, in the city of Bethesda, State of Maryland, on the 14th day of February, 2022.
ProShares Trust II
By:
/s/ Todd B. Johnson
Name:
Todd B. Johnson
Title:
Principal Executive Officer
Pursuant to the requirements of the Securities Act of 1933, this Registration
Statement on Form
S-1
has been signed by the following persons in the capacities and on the date indicated.
/s/ Todd B. Johnson
Principal Executive Officer
February 14, 2022
Name: Todd B. Johnson
/s/ Edward Karpowicz
Principal Financial Officer
Principal Accounting Officer
February 14, 2022
Name: Edward Karpowicz
Each of the undersigned members of ProShare Capital Management LLC, the sponsor of the Registrant, hereby constitutes Todd B.
Johnson, Richard F. Morris, and Robert J. Borzone, Jr., individually and not jointly, his true and lawful attorneys-in-fact and agents, with full power of substitution and resubstitution, for him and in his name, place and stead, in any and all
capacities, to sign under the Securities Act of 1933, as amended (including post-effective amendments to the registration statement and any such related registration statements), and to file the same, with all exhibits thereto, and any other
documents in connection therewith, granting unto said attorneys-in-fact and agents full power and authority to do and perform each and every act and thing requisite and necessary to be done in and about the premises, as fully to all intents and
purposes as he might or could do in person, hereby ratifying and confirming that said attorneys-in-fact and agents, or their substitute or substitutes, may lawfully do or cause to be done by virtue hereof.
Pursuant to the requirements of the Securities Act of 1933, this Registration Statement on Form
S-1
has been signed by the following persons on behalf of the Sponsor in the capacities and on the date indicated.
/s/ Louis M. Mayberg
Member of the Sponsor
(Director)
February 14, 2022
Name: Louis M. Mayberg
/s/ Michael L. Sapir
Member of the Sponsor
(Director)
February 14, 2022
Name: Michael L. Sapir